# EDGAR Filing Document

**Accession Number:** 0000794614
**File Stem:** 0002071691-25-009332
**Filing Date:** 2025-12
**Character Count:** 415283
**Document Hash:** 22a7c1c63b60e8953eb8a739d4137b26
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-009332.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0002071691-25-009332

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM GLOBAL INCOME TRUST
- **CENTRAL INDEX KEY:** 0000794614

**ORGANIZATION NAME:**
- **EIN:** 046549525
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04524
- **FILM NUMBER:** 251595232

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM GOVERNMENT INCOME GLOBAL TRUST
- **DATE OF NAME CHANGE:** 19870225

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM GLOBAL GOVERNMENT INCOME TRUST
- **DATE OF NAME CHANGE:** 19870115

## Series and Classes Contracts Data

### PUTNAM GLOBAL INCOME TRUST (Series ID: S000005653)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000015446 | Class C Shares |  |
| C000015447 | Class Y Shares |  |
| C000015448 | Class A Shares | PGGIX           |
| C000015451 | Class R Shares | PGBRX           |
| C000118067 | Class R5       |  |
| C000118068 | Class R6       |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Global Income Trust

- **b. Investment Company Act file number:** 811-04524

- **c. CIK number of Registrant:** 0000794614

- **d. LEI of Registrant:** YG36PGJJVUMHC9JGGU34

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

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

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

- **a. Name of Series:** Putnam Global Income Trust

- **b. EDGAR series identifier (if any):** S000005653

- **c. LEI of Series:** YG36PGJJVUMHC9JGGU34

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

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

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $261883863.02

**Total Liabilities:** $48724072.55

**Net Assets:** $213159790.47

**Delayed Delivery Securities:** $35407995.45

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -345.06000000 | **1-Year:** -7102.43000000 | **5-Year:** -23008.58000000 | **10-Year:** -31905.19000000 | **30-Year:** -21512.72000000

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

- **3-Month:** -95.11000000 | **1-Year:** 3897.78000000 | **5-Year:** -3239.69000000 | **10-Year:** -24283.90000000 | **30-Year:** -14511.52000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000015448 | 1.03%                | 0.83%                | 0.04%                |
| Class ID C000015447 | 1.06%                | 0.75%                | 0.16%                |
| Class ID C000118067 | 1.06%                | 0.76%                | 0.17%                |
| Class ID C000015446 | 0.97%                | 0.67%                | 0.08%                |
| Class ID C000015451 | 1.01%                | 0.81%                | 0.12%                |
| Class ID C000118068 | 1.07%                | 0.86%                | 0.08%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $544945.70               | $1835486.47                                |
| Month 2  | $382337.27               | $508507.92                                 |
| Month 3  | $17755.45                | $-1171844.79                               |

**Designated Index Information**

- **Index Name:** LEGATRUU Index

- **Index Identifier:** BM0683

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     121000 | PA      | $128551.91    | 0.06%             | 2033-09-14      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $621.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AU9<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25495.22     | 0.01%             | 2031-04-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Mexican Peso                                                                    | Mexican Peso                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |          0 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Finland                                                             | Finland Government Bond                                                               | CUSIP: N/A<br>LEI: 743700M6Y2OQRVSBRD14       | Long             | DBT              | NUSS              | FI        |     370000 | PA      | $371175.36    | 0.17%             | 2034-04-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H19, Class MI                                                       | CUSIP: 38375UK25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575114 | PA      | $22212.61     | 0.01%             | 2067-04-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Bonos Y Obligaciones del Estado                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     210000 | PA      | $212639.17    | 0.10%             | 2046-10-31      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2013-CR13, Class D                                        | CUSIP: 12630BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280000 | PA      | $158205.60    | 0.07%             | 2046-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                                     | Toll Brothers Finance Corp.                                                           | CUSIP: 88947EAT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     111000 | PA      | $111361.92    | 0.05%             | 2028-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1520000 | PA      | $1901235.52   | 0.89%             | 2027-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                                | Oaktree CLO Ltd., Series 2019-4A, Class ARR                                           | CUSIP: 67402CBE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250801.56    | 0.12%             | 2037-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-159867.94   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AD2<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |      99000 | PA      | $107766.98    | 0.05%             | 2034-01-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PVH Corp.                                                                       | PVH Corp.                                                                             | CUSIP: 693656AE0<br>LEI: 123WALMHY1GZXG2YDL90 | Long             | DBT              | CORP              | US        |      19000 | PA      | $19360.37     | 0.01%             | 2030-06-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     198000 | PA      | $211958.93    | 0.10%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Swiss Confederation                                                             | Switzerland Government Bond                                                           | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     290000 | PA      | $429465.77    | 0.20%             | 2042-04-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFY6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     267000 | PA      | $272007.60    | 0.13%             | 2029-04-12      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                                 | NovaStar Mortgage Funding Trust, Series 2006-5, Class A2C                             | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     947192 | PA      | $295023.17    | 0.14%             | 2036-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10389.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                               | Chase Home Lending Mortgage Trust, Series 2025-7, Class A11                           | CUSIP: 16160AAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106545 | PA      | $106916.92    | 0.05%             | 2056-05-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     247000 | PA      | $266500.46    | 0.13%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AA5<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |      57000 | PA      | $51542.50     | 0.02%             | 2032-03-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R02, Class 1A1                  | CUSIP: 20754TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138359 | PA      | $138693.44    | 0.07%             | 2045-02-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Zoetis, Inc.                                                                    | Zoetis, Inc.                                                                          | CUSIP: 98978VAX1<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     520000 | PA      | $525548.44    | 0.25%             | 2035-08-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Sweden                                                               | Sweden Government Bond                                                                | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |    6950000 | PA      | $724812.89    | 0.34%             | 2026-11-12      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109DE8<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     306000 | PA      | $311662.53    | 0.15%             | 2029-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KQ9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     324000 | PA      | $333693.79    | 0.16%             | 2029-05-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3000000 | PA      | $2928431.28   | 1.37%             | 2055-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Humana, Inc.                                                                    | Humana, Inc.                                                                          | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     180000 | PA      | $185709.38    | 0.09%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                                                  | Carrington Mortgage Loan Trust, Series 2006-NC2, Class A4                             | CUSIP: 14453FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95061 | PA      | $91965.65     | 0.04%             | 2036-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1                  | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37662 | PA      | $37811.58     | 0.02%             | 2043-07-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Norwegian Krone                                                                 | Norwegian Krone                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NO        |     927555 | OU      | $91571.97     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     257000 | PA      | $265887.51    | 0.12%             | 2034-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $223571.88    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-243.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618FRPC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     516183 | PA      | $537856.53    | 0.25%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Georgia-Pacific LLC                                                             | Georgia-Pacific LLC                                                                   | CUSIP: 37331NAT8<br>LEI: L2EVHWFHVAQK72TMH265 | Long             | DBT              | CORP              | US        |     280000 | PA      | $287197.80    | 0.13%             | 2032-06-30      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2873.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     541000 | PA      | $-32298.87    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618G7SL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     784778 | PA      | $815218.22    | 0.38%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 08576PAL5<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |      25000 | PA      | $25720.57     | 0.01%             | 2028-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-810.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303MAC6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     180000 | PA      | $180957.60    | 0.08%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                 | Goldman Sachs Group, Inc. (The)                                                       | CUSIP: 38141GES9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     172000 | PA      | $175844.44    | 0.08%             | 2027-01-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $517.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Peru                                                                | Peru Government Bond                                                                  | CUSIP: 715638DF6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     580000 | PA      | $537544.00    | 0.25%             | 2031-01-23      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| CIFC Funding 2021-IV Ltd.                                                       | CIFC Funding Ltd., Series 2021-4A, Class AR                                           | CUSIP: 12547DAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250693.63    | 0.12%             | 2037-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                        | Celanese US Holdings LLC                                                              | CUSIP: 15089QAM6<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     124000 | PA      | $127368.71    | 0.06%             | 2027-07-15      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2024-4, Class GI                                                         | CUSIP: 38384HZX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1728851 | PA      | $421168.03    | 0.20%             | 2053-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Comision Federal de Electricidad                                                | Comision Federal de Electricidad                                                      | CUSIP: N/A<br>LEI: 4469000001BFPONMPF32       | Long             | DBT              | NUSS              | MX        |     300000 | PA      | $265893.72    | 0.12%             | 2033-07-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                           | Mexico Government Bond                                                                | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     450000 | PA      | $403335.00    | 0.19%             | 2031-05-24      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2024-R02, Class 1M1                  | CUSIP: 20754GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6559 | PA      | $6565.59      | 0.00%             | 2044-02-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2023-R01, Class 1M1                  | CUSIP: 207932AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41011 | PA      | $41912.65     | 0.02%             | 2042-12-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO XVII Ltd.                                                  | Neuberger Berman CLO XVII Ltd., Series 2014-17A, Class AR3                            | CUSIP: 64129UCC7<br>LEI: 549300XVEYZNG956Y145 | Long             | ABS-CBDO         | CORP              | KY        |     300000 | PA      | $300878.15    | 0.14%             | 2038-07-22      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co.                                                                     | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     220000 | PA      | $227734.05    | 0.11%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1740.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                              | Crown Castle, Inc.                                                                    | CUSIP: 22822VAH4<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     172000 | PA      | $170277.07    | 0.08%             | 2027-09-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $103950.98    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Alexander Funding Trust II                                                      | Alexander Funding Trust II                                                            | CUSIP: 014916AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     240000 | PA      | $256409.90    | 0.12%             | 2028-07-31      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3343.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-711.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2341000 | PA      | $-1209.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1750000 | PA      | $1972072.85   | 0.93%             | 2034-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                                    | Bain Capital Credit CLO Ltd., Series 2022-2A, Class A1R                               | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250236.67    | 0.12%             | 2035-04-22      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5037.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12519.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M1                  | CUSIP: 20755RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32432 | PA      | $32439.36     | 0.02%             | 2044-09-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                         | Credit Suisse Commercial Mortgage Trust, Series 2006-C4, Class AX                     | CUSIP: 22545MAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        286 | PA      | $1.39         | 0.00%             | 2039-09-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  212000000 | PA      | $1181123.24   | 0.55%             | 2051-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                                          | Paraguay Government Bond                                                              | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     200000 | PA      | $201428.00    | 0.09%             | 2027-03-27      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H25, Class AI                                                       | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     605127 | PA      | $8978.52      | 0.00%             | 2065-09-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1140000 | PA      | $29243.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Alimentation Couche-Tard, Inc.                                                  | Alimentation Couche-Tard, Inc.                                                        | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     256000 | PA      | $253929.54    | 0.12%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                              | Southern Co. (The)                                                                    | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     167000 | PA      | $176377.94    | 0.08%             | 2034-03-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-87538.50    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Romania                                                                         | Romania Government Bond                                                               | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     390000 | PA      | $383066.07    | 0.18%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812540 | PA      | $751327.27    | 0.35%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                             | Petroleos Mexicanos                                                                   | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     145000 | PA      | $144966.33    | 0.07%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $21438.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-155319.03   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2284000 | PA      | $-3344.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2295000 | PA      | $6417.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1500000 | PA      | $1749480.64   | 0.82%             | 2029-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX SARL / JBS USA Food Co. / JBS USA Foods Group                       | JBS USA LUX SARL / JBS USA Food Co. / JBS USA Foods Group, Inc.                       | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      45000 | PA      | $47140.65     | 0.02%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2024-103, Class FB                                                       | CUSIP: 3136BUQG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     930046 | PA      | $931948.47    | 0.44%             | 2055-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class XA                            | CUSIP: 92890PAL8<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     159970 | PA      | $1.60         | 0.00%             | 2046-06-15      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12404.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     140000 | PA      | $145164.99    | 0.07%             | 2045-05-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                    | Avolon Holdings Funding Ltd.                                                          | CUSIP: 05401AAV3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     270000 | PA      | $280074.07    | 0.13%             | 2029-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     200000 | PA      | $212229.63    | 0.10%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BankUnited Trust                                                                | BankUnited Trust, Series 2005-1, Class 1A1                                            | CUSIP: 06652DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49295 | PA      | $47116.38     | 0.02%             | 2045-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                                                  | EPR Properties                                                                        | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      58000 | PA      | $58019.78     | 0.03%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises, Inc.                                                        | IPALCO Enterprises, Inc.                                                              | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |     315000 | PA      | $308456.61    | 0.14%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Resecuritization Trust                                           | Morgan Stanley Resecuritization Trust, Series 2015-R4, Class CB1                      | CUSIP: 61690WAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32821 | PA      | $32866.14     | 0.02%             | 2047-08-26      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     733000 | PA      | $748270.50    | 0.35%             | 2029-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Power Finance Corp. Ltd.                                                        | Power Finance Corp. Ltd.                                                              | CUSIP: 73928RAB2<br>LEI: 3358003Q6D9LIJJZ1614 | Long             | DBT              | NUSS              | IN        |     270000 | PA      | $263312.24    | 0.12%             | 2030-04-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-182, Class TI                                                       | CUSIP: 38383CAC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2622155 | PA      | $500459.77    | 0.23%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2016-H23, Class NI                                                       | CUSIP: 38376RA63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     853129 | PA      | $40236.11     | 0.02%             | 2066-10-20      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Huntsman International LLC                                                      | Huntsman International LLC                                                            | CUSIP: 44701QBE1<br>LEI: 3YTEJFW18LGIUQ2N5J61 | Long             | DBT              | CORP              | US        |     250000 | PA      | $231202.12    | 0.11%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     135000 | PA      | $138612.88    | 0.07%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| First-Citizens Bank & Trust Co.                                                 | First-Citizens Bank & Trust Co.                                                       | CUSIP: 125581GX0<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |     276000 | PA      | $285911.65    | 0.13%             | 2028-03-09      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                          | Alternative Loan Trust, Series 2006-OA7, Class 1A2                                    | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164342 | PA      | $164183.17    | 0.08%             | 2046-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1015.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Australia 10 Year Bonds                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-67.21       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      90000 | PA      | $77540.94     | 0.04%             | 2050-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                              | Denmark Government Bond                                                               | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |    1550000 | PA      | $233462.93    | 0.11%             | 2027-11-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                   | UBS Commercial Mortgage Trust, Series 2017-C7, Class XA                               | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5265505 | PA      | $90173.88     | 0.04%             | 2050-12-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                       | South Bow USA Infrastructure Holdings LLC                                             | CUSIP: 83007CAD4<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     505000 | PA      | $510413.96    | 0.24%             | 2029-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XFA9<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     105000 | PA      | $106325.65    | 0.05%             | 2034-09-06      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                               | Georgia Power Co.                                                                     | CUSIP: 373334KT7<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     121000 | PA      | $123589.00    | 0.06%             | 2033-05-17      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     575000 | PA      | $581853.22    | 0.27%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                     | Capital One Financial Corp.                                                           | CUSIP: 14040HCH6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     104000 | PA      | $101549.93    | 0.05%             | 2027-11-02      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2427.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1081.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CaixaBank SA                                                                          | CUSIP: 12803RAG9<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $207965.60    | 0.10%             | 2030-03-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     372000 | PA      | $12826.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $255689.85    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| Federation of Malaysia                                                          | Malaysia Government Bond                                                              | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |    2280000 | PA      | $548578.66    | 0.26%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1419.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNA Financial Corp.                                                             | CNA Financial Corp.                                                                   | CUSIP: 126117AY6<br>LEI: 549300YX2GSZD7YG1R84 | Long             | DBT              | CORP              | US        |     162000 | PA      | $163201.23    | 0.08%             | 2034-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Kingdom of Norway                                                               | Norway Government Bond                                                                | CUSIP: N/A<br>LEI: 549300L0BT3FJTN9MX24       | Long             | DBT              | NUSS              | NO        |    1880000 | PA      | $180734.51    | 0.08%             | 2027-02-17      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   24397000 | PA      | $-161702.84   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class M1                                   | CUSIP: 35564K3G2<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |      62185 | PA      | $62544.72     | 0.03%             | 2043-11-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| South Bow USA Infrastructure Holdings LLC                                       | South Bow USA Infrastructure Holdings LLC                                             | CUSIP: 83007CAF9<br>LEI: 254900Z1WAY7QFQ7O850 | Long             | DBT              | CORP              | US        |     130000 | PA      | $130545.86    | 0.06%             | 2034-10-01      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-50354.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DTE Energy Co.                                                                  | DTE Energy Co.                                                                        | CUSIP: 233331BM8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |     155000 | PA      | $156918.19    | 0.07%             | 2027-07-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     133000 | PA      | $139619.96    | 0.07%             | 2036-01-24      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     280000 | PA      | $201118.61    | 0.09%             | 2051-09-01      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                                 | Virginia Electric and Power Co.                                                       | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101538.93    | 0.05%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     729800 | PA      | $6068.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-117, Class MI                                                       | CUSIP: 38382WEX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2787936 | PA      | $441482.51    | 0.21%             | 2042-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Petronas Capital Ltd.                                                           | Petronas Capital Ltd.                                                                 | CUSIP: 716743AV1<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     380000 | PA      | $392770.01    | 0.18%             | 2031-01-03      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Waste Connections, Inc.                                                         | Waste Connections, Inc.                                                               | CUSIP: 94106BAG6<br>LEI: 549300HDLRTPBQU69P29 | Long             | DBT              | CORP              | CA        |     463000 | PA      | $473743.24    | 0.22%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                         | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                   | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     812000 | PA      | $816645.45    | 0.38%             | 2030-02-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13524.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                                    | AbbVie, Inc.                                                                          | CUSIP: 00287YDU0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      63000 | PA      | $64833.31     | 0.03%             | 2034-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3795.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                           | Indonesia Government Bond                                                             | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |     500000 | PA      | $502336.07    | 0.24%             | 2027-01-08      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| GE HealthCare Technologies, Inc.                                                | GE HealthCare Technologies, Inc.                                                      | CUSIP: 36267VAF0<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     190000 | PA      | $195693.16    | 0.09%             | 2027-11-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Massachusetts Mutual Life Insurance Co.                                         | Massachusetts Mutual Life Insurance Co.                                               | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |     387000 | PA      | $261160.63    | 0.12%             | 2070-10-15      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                        | Motorola Solutions, Inc.                                                              | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      52000 | PA      | $47084.64     | 0.02%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury Ultra Bonds                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         14 | NC      | $67949.46     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H02, Class BI                                                       | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     823787 | PA      | $31928.34     | 0.01%             | 2067-01-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2016-C01, Class 1M2                  | CUSIP: 30711XBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      62349 | PA      | $63407.71     | 0.03%             | 2028-08-25      | Floating      | 11.05%                | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                   | Brazil Government Bond                                                                | CUSIP: 105756CC2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     400000 | PA      | $384560.00    | 0.18%             | 2030-06-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Kingdom of Denmark                                                              | Denmark Government Bond                                                               | CUSIP: N/A<br>LEI: 549300PTO6LS1PTM6607       | Long             | DBT              | NUSS              | DK        |     650000 | PA      | $121349.71    | 0.06%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Protective Life Global Funding                                                  | Protective Life Global Funding                                                        | CUSIP: 74368CBV5<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |     305000 | PA      | $316224.07    | 0.15%             | 2028-12-08      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                                 | Goldman Sachs Group, Inc. (The), Series U                                             | CUSIP: 38144GAG6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      57000 | PA      | $56074.89     | 0.03%             | 2026-08-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2025-3, Class A                            | CUSIP: 85779TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     760000 | PA      | $762506.71    | 0.36%             | 2026-09-23      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AV1<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     261000 | PA      | $210786.76    | 0.10%             | 2052-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                                          | Howmet Aerospace, Inc.                                                                | CUSIP: 443201AB4<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     174000 | PA      | $168189.73    | 0.08%             | 2029-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc., Series GG                                                            | CUSIP: 17327CBC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     416000 | PA      | $429080.70    | 0.20%             | 2030-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2359.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR1, Class A1B             | CUSIP: 939336X57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80825 | PA      | $78557.56     | 0.04%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1667.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1280.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5917.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-DNA7, Class M2                                   | CUSIP: 35564KMH9<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | CORP              | US        |     889000 | PA      | $896987.49    | 0.42%             | 2041-11-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 2 Ltd.                                                          | Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R                                     | CUSIP: 09077LAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250820.49    | 0.12%             | 2037-10-19      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R06, Class 1A1                  | CUSIP: 20754YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     266000 | PA      | $266248.82    | 0.12%             | 2045-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                    | Uruguay Government Bond                                                               | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     100000 | PA      | $101260.00    | 0.05%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-633.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFA Trust                                                                       | MFA Trust, Series 2025-NQM3, Class A1                                                 | CUSIP: 58004LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139787 | PA      | $140277.06    | 0.07%             | 2070-08-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  102000000 | PA      | $307049.06    | 0.14%             | 2060-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3910000 | PA      | $3710362.63   | 1.74%             | 2055-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5116, Class BI                                                          | CUSIP: 3137H0JE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3961924 | PA      | $816310.94    | 0.38%             | 2050-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Baht                                                                            | Baht                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | TH        |          0 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | U.S. Treasury Long Bonds                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         16 | NC      | $51118.88     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Carlisle Cos., Inc.                                                             | Carlisle Cos., Inc.                                                                   | CUSIP: 142339AN0<br>LEI: XR64VGX1ZPX6G7ZN7Z11 | Long             | DBT              | CORP              | US        |      95000 | PA      | $96699.40     | 0.05%             | 2035-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     516000 | PA      | $507929.90    | 0.24%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8G0<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     175000 | PA      | $174110.31    | 0.08%             | 2027-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Bobl                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          5 | NC      | $1962.93      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAS0<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     275000 | PA      | $279264.15    | 0.13%             | 2030-04-10      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     450000 | PA      | $546139.11    | 0.26%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Government Bond                                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     800000 | PA      | $999979.20    | 0.47%             | 2028-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A4D0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     222000 | PA      | $226807.27    | 0.11%             | 2031-11-13      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 Ltd.                                                               | AIMCO CLO 17 Ltd., Series 2022-17A, Class A1R                                         | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     350000 | PA      | $350966.13    | 0.16%             | 2037-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                 | CFCRE Commercial Mortgage Trust, Series 2011-C2, Class E                              | CUSIP: 12527DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230000 | PA      | $217671.36    | 0.10%             | 2047-12-15      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     170000 | PA      | $173209.97    | 0.08%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-88832.75    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class AS                      | CUSIP: 94989WAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93263 | PA      | $92999.62     | 0.04%             | 2048-11-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     230000 | PA      | $262878.60    | 0.12%             | 2026-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273VBD1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     120000 | PA      | $123787.43    | 0.06%             | 2030-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2024-DNA1, Class A1                                   | CUSIP: 35564NAW3<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | CORP              | US        |     145900 | PA      | $146702.24    | 0.07%             | 2044-02-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Kingdom of Thailand                                                             | Thailand Government Bond                                                              | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |   15700000 | PA      | $498231.26    | 0.23%             | 2031-12-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co.                                                                     | CUSIP: 94974BGL8<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     200000 | PA      | $200583.09    | 0.09%             | 2027-07-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                                     | Bundesobligation                                                                      | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     900000 | PA      | $1051720.37   | 0.49%             | 2029-10-11      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Kenvue, Inc.                                                                    | Kenvue, Inc.                                                                          | CUSIP: 49177JAS1<br>LEI: 5493008HSF8L4M2LIJ82 | Long             | DBT              | CORP              | US        |     460000 | PA      | $466186.84    | 0.22%             | 2032-05-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     946000 | PA      | $11921.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-160.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $18498.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     658500 | PA      | $15116.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                        | Motorola Solutions, Inc.                                                              | CUSIP: 620076CB3<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     200000 | PA      | $205937.45    | 0.10%             | 2032-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4810.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                              | Belgium Government Bond                                                               | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    1200000 | PA      | $1374781.07   | 0.64%             | 2035-06-22      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Swedish Krona                                                                   | Swedish Krona                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SE        |     556261 | OU      | $58552.25     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc.                                                                       | CUSIP: 172967QF1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     485000 | PA      | $485693.95    | 0.23%             | 2031-09-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2022-R09, Class 2M1                  | CUSIP: 20753DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53046 | PA      | $53753.57     | 0.03%             | 2042-09-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $136.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 30 Year                                                                         | CUSIP: 3140ABD77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1045688 | PA      | $1070483.76   | 0.50%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $707.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pertamina Hulu Energi PT                                                        | Pertamina Hulu Energi PT                                                              | CUSIP: 74448WAA2<br>LEI: 2549003IT1KDHL64C037 | Long             | DBT              | CORP              | ID        |     230000 | PA      | $235046.08    | 0.11%             | 2030-05-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  171000000 | PA      | $697621.84    | 0.33%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Glencore Finance Canada Ltd.                                                    | Glencore Finance Canada Ltd.                                                          | CUSIP: 98417EAN0<br>LEI: 5493005TTO0UJ33KCK70 | Long             | DBT              | CORP              | CA        |     115000 | PA      | $120090.35    | 0.06%             | 2041-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Equinix, Inc.                                                                   | Equinix, Inc.                                                                         | CUSIP: 29444UBE5<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |     168000 | PA      | $161248.55    | 0.08%             | 2029-11-18      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XEN2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     175000 | PA      | $182354.70    | 0.09%             | 2029-01-07      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     780000 | PA      | $968477.22    | 0.45%             | 2041-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     130000 | PA      | $128956.60    | 0.06%             | 2030-09-26      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Vertiv Group Corp.                                                              | Vertiv Group Corp.                                                                    | CUSIP: 92535UAB0<br>LEI: 549300ZT8RQ5VK10E643 | Long             | DBT              | CORP              | US        |     475000 | PA      | $468404.39    | 0.22%             | 2028-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     100000 | PA      | $107535.13    | 0.05%             | 2040-03-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 92556HAB3<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     110000 | PA      | $107897.14    | 0.05%             | 2031-01-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Mitsubishi UFJ Financial Group, Inc.                                            | Mitsubishi UFJ Financial Group, Inc.                                                  | CUSIP: 606822DK7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |     535000 | PA      | $552121.67    | 0.26%             | 2031-04-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1117.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, 20 Year                                                                         | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     502299 | PA      | $426032.09    | 0.20%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                           | NextEra Energy Capital Holdings, Inc.                                                 | CUSIP: 65339KAT7<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     368000 | PA      | $365295.34    | 0.17%             | 2027-05-01      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2116.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      93000 | PA      | $1888.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ecopetrol SA                                                                    | Ecopetrol SA                                                                          | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |      70000 | PA      | $62836.94     | 0.03%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                              | Belgium Government Bond                                                               | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     630000 | PA      | $778544.48    | 0.37%             | 2041-03-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C10, Class B          | CUSIP: 61762MBZ3<br>LEI: 549300P1YQ48837ZOI22 | Long             | ABS-MBS          | CORP              | US        |     485091 | PA      | $460841.16    | 0.22%             | 2046-07-15      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                  | BNP Paribas SA                                                                        | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $399507.58    | 0.19%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Truist Bank                                                                     | Truist Bank                                                                           | CUSIP: 07330MAC1<br>LEI: JJKC32MCHWDI71265Z06 | Long             | DBT              | CORP              | US        |     250000 | PA      | $250921.59    | 0.12%             | 2029-09-17      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-CR17, Class C                                        | CUSIP: 12631DBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     459000 | PA      | $424354.45    | 0.20%             | 2047-05-10      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| Howmet Aerospace, Inc.                                                          | Howmet Aerospace, Inc.                                                                | CUSIP: 013817AK7<br>LEI: 549300HO5WFZUT5N2T22 | Long             | DBT              | CORP              | US        |     287000 | PA      | $312621.18    | 0.15%             | 2037-02-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1612000 | PA      | $8280.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3648.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Thailand                                                             | Thailand Government Bond                                                              | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |   15500000 | PA      | $508320.92    | 0.24%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-102, Class IG                                                       | CUSIP: 38379CU79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58351 | PA      | $960.56       | 0.00%             | 2041-03-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-DNA5, Class M2                                   | CUSIP: 35564KHE2<br>LEI: 5493000ISU5NYXNHD479 | Long             | ABS-MBS          | CORP              | US        |      51781 | PA      | $51902.26     | 0.02%             | 2034-01-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-UBS6, Class C                                        | CUSIP: 12592PBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43072 | PA      | $42655.24     | 0.02%             | 2047-12-10      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     117000 | PA      | $122521.59    | 0.06%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5085.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                                            | Glencore Funding LLC                                                                  | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     396000 | PA      | $413137.18    | 0.19%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2016-C02, Class 1M2                  | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      16867 | PA      | $17035.18     | 0.01%             | 2028-09-25      | Floating      | 10.30%                | No            |                  2 | On Loan: No      |
| Venture XIX CLO Ltd.                                                            | Venture XIX CLO Ltd., Series 2014-19A, Class ARR                                      | CUSIP: 92330EAP2<br>LEI: 549300KIDQKDB48YU144 | Long             | ABS-CBDO         | CORP              | KY        |      87674 | PA      | $87743.15     | 0.04%             | 2032-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Franklin Ultra Short Bond ETF                                                   | Franklin Ultra Short Bond ETF                                                         | CUSIP: 35473P496<br>LEI: 549300C2WYDHE3Y9X469 | Long             |  | RF                | US        |     217238 | NS      | $5448329.04   | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      16000 | PA      | $2837.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fifth Third Bancorp                                                             | Fifth Third Bancorp                                                                   | CUSIP: 316773DM9<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |     225000 | PA      | $228222.41    | 0.11%             | 2030-09-06      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023AX3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     110000 | PA      | $125089.52    | 0.06%             | 2039-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class XA                 | CUSIP: 46645JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     874656 | PA      | $8.75         | 0.00%             | 2048-12-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Allegro CLO XII Ltd.                                                            | Allegro CLO XII Ltd., Series 2020-1A, Class A1R                                       | CUSIP: 01750TAN6<br>LEI: 254900E0ZQX4DLP7HF87 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250619.49    | 0.12%             | 2037-07-21      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                     | ONEOK, Inc.                                                                           | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     265000 | PA      | $265138.39    | 0.12%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                                    | CaixaBank SA                                                                          | CUSIP: 12803RAK0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     295000 | PA      | $297176.22    | 0.14%             | 2029-07-03      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16891.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Wise CLO Ltd.                                                                   | Wise CLO Ltd., Series 2024-2A, Class A                                                | CUSIP: 97718GAA1<br>LEI: 254900UJ1RZE30CBZ497 | Long             | ABS-CBDO         | CORP              | KY        |     400000 | PA      | $400700.00    | 0.19%             | 2037-07-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      36000 | PA      | $38808.69     | 0.02%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Government Bond                                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |      50000 | PA      | $31671.68     | 0.01%             | 2050-10-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   25621000 | PA      | $-21083.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                        | Angel Oak Mortgage Trust, Series 2024-9, Class A1                                     | CUSIP: 03466JAA7<br>LEI: 254900O3R79X1AD55F36 | Long             | ABS-MBS          | CORP              | US        |     271798 | PA      | $271529.41    | 0.13%             | 2069-09-25      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                            | Bulgaria Government Bond                                                              | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |      88000 | PA      | $88522.48     | 0.04%             | 2037-03-05      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ADV4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      25000 | PA      | $27974.02     | 0.01%             | 2033-12-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| KazMunayGas National Co. JSC                                                    | KazMunayGas National Co. JSC                                                          | CUSIP: N/A<br>LEI: 2138001H1M69RFJCSH88       | Long             | DBT              | CORP              | KZ        |     260000 | PA      | $267449.74    | 0.13%             | 2030-04-24      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Illumina, Inc.                                                                  | Illumina, Inc.                                                                        | CUSIP: 452327AQ2<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150429.54    | 0.07%             | 2026-09-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-H21, Class AI                                                       | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     645703 | PA      | $25010.67     | 0.01%             | 2064-10-20      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      65400 | PA      | $6927.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      97000 | PA      | $100177.89    | 0.05%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2025-DNA3, Class M1                                   | CUSIP: 35564UAR8<br>LEI: 5299009HC4IGFM6RXF30 | Long             | ABS-MBS          | CORP              | US        |     370169 | PA      | $370638.76    | 0.17%             | 2045-09-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     105000 | PA      | $107936.98    | 0.05%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     500000 | PA      | $639870.59    | 0.30%             | 2044-09-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                             | Athene Holding Ltd.                                                                   | CUSIP: 04686JAH4<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     108000 | PA      | $107680.26    | 0.05%             | 2054-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $509.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBT5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     139000 | PA      | $139833.66    | 0.07%             | 2029-10-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Barclays plc                                                                    | Barclays plc                                                                          | CUSIP: 06738ECY9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     250000 | PA      | $257920.90    | 0.12%             | 2031-02-25      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                               | CIFC Funding Ltd., Series 2021-7A, Class AR                                           | CUSIP: 12567HAQ5<br>LEI: 54930089HD7KU5NUS092 | Long             | ABS-CBDO         | CORP              | KY        |     909000 | PA      | $909652.36    | 0.43%             | 2035-01-23      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                           | Guatemala Government Bond                                                             | CUSIP: 401494AX7<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |     400000 | PA      | $443250.00    | 0.21%             | 2032-10-04      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6304.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                                     | Amgen, Inc.                                                                           | CUSIP: 031162DT4<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      93000 | PA      | $92877.08     | 0.04%             | 2053-03-02      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                          | Alternative Loan Trust, Series 2006-OA19, Class A1                                    | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123140 | PA      | $101039.03    | 0.05%             | 2047-02-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                            | United Kingdom Gilt                                                                   | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     420000 | PA      | $588938.38    | 0.28%             | 2028-12-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $25046.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                       | Australia Government Bond                                                             | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |    1640000 | PA      | $1038810.91   | 0.49%             | 2028-05-21      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1B                                  | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |      24000 | PA      | $25174.14     | 0.01%             | 2042-09-25      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $445.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                             | Intesa Sanpaolo SpA                                                                   | CUSIP: 46115HBQ9<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     251000 | PA      | $238023.28    | 0.11%             | 2032-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| US Bancorp                                                                      | US Bancorp                                                                            | CUSIP: 91159HJB7<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |     294000 | PA      | $254165.32    | 0.12%             | 2036-11-03      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     171000 | PA      | $168325.61    | 0.08%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2024-R06, Class 1A1                  | CUSIP: 20755RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293775 | PA      | $294931.52    | 0.14%             | 2044-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3132DNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861036 | PA      | $800928.84    | 0.38%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | Enel Finance International NV                                                         | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     410000 | PA      | $473183.48    | 0.22%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Brunswick Corp.                                                                 | Brunswick Corp.                                                                       | CUSIP: 117043AT6<br>LEI: YM4O38W15AX4YLLQKU27 | Long             | DBT              | CORP              | US        |     297000 | PA      | $258511.58    | 0.12%             | 2031-08-18      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                  | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427000 | PA      | $436667.07    | 0.20%             | 2042-01-25      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Romania                                                                         | Romania Government Bond                                                               | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     250000 | PA      | $284250.15    | 0.13%             | 2036-02-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-177.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2023-R07, Class 2M1                  | CUSIP: 20753BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30617 | PA      | $30824.62     | 0.01%             | 2043-09-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2020-190                                                                 | CUSIP: 38380RJM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    3537593 | PA      | $274540.91    | 0.13%             | 2062-11-16      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| Targa Resources Partners LP / Targa Resources Partners Finance Corp.            | Targa Resources Partners LP / Targa Resources Partners Finance Corp.                  | CUSIP: 87612BBS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      84000 | PA      | $84219.30     | 0.04%             | 2031-02-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     610000 | PA      | $2668.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                                 | Eastern Energy Gas Holdings LLC                                                       | CUSIP: 27636AAB8<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |     137000 | PA      | $144583.85    | 0.07%             | 2035-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     975900 | PA      | $118308.30    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Multi-family Connecticut Avenue Securities Trust, Series 2019-01, Class M10      | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |     394855 | PA      | $401420.19    | 0.19%             | 2049-10-25      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACV7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      85000 | PA      | $87654.03     | 0.04%             | 2031-01-08      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     830000 | PA      | $895033.44    | 0.42%             | 2029-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Raizen Fuels Finance SA                                                         | Raizen Fuels Finance SA                                                               | CUSIP: 75102XAF3<br>LEI: 52990010NH26VC32Q522 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $170250.00    | 0.08%             | 2032-07-08      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                      | CSMC Trust, Series 2016-NXSR, Class AS                                                | CUSIP: 12594PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267000 | PA      | $261255.63    | 0.12%             | 2049-12-15      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1458600 | PA      | $274658.74    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                             | Brown & Brown, Inc.                                                                   | CUSIP: 115236AK7<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     246000 | PA      | $249486.43    | 0.12%             | 2030-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2800.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6449.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                  | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                        | CUSIP: 47214BAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     214000 | PA      | $236229.89    | 0.11%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2016-LC25, Class XA                     | CUSIP: 95000JAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3609241 | PA      | $19785.86     | 0.01%             | 2059-12-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                           | Haleon US Capital LLC                                                                 | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     250000 | PA      | $247857.44    | 0.12%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CD Mortgage Trust                                                               | CD Mortgage Trust, Series 2017-CD4, Class B                                           | CUSIP: 12515DAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     323000 | PA      | $306941.38    | 0.14%             | 2050-05-10      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7376000 | PA      | $-55402.46    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United Mexican States                                                           | Mexican Bonos Desarr Fixed Rate, Series M                                             | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   10900000 | PA      | $572544.75    | 0.27%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $469.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WaMu Asset-Backed Certificates Trust                                            | WaMu Asset-Backed Certificates Trust, Series 2006-HE2, Class A3                       | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     434597 | PA      | $344324.61    | 0.16%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     175900 | PA      | $22763.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2023-R02, Class 1M1                  | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80864 | PA      | $82571.56     | 0.04%             | 2043-01-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                                            | Sprint Capital Corp.                                                                  | CUSIP: 852060AD4<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     217000 | PA      | $233183.48    | 0.11%             | 2028-11-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                      | J.P. Morgan Mortgage Trust, Series 2023-HE2, Class A1                                 | CUSIP: 46657FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     196254 | PA      | $197142.37    | 0.09%             | 2054-03-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                      | J.P. Morgan Mortgage Trust, Series 2024-VIS2, Class A1                                | CUSIP: 46658DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538192 | PA      | $543245.73    | 0.25%             | 2064-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                                  | Morgan Stanley Capital I Trust, Series 2015-UBS8, Class B                             | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203000 | PA      | $195807.89    | 0.09%             | 2048-12-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $16227.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     125000 | PA      | $127483.24    | 0.06%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PK Alift Loan Funding 7 LP                                                      | PK Alift Loan Funding 7 LP, Series 2025-2, Class A                                    | CUSIP: 69291NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     250000 | PA      | $250868.90    | 0.12%             | 2043-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                                           | Dominion Energy, Inc.                                                                 | CUSIP: 25746UEA3<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     140000 | PA      | $141656.58    | 0.07%             | 2056-02-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $6062717.46   | 2.84%             | 2055-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Capital One Financial Corp.                                                     | Capital One Financial Corp.                                                           | CUSIP: 14040HDM4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     165000 | PA      | $163834.42    | 0.08%             | 2031-09-11      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H26, Class EI                                                       | CUSIP: 38376RJY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     592756 | PA      | $19711.50     | 0.01%             | 2065-10-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     165000 | PA      | $119023.11    | 0.06%             | 2059-08-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $51618.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                      | Verus Securitization Trust, Series 2024-1, Class A1                                   | CUSIP: 92540EAA1<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |     472122 | PA      | $475328.20    | 0.22%             | 2069-01-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Enel Finance International NV                                                   | Enel Finance International NV                                                         | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |     235000 | PA      | $233603.16    | 0.11%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA5, Class M1A                                  | CUSIP: 35564KYN3<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | CORP              | US        |     240308 | PA      | $244851.51    | 0.11%             | 2042-06-25      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8W5<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     140000 | PA      | $135676.73    | 0.06%             | 2064-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-690.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2449.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Amphenol Corp.                                                                  | Amphenol Corp.                                                                        | CUSIP: 032095AZ4<br>LEI: 549300D3L3G0R4U4VT04 | Long             | DBT              | CORP              | US        |     240000 | PA      | $237396.36    | 0.11%             | 2033-02-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 9 Ltd.                                        | GoldenTree Loan Management US CLO 9 Ltd., Series 2021-9A, Class AR                    | CUSIP: 38138JAN3<br>LEI: 549300CQMHYJ3DLMP206 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251212.42    | 0.12%             | 2037-04-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                                 | BRAVO Residential Funding Trust, Series 2024-NQM2, Class A1                           | CUSIP: 10569KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145450 | PA      | $146710.96    | 0.07%             | 2064-02-25      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                                    | Exelon Corp.                                                                          | CUSIP: 30161NAC5<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     126000 | PA      | $132071.61    | 0.06%             | 2035-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2022-R04, Class 1M2                  | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $123423.74    | 0.06%             | 2042-03-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R04, Class 1M1                  | CUSIP: 20755TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     326371 | PA      | $327136.82    | 0.15%             | 2045-05-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                                | CVS Health Corp.                                                                      | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     127000 | PA      | $119392.17    | 0.06%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 406, Class F30                                                          | CUSIP: 3133Q3H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217738 | PA      | $219030.91    | 0.10%             | 2053-10-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2018-C02, Class 2M2                  | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      11494 | PA      | $11670.10     | 0.01%             | 2030-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital 27 Ltd.                                                      | Northwoods Capital 27 Ltd., Series 2021-27A, Class A1R                                | CUSIP: 66860XAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     380000 | PA      | $380376.38    | 0.18%             | 2034-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2072.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                              | Ares Capital Corp.                                                                    | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     472000 | PA      | $471552.43    | 0.22%             | 2026-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C22, Class C          | CUSIP: 61690FAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659000 | PA      | $583899.04    | 0.27%             | 2048-04-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Swiss Franc                                                                     | Swiss Franc                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CH        |     176976 | OU      | $219914.11    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Southern Power Co.                                                              | Southern Power Co., Series A                                                          | CUSIP: 843646AX8<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |      35000 | PA      | $34812.84     | 0.02%             | 2030-10-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5077, Class GI                                                          | CUSIP: 3137F94J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2866534 | PA      | $536398.10    | 0.25%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-278.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Magnetite XL Ltd.                                                               | Magnetite XL Ltd., Series 2024-40A, Class A1                                          | CUSIP: 55955RAA7<br>LEI: 5299008V4F49IY3SSP69 | Long             | ABS-CBDO         | CORP              | KY        |     512000 | PA      | $514327.60    | 0.24%             | 2037-07-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2021-14, Class CI                                                        | CUSIP: 3136BFDQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4308815 | PA      | $970632.50    | 0.46%             | 2049-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Ireland                                                             | Ireland Government Bond                                                               | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     110000 | PA      | $102332.15    | 0.05%             | 2045-02-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Radnor Re Ltd.                                                                  | Radnor Re Ltd., Series 2024-1, Class M1A                                              | CUSIP: 75049AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29194 | PA      | $29213.63     | 0.01%             | 2034-09-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 27 Ltd.                                                             | Elmwood CLO 27 Ltd., Series 2024-3A, Class A                                          | CUSIP: 29003FAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     300000 | PA      | $301350.00    | 0.14%             | 2037-04-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortgage Trust                                         | Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AX                     | CUSIP: 22545YBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     615331 | PA      | $133.28       | 0.00%             | 2049-01-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                                               | Eversource Energy                                                                     | CUSIP: 30040WAT5<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |      49000 | PA      | $50271.86     | 0.02%             | 2028-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-511.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Sweden                                                               | Sweden Government Bond                                                                | CUSIP: N/A<br>LEI: ERE94C0BSULG2RM19605       | Long             | DBT              | NUSS              | SE        |     660000 | PA      | $75532.93     | 0.04%             | 2039-03-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bristol-Myers Squibb Co.                                                        | Bristol-Myers Squibb Co.                                                              | CUSIP: 110122EF1<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |      52000 | PA      | $53374.26     | 0.03%             | 2029-02-22      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2022-R01, Class 1M1                  | CUSIP: 20754LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23165 | PA      | $23166.72     | 0.01%             | 2041-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R04, Class 1A1                  | CUSIP: 20755TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122432 | PA      | $122693.49    | 0.06%             | 2045-05-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $361.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pacific Gas and Electric Co.                                                    | Pacific Gas and Electric Co.                                                          | CUSIP: 694308KH9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     170000 | PA      | $183899.42    | 0.09%             | 2053-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                               | Wells Fargo & Co., Series BB                                                          | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     120000 | PA      | $119285.36    | 0.06%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2024-R04, Class 1M1                  | CUSIP: 20753GAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57787 | PA      | $57821.84     | 0.03%             | 2044-05-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     868000 | PA      | $636.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1131300 | PA      | $142257.93    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                                       | Turkiye Government Bond                                                               | CUSIP: 900123DA5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     380000 | PA      | $380518.92    | 0.18%             | 2031-01-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     658500 | PA      | $36314.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-22173.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CK9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     188000 | PA      | $142573.78    | 0.07%             | 2049-05-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    1050000 | PA      | $1072844.21   | 0.50%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10807.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Yuan Renminbi                                                                   | Yuan Renminbi                                                                         | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CN        |          0 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2017-H04, Class BI                                                       | CUSIP: 38376RT30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     870386 | PA      | $39193.57     | 0.02%             | 2067-02-20      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                           | Kraft Heinz Foods Co.                                                                 | CUSIP: 50077LAX4<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      65000 | PA      | $59208.30     | 0.03%             | 2039-10-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     808000 | PA      | $-14175.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      59000 | PA      | $55545.71     | 0.03%             | 2032-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1619.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Toll Brothers Finance Corp.                                                     | Toll Brothers Finance Corp.                                                           | CUSIP: 88947EAU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     425000 | PA      | $416862.72    | 0.20%             | 2029-11-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                          | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class D      | CUSIP: 46639EAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441000 | PA      | $419963.11    | 0.20%             | 2047-12-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12042.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5396.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $153585.42    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 25 Ltd.                                      | Neuberger Berman Loan Advisers CLO 25 Ltd., Series 2017-25A, Class AR2                | CUSIP: 64131JAU0<br>LEI: 549300YJLHTYDSFV8K03 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250690.25    | 0.12%             | 2038-07-18      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1448800 | PA      | $19208.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                        | COLT Mortgage Loan Trust, Series 2023-3, Class A1                                     | CUSIP: 19688RAA7<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |     615324 | PA      | $623399.48    | 0.29%             | 2068-09-25      | Fixed         | 7.18%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2017-C02, Class 2M2C                 | CUSIP: 30711XGN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      64940 | PA      | $65754.01     | 0.03%             | 2029-09-25      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $330.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 124857AZ6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     150000 | PA      | $146949.93    | 0.07%             | 2029-06-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                                              | Renaissance Home Equity Loan Trust, Series 2003-4, Class A1                           | CUSIP: 759950BP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     113787 | PA      | $104912.40    | 0.05%             | 2034-03-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2565500 | PA      | $70851.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AS Mileage Plan IP Ltd.                                                         | AS Mileage Plan IP Ltd.                                                               | CUSIP: 00218QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     345000 | PA      | $344161.18    | 0.16%             | 2029-10-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd.                                                                 | ICG US CLO Ltd., Series 2017-1A, Class ARR                                            | CUSIP: 449259AJ9<br>LEI: 254900T2ODAPJRGAZY53 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500244.49    | 0.23%             | 2034-07-28      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                          | Alternative Loan Trust, Series 2006-OA10, Class 1A1                                   | CUSIP: 02146QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88822 | PA      | $81967.50     | 0.04%             | 2046-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BAE Systems plc                                                                 | BAE Systems plc                                                                       | CUSIP: 05523RAL1<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     685000 | PA      | $711076.09    | 0.33%             | 2034-03-26      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR2, Class 2A1B            | CUSIP: 92922FD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73997 | PA      | $74326.31     | 0.03%             | 2045-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust, Series 2024-H4, Class A1                                        | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     531429 | PA      | $537769.40    | 0.25%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Canadian Dollar                                                                 | Canadian Dollar                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |     160810 | OU      | $114655.42    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GKL2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     597000 | PA      | $560355.29    | 0.26%             | 2037-03-08      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3033.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2016-C03, Class 2M2                  | CUSIP: 30711XCT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      15120 | PA      | $15291.67     | 0.01%             | 2028-10-25      | Floating      | 10.20%                | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                       | Ford Motor Credit Co. LLC                                                             | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $202300.02    | 0.09%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Bank of New York Mellon (The)                                                   | Bank of New York Mellon (The)                                                         | CUSIP: 06405LAH4<br>LEI: HPFHU0OQ28E4N0NFVK49 | Long             | DBT              | CORP              | US        |     615000 | PA      | $625077.93    | 0.29%             | 2029-04-20      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| Southern Gas Corridor CJSC                                                      | Southern Gas Corridor CJSC                                                            | CUSIP: N/A<br>LEI: 213800DG58KG59XY6318       | Long             | DBT              | NUSS              | AZ        |     250000 | PA      | $252743.49    | 0.12%             | 2026-03-24      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                   | Netflix, Inc.                                                                         | CUSIP: N/A<br>LEI: 549300Y7VHGU0I7CE873       | Long             | DBT              | CORP              | US        |     435000 | PA      | $523732.80    | 0.25%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Malaysian Ringgit                                                               | Malaysian Ringgit                                                                     | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | MY        |         -0 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Nippon Life Insurance Co.                                                       | Nippon Life Insurance Co.                                                             | CUSIP: 654579AP6<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |     385000 | PA      | $417543.28    | 0.20%             | 2055-04-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3445.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2020-C57, Class C                       | CUSIP: 95002XBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167000 | PA      | $152847.95    | 0.07%             | 2053-08-15      | Variable      | 4.02%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   90000000 | PA      | $474758.61    | 0.22%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     355000 | PA      | $378766.78    | 0.18%             | 2032-01-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-508.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AREIT Trust                                                                     | AREIT Trust, Series 2022-CRE6, Class A                                                | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     189754 | PA      | $189916.98    | 0.09%             | 2037-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Southern Co. Gas Capital Corp.                                                  | Southern Co. Gas Capital Corp.                                                        | CUSIP: 8426EPAH1<br>LEI: E8CD46SWUD2TSN8PA636 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100650.30    | 0.05%             | 2034-09-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | Banco Santander SA                                                                    | CUSIP: 05964HAJ4<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $200575.51    | 0.09%             | 2028-04-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $576.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     368000 | PA      | $373007.26    | 0.17%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PFC5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      95000 | PA      | $98563.45     | 0.05%             | 2036-07-23      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                       | Towd Point Mortgage Trust, Series 2025-HE1, Class A1A                                 | CUSIP: 89183LAA3<br>LEI: 2549002NBNESH9L3VV66 | Long             | ABS-O            | CORP              | US        |     103424 | PA      | $103516.56    | 0.05%             | 2065-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2162000 | PA      | $-22730.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Pound Sterling                                                                  | Pound Sterling                                                                        | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | GB        |     -15766 | OU      | $-20712.11    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      11000 | PA      | $11190.07     | 0.01%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Pharmacia LLC                                                                   | Pharmacia LLC                                                                         | CUSIP: 71713UAW2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     190000 | PA      | $204012.69    | 0.10%             | 2028-12-01      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| Athene Holding Ltd.                                                             | Athene Holding Ltd.                                                                   | CUSIP: 04686JAG6<br>LEI: 549300H316CT32FQXI76 | Long             | DBT              | CORP              | US        |     119000 | PA      | $123615.58    | 0.06%             | 2034-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class D           | CUSIP: 61762DAG6<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |     274000 | PA      | $251578.00    | 0.12%             | 2046-05-15      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                  | Structured Asset Mortgage Investments II Trust, Series 2007-AR7, Class 1A1            | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     270452 | PA      | $224696.77    | 0.11%             | 2047-05-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2022-160, Class IB                                                       | CUSIP: 38383YSF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4960305 | PA      | $1042976.00   | 0.49%             | 2050-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Kazakhstan                                                          | Kazakhstan Government Bond                                                            | CUSIP: N/A<br>LEI: 5493007OEK8EF02UO833       | Long             | DBT              | NUSS              | KZ        |     260000 | PA      | $257304.14    | 0.12%             | 2035-04-09      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Bank of Nova Scotia (The)                                                       | Bank of Nova Scotia (The)                                                             | CUSIP: 0641598X7<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     340000 | PA      | $355704.94    | 0.17%             | 2085-04-27      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | CDSCMBX                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      16000 | PA      | $-392.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1044.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Haleon US Capital LLC                                                           | Haleon US Capital LLC                                                                 | CUSIP: 36264FAL5<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |     310000 | PA      | $302082.21    | 0.14%             | 2029-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Southern Power Co.                                                              | Southern Power Co., Series B                                                          | CUSIP: 843646AY6<br>LEI: 5LADC78JBG2BMZD5XF57 | Long             | DBT              | CORP              | US        |      65000 | PA      | $64354.17     | 0.03%             | 2035-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      59000 | PA      | $57866.12     | 0.03%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class M1                    | CUSIP: 35563PBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30711 | PA      | $30615.85     | 0.01%             | 2056-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                    | ING Groep NV                                                                          | CUSIP: 456837BF9<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     275000 | PA      | $279183.22    | 0.13%             | 2027-09-11      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2022-13, Class CI                                                        | CUSIP: 3136BL6M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3989296 | PA      | $641916.79    | 0.30%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 8 Ltd.                                                          | Birch Grove CLO 8 Ltd., Series 2024-8A, Class A1                                      | CUSIP: 09077TAA3<br>LEI: 254900WH1INTG23INE62 | Long             | ABS-CBDO         | CORP              | JE        |     150000 | PA      | $150720.84    | 0.07%             | 2037-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd.                                                    | Royal Caribbean Cruises Ltd.                                                          | CUSIP: 78017TAB9<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |     155000 | PA      | $156131.05    | 0.07%             | 2036-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     261200 | PA      | $1696.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2021-DNA6, Class M2                                   | CUSIP: 35564KKY4<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | CORP              | US        |     312977 | PA      | $314346.42    | 0.15%             | 2041-10-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co.                                                                | DTE Electric Co.                                                                      | CUSIP: 23338VAY2<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103331.43    | 0.05%             | 2035-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                          | Alternative Loan Trust, Series 2006-OA10, Class 4A1                                   | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229025 | PA      | $201449.44    | 0.09%             | 2046-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                                 | Canadian Natural Resources Ltd.                                                       | CUSIP: 136385AC5<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     238000 | PA      | $267800.76    | 0.13%             | 2032-01-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $865.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-24058.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1759000 | PA      | $7516.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                                      | Netherlands Government Bond                                                           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     290000 | PA      | $311447.99    | 0.15%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 3618G7ST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     302175 | PA      | $313361.44    | 0.15%             | 2053-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                          | GSAA Home Equity Trust, Series 2006-15, Class AF3A                                    | CUSIP: 3622E8AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     827955 | PA      | $261184.81    | 0.12%             | 2036-09-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     160000 | PA      | $171325.71    | 0.08%             | 2055-04-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |       9000 | PA      | $7646.67      | 0.00%             | 2033-12-01      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAQ6<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     154000 | PA      | $157988.84    | 0.07%             | 2029-09-02      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                     | Onity Loan Investment Trust, Series 2025-HB1, Class A                                 | CUSIP: 68278EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60245 | PA      | $58931.12     | 0.03%             | 2038-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     990000 | PA      | $982014.57    | 0.46%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2033100 | PA      | $35804.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-189                                                                 | CUSIP: 38381D7S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    4742565 | PA      | $301521.88    | 0.14%             | 2061-06-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable Enterprises LLC                                               | Time Warner Cable Enterprises LLC                                                     | CUSIP: 88731EAJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     448000 | PA      | $519802.20    | 0.24%             | 2033-07-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 10 Year Ultra Notes                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          8 | NC      | $9966.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eagle Funding Luxco SARL                                                        | Eagle Funding Luxco SARL                                                              | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     260000 | PA      | $264459.00    | 0.12%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Austria                                                             | Austria Government Bond                                                               | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     360000 | PA      | $291869.41    | 0.14%             | 2047-02-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                              | Elevation CLO Ltd., Series 2021-13A, Class A1R                                        | CUSIP: 28622EAS7<br>LEI: 549300YZ3RIOTSOP0V95 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250147.09    | 0.12%             | 2034-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-DNA1, Class M1A                                  | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |     145675 | PA      | $147843.87    | 0.07%             | 2043-03-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Republic of Uzbekistan International Bond                                       | Uzbekistan Government Bond                                                            | CUSIP: 91824PAA5<br>LEI: 213800L6VDKUM3TCM927 | Long             | DBT              | NUSS              | UZ        |     240000 | PA      | $260750.17    | 0.12%             | 2032-02-28      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GMB2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     210000 | PA      | $214798.76    | 0.10%             | 2035-08-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                  | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-NQM2, Class A1            | CUSIP: 61776HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     256081 | PA      | $259139.06    | 0.12%             | 2069-05-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                                             | Kinder Morgan, Inc.                                                                   | CUSIP: 494553AD2<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     139000 | PA      | $142161.13    | 0.07%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRMI Securitization Trust                                                       | PRMI Securitization Trust, Series 2024-CMG1, Class A1                                 | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     217348 | PA      | $217956.43    | 0.10%             | 2054-07-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $87.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                                  | Synopsys, Inc.                                                                        | CUSIP: 871607AE7<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $254059.51    | 0.12%             | 2035-04-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $26278.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                 | CSAIL Commercial Mortgage Trust, Series 2016-C6, Class AS                             | CUSIP: 12636MAJ7<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |     254000 | PA      | $249973.31    | 0.12%             | 2049-01-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Kellanova                                                                       | Kellanova, Series B                                                                   | CUSIP: 487836AT5<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |      47000 | PA      | $54120.19     | 0.03%             | 2031-04-01      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1376.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Corebridge Financial, Inc.                                                      | Corebridge Financial, Inc.                                                            | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     149000 | PA      | $146977.49    | 0.07%             | 2029-04-05      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66919.00     | 0.03%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                             | Brown & Brown, Inc.                                                                   | CUSIP: 115236AL5<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |      89000 | PA      | $91284.26     | 0.04%             | 2032-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-904.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1260.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1867.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Comcast Corp.                                                                   | Comcast Corp.                                                                         | CUSIP: 20030NBW0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     368000 | PA      | $361349.26    | 0.17%             | 2027-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $163.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |  -46650000 | PA      | $-47757.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1458600 | PA      | $3097.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                       | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                             | CUSIP: 71568QAE7<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | NUSS              | ID        |     260000 | PA      | $267110.48    | 0.13%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   17077000 | PA      | $10351.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1024.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class AS                     | CUSIP: 95000GBA1<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |     707000 | PA      | $678168.68    | 0.32%             | 2049-08-15      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-31819.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 36179TSH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1614628 | PA      | $1554436.08   | 0.73%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2167000 | PA      | $969.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-76                                                                  | CUSIP: 38379B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     170216 | PA      | $35496.65     | 0.02%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nasdaq, Inc.                                                                    | Nasdaq, Inc.                                                                          | CUSIP: 63111XAJ0<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |      30000 | PA      | $31497.48     | 0.01%             | 2034-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023BS3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      62000 | PA      | $44413.25     | 0.02%             | 2046-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                               | Philip Morris International, Inc.                                                     | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     626000 | PA      | $646405.51    | 0.30%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                                 | Jefferies Financial Group, Inc.                                                       | CUSIP: 47233WKS7<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     300000 | PA      | $301407.59    | 0.14%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BBCMS Mortgage Trust                                                            | BBCMS Mortgage Trust, Series 2020-C8, Class XA                                        | CUSIP: 05552ABG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4537180 | PA      | $284164.49    | 0.13%             | 2053-10-15      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-228.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     773000 | PA      | $-6058.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-18.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-26266.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Cote d'Ivoire                                                       | Ivory Coast Government Bond                                                           | CUSIP: N/A<br>LEI: 254900ICW11T82O6H590       | Long             | DBT              | NUSS              | CI        |     340000 | PA      | $331547.49    | 0.16%             | 2033-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-698.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XAP5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     446000 | PA      | $441659.12    | 0.21%             | 2027-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Republic of Chile                                                               | Chile Government Bond                                                                 | CUSIP: 168863EE4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     320000 | PA      | $339584.00    | 0.16%             | 2037-01-13      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                        | COLT Mortgage Loan Trust, Series 2020-2, Class A2                                     | CUSIP: 19688JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88520 | PA      | $88211.06     | 0.04%             | 2065-03-25      | Variable      | 3.09%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                                   | Brazil Government Bond                                                                | CUSIP: 105756CF5<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     200000 | PA      | $205000.00    | 0.10%             | 2033-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                              | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                        | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |     623390 | PA      | $632292.42    | 0.30%             | 2068-11-25      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| SMBC Aviation Capital Finance DAC                                               | SMBC Aviation Capital Finance DAC                                                     | CUSIP: 78448TAL6<br>LEI: 549300OD7VKRVNWB2J98 | Long             | DBT              | CORP              | IE        |     485000 | PA      | $498646.79    | 0.23%             | 2029-04-03      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  845000000 | PA      | $5759136.13   | 2.70%             | 2031-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Diameter Capital CLO 7 Ltd.                                                     | Diameter Capital CLO 7 Ltd., Series 2024-7A, Class A1A                                | CUSIP: 25255WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251143.76    | 0.12%             | 2037-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1220.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4156.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAS1<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     368000 | PA      | $386332.66    | 0.18%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  310000000 | PA      | $2048122.17   | 0.96%             | 2040-03-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1981000 | PA      | $-6362.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hewlett Packard Enterprise Co.                                                  | Hewlett Packard Enterprise Co.                                                        | CUSIP: 42824CBU2<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |     162000 | PA      | $163730.38    | 0.08%             | 2031-10-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                       | Australia Government Bond                                                             | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     310000 | PA      | $153289.01    | 0.07%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                                           | Foundry JV Holdco LLC                                                                 | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |     200000 | PA      | $210703.46    | 0.10%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                                 | DR Horton, Inc.                                                                       | CUSIP: 23331ABS7<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     276000 | PA      | $279298.23    | 0.13%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     285000 | PA      | $294305.27    | 0.14%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                               | NatWest Group plc                                                                     | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     301000 | PA      | $296240.07    | 0.14%             | 2027-06-14      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-152.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ACA1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     240000 | PA      | $229287.88    | 0.11%             | 2028-02-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2016-75, Class LI                                                        | CUSIP: 38379YFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     302348 | PA      | $42771.66     | 0.02%             | 2040-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                              | Belgium Government Bond                                                               | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |    1500000 | PA      | $1551949.25   | 0.73%             | 2030-06-22      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                      | AT&T, Inc.                                                                            | CUSIP: 00206RGL0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      95000 | PA      | $94847.19     | 0.04%             | 2028-02-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Paraguay Government International Bond                                          | Paraguay Government Bond                                                              | CUSIP: N/A<br>LEI: 529900UXKJTJPCU0HK83       | Long             | DBT              | NUSS              | PY        |     370000 | PA      | $376053.20    | 0.18%             | 2031-04-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC / Charter Communications Operating Capital | Charter Communications Operating LLC / Charter Communications Operating Capital Corp. | CUSIP: 161175CS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     125000 | PA      | $124709.15    | 0.06%             | 2035-12-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                                                 | Jefferies Financial Group, Inc.                                                       | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |     117000 | PA      | $122827.78    | 0.06%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     170000 | PA      | $168298.58    | 0.08%             | 2032-09-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $777.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FMC Corp.                                                                       | FMC Corp.                                                                             | CUSIP: 302491AZ8<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | DBT              | CORP              | US        |     315000 | PA      | $306005.71    | 0.14%             | 2055-11-01      | Fixed         | 8.45%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     560000 | PA      | $565326.18    | 0.27%             | 2030-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                                              | Credit Agricole SA                                                                    | CUSIP: 225313AK1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $393745.98    | 0.18%             | 2033-01-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 2 Year Notes                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -23 | NC      | $5708.65      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class AS                      | CUSIP: 95001FAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182000 | PA      | $178957.58    | 0.08%             | 2060-01-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd.                                                              | Elevation CLO Ltd., Series 2018-10A, Class AR                                         | CUSIP: 28623CAL5<br>LEI: 5493005Q4N14IP6ASK07 | Long             | ABS-CBDO         | CORP              | KY        |      49828 | PA      | $49882.56     | 0.02%             | 2031-10-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $25860.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1669.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      65400 | PA      | $7499.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2024-DNA2, Class A1                                   | CUSIP: 35564NCW1<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | CORP              | US        |     113710 | PA      | $114309.41    | 0.05%             | 2044-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H0306B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $898750.00    | 0.42%             | 2055-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                                      | Netherlands Government Bond                                                           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     410000 | PA      | $508899.93    | 0.24%             | 2042-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| MetLife Capital Trust IV                                                        | MetLife Capital Trust IV                                                              | CUSIP: 591560AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     110000 | PA      | $123799.83    | 0.06%             | 2037-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                              | Macquarie Airfinance Holdings Ltd.                                                    | CUSIP: 55609NAE8<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     159000 | PA      | $160958.33    | 0.08%             | 2030-03-17      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                              | Berry Global, Inc.                                                                    | CUSIP: 08576PAF8<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     292000 | PA      | $282678.96    | 0.13%             | 2027-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     480000 | PA      | $530355.34    | 0.25%             | 2055-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      54000 | PA      | $40353.38     | 0.02%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2024-R05, Class 2M1                  | CUSIP: 20754XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13501 | PA      | $13499.59     | 0.01%             | 2044-07-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1355000 | PA      | $-6093.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2000000 | PA      | $2016805.82   | 0.95%             | 2055-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                       | CBAM Ltd., Series 2017-2A, Class AR                                                   | CUSIP: 12481KAS7<br>LEI: 254900JYLIAZT0YFW632 | Long             | ABS-CBDO         | CORP              | KY        |     175000 | PA      | $175199.06    | 0.08%             | 2034-07-17      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                                    | Uruguay Government Bond                                                               | CUSIP: 917288BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     475000 | PA      | $571691.00    | 0.27%             | 2033-01-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Won                                                                             | Won                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | KR        |          1 | OU      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Government Bond                                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |    1010000 | PA      | $1216258.85   | 0.57%             | 2033-10-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                               | American Electric Power Co., Inc., Series D                                           | CUSIP: 02557TAF6<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      95000 | PA      | $96284.88     | 0.05%             | 2056-03-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1824000 | PA      | $-170.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13019.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2164000 | PA      | $-18993.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| American Express Co.                                                            | American Express Co.                                                                  | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     311000 | PA      | $314917.12    | 0.15%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Vista Point Securitization Trust                                                | Vista Point Securitization Trust, Series 2020-2, Class A2                             | CUSIP: 92838TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33436 | PA      | $32409.32     | 0.02%             | 2065-04-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Marvell Technology, Inc.                                                        | Marvell Technology, Inc.                                                              | CUSIP: 573874AR5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      75000 | PA      | $75930.16     | 0.04%             | 2030-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     242000 | PA      | $242140.85    | 0.11%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK                                                                            | BANK, Series 2020-BN30, Class XA                                                      | CUSIP: 06541UCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6881413 | PA      | $332540.15    | 0.16%             | 2053-12-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2514.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Buxl                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          7 | NC      | $28921.13     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Multi-family Structured Pass-Through Certificates, Series K113, Class XAM      | CUSIP: 3137FV5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2243000 | PA      | $145157.54    | 0.07%             | 2030-06-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Ameren Corp.                                                                    | Ameren Corp.                                                                          | CUSIP: 023608AQ5<br>LEI: XRZQ5S7HYJFPHJ78L959 | Long             | DBT              | CORP              | US        |     198000 | PA      | $203003.59    | 0.10%             | 2029-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                               | Chase Home Lending Mortgage Trust, Series 2025-10, Class A11                          | CUSIP: 16160BBD8<br>LEI: 529900PXR6MEGSRAOO62 | Long             | ABS-MBS          | CORP              | US        |     100218 | PA      | $100323.88    | 0.05%             | 2056-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  435000000 | PA      | $2473195.85   | 1.16%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| GLP Capital LP / GLP Financing II, Inc.                                         | GLP Capital LP / GLP Financing II, Inc.                                               | CUSIP: 361841AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     193000 | PA      | $209523.89    | 0.10%             | 2033-12-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AF7<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     184000 | PA      | $186903.27    | 0.09%             | 2054-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Canada 10 Year Bond                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | CA        |         38 | NC      | $39956.14     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| 7-Eleven, Inc.                                                                  | 7-Eleven, Inc.                                                                        | CUSIP: 817826AE0<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |      54000 | PA      | $47039.49     | 0.02%             | 2031-02-10      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Tapestry, Inc.                                                                  | Tapestry, Inc.                                                                        | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143459.13    | 0.07%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                                | CVS Health Corp.                                                                      | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     328000 | PA      | $333298.33    | 0.16%             | 2032-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                             | New Residential Mortgage Loan Trust, Series 2018-4A, Class A1M                        | CUSIP: 64828FCS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26690 | PA      | $26312.07     | 0.01%             | 2048-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1653.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                                 | CSAIL Commercial Mortgage Trust, Series 2015-C1, Class C                              | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |     371000 | PA      | $338659.67    | 0.16%             | 2050-04-15      | Variable      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1008800 | PA      | $22206.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R01, Class 1M1                  | CUSIP: 20755JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82555 | PA      | $82679.84     | 0.04%             | 2045-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325DS1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $175920.00    | 0.08%             | 2031-04-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                           | Arroyo Mortgage Trust, Series 2019-3, Class A3                                        | CUSIP: 04285AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48201 | PA      | $46469.40     | 0.02%             | 2048-10-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust, Series 2024-H3, Class A1                                        | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246949 | PA      | $249998.99    | 0.12%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     184000 | PA      | $182264.30    | 0.09%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Republic of Ireland                                                             | Ireland Government Bond                                                               | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     260000 | PA      | $288661.64    | 0.14%             | 2029-05-15      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1563.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSAIL                                                                           | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class B                              | CUSIP: 12634NAY4<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |     177376 | PA      | $171336.18    | 0.08%             | 2057-06-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                      | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5, Class XA                | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7391612 | PA      | $275963.61    | 0.13%             | 2052-06-13      | Variable      | 1.44%                 | No            |                  2 | On Loan: No      |
| Ally Financial, Inc.                                                            | Ally Financial, Inc.                                                                  | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |     162000 | PA      | $184500.43    | 0.09%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chevy Chase Funding LLC Mortgage-Backed Certificates                            | Chevy Chase Funding LLC, Series 2006-4A, Class A2                                     | CUSIP: 16678XAB0<br>LEI: 5493000OPBL8EFF3O717 | Long             | ABS-MBS          | CORP              | US        |     139839 | PA      | $127233.53    | 0.06%             | 2047-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                                       | Viper Energy Partners LLC                                                             | CUSIP: 92764MAA2<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     128000 | PA      | $129212.80    | 0.06%             | 2030-08-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Australian Dollar                                                               | Australian Dollar                                                                     | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | AU        |     -79042 | OU      | $-51717.16    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     580000 | PA      | $670504.17    | 0.31%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2016-C01, Class 2M2                  | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      34396 | PA      | $34987.93     | 0.02%             | 2028-08-25      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| BANK                                                                            | BANK, Series 2019-BN20, Class XA                                                      | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8777361 | PA      | $234239.67    | 0.11%             | 2062-09-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $45148.55     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R01, Class 1A1                  | CUSIP: 20755JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84254 | PA      | $84349.90     | 0.04%             | 2045-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     139000 | PA      | $158379.08    | 0.07%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Pilgrim's Pride Corp.                                                           | Pilgrim's Pride Corp.                                                                 | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77973.31     | 0.04%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Republic Services, Inc.                                                         | Republic Services, Inc.                                                               | CUSIP: 760759BJ8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     378000 | PA      | $391443.70    | 0.18%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1730000 | PA      | $1859358.17   | 0.87%             | 2032-03-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                                     | FIGRE Trust, Series 2025-FL1, Class A1                                                | CUSIP: 31684QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     136731 | PA      | $137029.53    | 0.06%             | 2055-07-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                              | Dominican Republic Government Bond                                                    | CUSIP: N/A<br>LEI: 254900EHU7Q8FGVPI369       | Long             | DBT              | NUSS              | DO        |     241000 | PA      | $244807.80    | 0.11%             | 2027-01-25      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Government Bond                                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     410000 | PA      | $565553.13    | 0.27%             | 2044-10-31      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Northern States Power Co.                                                       | Northern States Power Co.                                                             | CUSIP: 665772CZ0<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     180000 | PA      | $184743.35    | 0.09%             | 2035-05-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                      | FHLMC Pool, 30 Year                                                                   | CUSIP: 3133KR5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1336409 | PA      | $1379485.91   | 0.65%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | FR        |   31100000 | PA      | $135325.81    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                              | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAL8<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     218000 | PA      | $222798.50    | 0.10%             | 2030-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-679.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4766.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP / PTL Finance Corp.                                 | Penske Truck Leasing Co. LP / PTL Finance Corp.                                       | CUSIP: 709599AW4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      93000 | PA      | $92220.42     | 0.04%             | 2026-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     975900 | PA      | $19679.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $7482.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Benin Government International Bond                                             | Benin Government Bond                                                                 | CUSIP: N/A<br>LEI: 635400Q11P6AE5A5Y230       | Long             | DBT              | NUSS              | BJ        |     225000 | PA      | $242920.50    | 0.11%             | 2035-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CJ2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      97000 | PA      | $88037.11     | 0.04%             | 2034-05-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                                    | FirstEnergy Transmission LLC                                                          | CUSIP: 33767BAG4<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     155000 | PA      | $156069.89    | 0.07%             | 2030-01-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Banco Santander SA                                                              | Banco Santander SA                                                                    | CUSIP: 05971KAA7<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     400000 | PA      | $400086.88    | 0.19%             | 2025-11-19      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                  | Broadcom, Inc.                                                                        | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     364000 | PA      | $362628.58    | 0.17%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1332.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 10 Year Notes                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         32 | NC      | $13706.53     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| VICI Properties LP                                                              | VICI Properties LP                                                                    | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     165000 | PA      | $166471.67    | 0.08%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 33 Ltd.                                                             | Elmwood CLO 33 Ltd., Series 2024-9RA, Class AR                                        | CUSIP: 29001EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250710.73    | 0.12%             | 2037-10-21      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2442.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-17                                                                  | CUSIP: 38380RNX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGSE             | US        |    2238252 | PA      | $178655.04    | 0.08%             | 2061-01-16      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0506B7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5000000 | PA      | $-4975606.80  | -2.33%            | 2055-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Macquarie Airfinance Holdings Ltd.                                              | Macquarie Airfinance Holdings Ltd.                                                    | CUSIP: 55609NAD0<br>LEI: 549300MCGUSL5B852H65 | Long             | DBT              | CORP              | GB        |     180000 | PA      | $192186.34    | 0.09%             | 2031-03-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                         | BPCE SA                                                                               | CUSIP: 05583JAC6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     250000 | PA      | $246052.52    | 0.12%             | 2027-10-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-43986.01    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                                | Spain Bonos Y Obligaciones del Estado                                                 | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     850000 | PA      | $979409.59    | 0.46%             | 2026-04-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-97, Class NI                                                        | CUSIP: 38382VKU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7261370 | PA      | $850066.10    | 0.40%             | 2049-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658CA8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     220000 | PA      | $226277.19    | 0.11%             | 2032-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DBUBS Mortgage Trust                                                            | DBUBS Mortgage Trust, Series 2011-LC3A, Class D                                       | CUSIP: 23305YAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     568458 | PA      | $550319.68    | 0.26%             | 2044-08-10      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2045426.44   | 0.96%             | 2055-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2022-R03, Class 1M2                  | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127000 | PA      | $131287.48    | 0.06%             | 2042-03-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AE0<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     240000 | PA      | $265844.63    | 0.12%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Brown & Brown, Inc.                                                             | Brown & Brown, Inc.                                                                   | CUSIP: 115236AM3<br>LEI: 549300PC8KTJ71XKFY89 | Long             | DBT              | CORP              | US        |     118000 | PA      | $121527.24    | 0.06%             | 2035-06-23      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1C3           | CUSIP: 92922F4V7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72263 | PA      | $69976.95     | 0.03%             | 2045-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                                | Paramount Global                                                                      | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     108000 | PA      | $81839.70     | 0.04%             | 2043-03-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Waste Management, Inc.                                                          | Waste Management, Inc.                                                                | CUSIP: 94106LBV0<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     147000 | PA      | $150817.65    | 0.07%             | 2029-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    5584100 | PA      | $369.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4753.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1080000 | PA      | $1099425.75   | 0.52%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                 | Intercontinental Exchange, Inc.                                                       | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     200000 | PA      | $201786.34    | 0.09%             | 2029-06-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | U.S. Treasury 5 Year Notes                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         44 | NC      | $-4535.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Multi-family Structured Pass-Through Certificates, Series K098, Class X1       | CUSIP: 3137FPHM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2726223 | PA      | $99838.10     | 0.05%             | 2029-08-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| LPL Holdings, Inc.                                                              | LPL Holdings, Inc.                                                                    | CUSIP: 50212YAH7<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     128000 | PA      | $136559.23    | 0.06%             | 2028-11-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1000000 | PA      | $945945.38    | 0.44%             | 2055-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3140.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $666.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CNO Global Funding                                                              | CNO Global Funding                                                                    | CUSIP: 18977W2F6<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |      54000 | PA      | $55006.64     | 0.03%             | 2029-09-09      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Xcel Energy, Inc.                                                               | Xcel Energy, Inc.                                                                     | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |     190000 | PA      | $197247.17    | 0.09%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Oaktree CLO Ltd.                                                                | Oaktree CLO Ltd., Series 2021-1A, Class A1R                                           | CUSIP: 67402JAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250495.93    | 0.12%             | 2038-01-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4867.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XEZ5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      66000 | PA      | $66977.64     | 0.03%             | 2029-10-06      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      11000 | PA      | $10777.80     | 0.01%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                                 | CFCRE Commercial Mortgage Trust, Series 2017-C8, Class B                              | CUSIP: 12532CBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $203297.56    | 0.10%             | 2050-06-15      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Constellation Energy Generation LLC                                             | Constellation Energy Generation LLC                                                   | CUSIP: 210385AB6<br>LEI: S2PEWKCZFFECR4533P43 | Long             | DBT              | CORP              | US        |     342000 | PA      | $353558.19    | 0.17%             | 2028-03-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co.                                                               | Georgia Power Co.                                                                     | CUSIP: 373334KW0<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     275000 | PA      | $284040.51    | 0.13%             | 2034-03-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     387000 | PA      | $384948.14    | 0.18%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                              | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C24, Class C          | CUSIP: 61765LAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     137531 | PA      | $136937.04    | 0.06%             | 2048-05-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Putnam Funds Trust                                                              | Putnam Short Term Investment Fund, Class P                                            | CUSIP: 74676P664<br>LEI: 549300S9JYWEMKQCLW53 | Long             |  | RF                | US        |    4516501 | NS      | $4516500.74   | 2.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Colombia                                                            | Colombia Government Bond                                                              | CUSIP: 195325EG6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     390000 | PA      | $414550.50    | 0.19%             | 2034-02-02      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                               | Venture Global Calcasieu Pass LLC                                                     | CUSIP: 92328MAE3<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     545000 | PA      | $556399.77    | 0.26%             | 2030-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CAX3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     368000 | PA      | $362333.71    | 0.17%             | 2027-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-951.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Blackstone Private Credit Fund                                                  | Blackstone Private Credit Fund                                                        | CUSIP: 09261HAK3<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     169000 | PA      | $165882.31    | 0.08%             | 2027-03-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   21002000 | PA      | $9465.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A3C3<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     385000 | PA      | $360267.05    | 0.17%             | 2028-08-19      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2013-CR13, Class C                                        | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18474 | PA      | $18217.66     | 0.01%             | 2046-11-10      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     270000 | PA      | $280984.72    | 0.13%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1958200 | PA      | $30452.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Confederation                                                             | Switzerland Government Bond                                                           | CUSIP: N/A<br>LEI: 5067006OA1BJ88912Q83       | Long             | DBT              | NUSS              | CH        |     540000 | PA      | $739049.13    | 0.35%             | 2028-04-08      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-HQA2, Class M1A                                  | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | CORP              | US        |      45147 | PA      | $45255.48     | 0.02%             | 2043-06-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc., Series NC5                                               | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     320000 | PA      | $334993.11    | 0.16%             | 2055-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $217594.34    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1203.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII Trust                                       | Bayview Opportunity Master Fund VII Trust, Series 2023-1A, Class A                    | CUSIP: 072927AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     139137 | PA      | $143111.14    | 0.07%             | 2060-10-28      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Schatz                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          9 | NC      | $-225.91      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-HQA1, Class M1A                                  | CUSIP: 35564KTA7<br>LEI: 5493000IRODEKU3J3Q16 | Long             | ABS-MBS          | CORP              | US        |       7622 | PA      | $7646.57      | 0.00%             | 2042-03-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| RR 29 Ltd.                                                                      | RR 29 Ltd., Series 2024-29RA, Class A1R                                               | CUSIP: 74989VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250685.53    | 0.12%             | 2039-07-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Republic of Bulgaria                                                            | Bulgaria Government Bond                                                              | CUSIP: N/A<br>LEI: 529900PG0XCL4LICL838       | Long             | DBT              | NUSS              | BG        |     110000 | PA      | $131397.69    | 0.06%             | 2032-09-05      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Trust                                              | Barclays Commercial Mortgage Trust, Series 2019-C3, Class B                           | CUSIP: 05550MAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246000 | PA      | $231971.92    | 0.11%             | 2052-05-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    1440000 | PA      | $1679752.88   | 0.79%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3382.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2019-42, Class SA                                                        | CUSIP: 3136B5VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2283680 | PA      | $275295.86    | 0.13%             | 2049-08-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                       | Vistra Operations Co. LLC                                                             | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     224000 | PA      | $222311.56    | 0.10%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2014-H12, Class BI                                                       | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     774644 | PA      | $27942.94     | 0.01%             | 2064-05-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                             | Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5                         | CUSIP: 17291EAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     238000 | PA      | $232918.37    | 0.11%             | 2049-12-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-189.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO I Ltd.                                                              | Elmwood CLO I Ltd., Series 2019-1A, Class A1RR                                        | CUSIP: 290015AW6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     225000 | PA      | $225894.66    | 0.11%             | 2037-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10929.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BAT Capital Corp.                                                               | BAT Capital Corp.                                                                     | CUSIP: 054989AF5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     245000 | PA      | $242117.83    | 0.11%             | 2033-03-22      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                            | JPMorgan Chase & Co.                                                                  | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     337000 | PA      | $348278.63    | 0.16%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     117800 | PA      | $11082.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-141.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of the Netherlands                                                      | Netherlands Government Bond                                                           | CUSIP: N/A<br>LEI: 254900G14ALGVKORFN62       | Long             | DBT              | NUSS              | NL        |     300000 | PA      | $342470.62    | 0.16%             | 2026-07-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AG7<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     124000 | PA      | $120029.98    | 0.06%             | 2053-05-19      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                  | JBS USA Holding Lux SARL / JBS USA Food Co. / JBS Lux Co. SARL                        | CUSIP: 46590XAN6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     192000 | PA      | $184133.78    | 0.09%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2015-LC19, Class C                                        | CUSIP: 200474BH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219671 | PA      | $212190.68    | 0.10%             | 2048-02-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $12260.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Intel Corp.                                                                     | Intel Corp.                                                                           | CUSIP: 458140CA6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     380000 | PA      | $367210.91    | 0.17%             | 2032-08-05      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Athene Global Funding                                                           | Athene Global Funding                                                                 | CUSIP: 04685A3Z2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     320000 | PA      | $329398.20    | 0.15%             | 2031-07-11      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     200000 | PA      | $196404.87    | 0.09%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA                 | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     507244 | PA      | $5.07         | 0.00%             | 2047-09-15      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| French Republic                                                                 | France Government Bond                                                                | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     620000 | PA      | $710979.74    | 0.33%             | 2033-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $47135.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $457.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13238.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M1                  | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39007 | PA      | $39009.12     | 0.02%             | 2042-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     175900 | PA      | $19029.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2544.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                           | Kraft Heinz Foods Co.                                                                 | CUSIP: 50076QAR7<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |      65000 | PA      | $72517.32     | 0.03%             | 2039-01-26      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2010-171, Class SB                                                       | CUSIP: 38377NRE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     279966 | PA      | $34319.84     | 0.02%             | 2040-12-16      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                                        | VICI Properties LP / VICI Note Co., Inc.                                              | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      62000 | PA      | $61411.48     | 0.03%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      24000 | PA      | $22669.41     | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Hungary                                                                         | Hungary Government Bond                                                               | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |     260000 | PA      | $266068.87    | 0.12%             | 2029-06-16      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                                        | U.S. Treasury Bills                                                                   | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |    1300000 | PA      | $1289519.18   | 0.60%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Kellanova                                                                       | Kellanova                                                                             | CUSIP: 487836BQ0<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |      32000 | PA      | $28291.90     | 0.01%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4986.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2024-105, Class FC                                                       | CUSIP: 3136BUBH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958472 | PA      | $961677.73    | 0.45%             | 2055-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                                                     | Aker BP ASA                                                                           | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |     190000 | PA      | $176141.15    | 0.08%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                              | Panama Government Bond                                                                | CUSIP: 698299BX1<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     420000 | PA      | $465990.00    | 0.22%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  205000000 | PA      | $1361185.01   | 0.64%             | 2027-06-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                            | United Kingdom Gilt                                                                   | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     610000 | PA      | $579999.88    | 0.27%             | 2068-07-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $97.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                                                       | OBX Trust, Series 2025-J2, Class AF                                                   | CUSIP: 67122EAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140339 | PA      | $140415.51    | 0.07%             | 2055-09-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                       | MFA Trust, Series 2023-INV2, Class A1                                                 | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798877 | PA      | $806397.91    | 0.38%             | 2058-10-25      | Fixed         | 6.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $22185.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. LP / PTL Finance Corp.                                 | Penske Truck Leasing Co. LP / PTL Finance Corp.                                       | CUSIP: 709599BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     395000 | PA      | $396026.91    | 0.19%             | 2027-07-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2019-C52, Class XA                      | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3023418 | PA      | $138554.47    | 0.07%             | 2052-08-15      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Motorola Solutions, Inc.                                                        | Motorola Solutions, Inc.                                                              | CUSIP: 620076CA5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |      59000 | PA      | $60195.20     | 0.03%             | 2030-08-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                                                     | Dick's Sporting Goods, Inc.                                                           | CUSIP: 253393AG7<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     200000 | PA      | $149352.60    | 0.07%             | 2052-01-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $193.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Trinitas CLO XVI Ltd.                                                           | Trinitas CLO XVI Ltd., Series 2021-16A, Class A1R                                     | CUSIP: 89642DAQ1<br>LEI: 5493004FCKEPFTK2QI86 | Long             | ABS-CBDO         | CORP              | KY        |     540000 | PA      | $540545.43    | 0.25%             | 2034-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                                     | Amgen, Inc.                                                                           | CUSIP: 031162DQ0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     185000 | PA      | $192050.19    | 0.09%             | 2030-03-02      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                              | Hyatt Hotels Corp.                                                                    | CUSIP: 448579AR3<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     185000 | PA      | $190327.48    | 0.09%             | 2029-06-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Paychex, Inc.                                                                   | Paychex, Inc.                                                                         | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |     492000 | PA      | $506025.81    | 0.24%             | 2030-04-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0206B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4056081.10   | 1.90%             | 2055-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Portuguese Republic                                                             | Portugal Obrigacoes do Tesouro OT                                                     | CUSIP: N/A<br>LEI: 549300P6U1FJ3IMP7K42       | Long             | DBT              | NUSS              | PT        |     320000 | PA      | $324467.01    | 0.15%             | 2031-10-17      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC, Series 5160, Class IA                                                          | CUSIP: 3137H3WE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          0 | PA      | $0.00         | 0.00%             | 2051-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Euro-Bund                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |          9 | NC      | $12563.82     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of the Philippines                                                     | Philippines Government Bond                                                           | CUSIP: 718286DG9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     360000 | PA      | $383743.33    | 0.18%             | 2035-02-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AES Andes SA                                                                    | AES Andes SA                                                                          | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |     200000 | PA      | $208836.40    | 0.10%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2017-C06, Class 2M2C                 | CUSIP: 30711XSV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      50042 | PA      | $50879.64     | 0.02%             | 2030-02-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Bank Gospodarstwa Krajowego                                                     | Bank Gospodarstwa Krajowego                                                           | CUSIP: N/A<br>LEI: 259400BCOV9JJIGLYF05       | Long             | DBT              | NUSS              | PL        |     200000 | PA      | $209227.31    | 0.10%             | 2033-05-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                               | American Electric Power Co., Inc., Series C                                           | CUSIP: 02557TAE9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |     285000 | PA      | $285776.91    | 0.13%             | 2056-03-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP, Series B                                                          | CUSIP: 29273VAJ9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     330000 | PA      | $329962.74    | 0.15%             | 2028-02-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119BS7<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     150000 | PA      | $150180.77    | 0.07%             | 2026-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Dick's Sporting Goods, Inc.                                                     | Dick's Sporting Goods, Inc.                                                           | CUSIP: 253393AF9<br>LEI: 529900SSBV5I4LWSK313 | Long             | DBT              | CORP              | US        |     185000 | PA      | $169915.94    | 0.08%             | 2032-01-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                                              | General Motors Financial Co., Inc.                                                    | CUSIP: 37045XFL5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      70000 | PA      | $69843.19     | 0.03%             | 2028-10-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-14325.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     329000 | PA      | $327224.27    | 0.15%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2025-R02, Class 1M1                  | CUSIP: 20754TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347670 | PA      | $348296.12    | 0.16%             | 2045-02-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                                   | Netflix, Inc.                                                                         | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20888.45     | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CP8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      45000 | PA      | $39245.78     | 0.02%             | 2035-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1958200 | PA      | $9899.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $136.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2021-214, Class AI                                                       | CUSIP: 38383FDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2950136 | PA      | $582648.29    | 0.27%             | 2051-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage-Backed Pass-Through Certificates Trust                            | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR9, Class A1C3            | CUSIP: 92922FU89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     143195 | PA      | $141652.82    | 0.07%             | 2045-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Citigroup, Inc.                                                                 | Citigroup, Inc.                                                                       | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      60000 | PA      | $63739.24     | 0.03%             | 2034-05-25      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                                     | Rogers Communications, Inc.                                                           | CUSIP: 775109CH2<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     144000 | PA      | $135770.35    | 0.06%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $19040.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1101000 | PA      | $2609.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     420000 | PA      | $434679.04    | 0.20%             | 2030-02-08      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1806.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     261200 | PA      | $41829.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Kingdom of Belgium                                                              | Belgium Government Bond                                                               | CUSIP: N/A<br>LEI: 549300SZ25JZFHRHWD76       | Long             | DBT              | NUSS              | BE        |     740000 | PA      | $847867.03    | 0.40%             | 2026-06-22      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Columbia Pipelines Operating Co. LLC                                            | Columbia Pipelines Operating Co. LLC                                                  | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $100595.39    | 0.05%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Aviation Capital Group LLC                                                      | Aviation Capital Group LLC                                                            | CUSIP: 05369AAQ4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |     260000 | PA      | $266166.42    | 0.12%             | 2029-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                     | Legacy Mortgage Asset Trust, Series 2021-GS3, Class A1                                | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197200 | PA      | $197325.26    | 0.09%             | 2061-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                           | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1, Class C                       | CUSIP: 95001FBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199000 | PA      | $190090.09    | 0.09%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CU1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $208287.10    | 0.10%             | 2034-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                  | Morgan Stanley                                                                        | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      30000 | PA      | $31477.37     | 0.01%             | 2038-01-19      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    4965000 | PA      | $-35579.35    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $151.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1496.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  600000000 | PA      | $3855882.97   | 1.81%             | 2027-03-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Australia 3 Year Bond                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | AU        |          1 | NC      | $-351.49      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ABL0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |      50000 | PA      | $53458.80     | 0.03%             | 2030-04-08      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658BY7<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     298000 | PA      | $307133.70    | 0.14%             | 2030-03-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                                  | Carnival Corp.                                                                        | CUSIP: 143658CB6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     295000 | PA      | $298831.37    | 0.14%             | 2029-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Sovereign in right of New Zealand                                               | New Zealand Government Bond                                                           | CUSIP: N/A<br>LEI: 549300237GPHG2AI7C34       | Long             | DBT              | NUSS              | NZ        |     380000 | PA      | $217160.49    | 0.10%             | 2029-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dominican Republic                                                              | Dominican Republic Government Bond                                                    | CUSIP: 25714PFB9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     250000 | PA      | $267037.50    | 0.13%             | 2037-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp.                                                                 | Air Lease Corp.                                                                       | CUSIP: 00914AAT9<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     139000 | PA      | $142906.87    | 0.07%             | 2027-12-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Battalion CLO 18 Ltd.                                                           | Battalion CLO 18 Ltd., Series 2020-18A, Class ARR                                     | CUSIP: 07134QAY2<br>LEI: 549300WYAEH0STKIKE49 | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $260256.13    | 0.12%             | 2036-10-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                                                  | Commonwealth Bank of Australia                                                        | CUSIP: 202712BV6<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |     400000 | PA      | $423563.86    | 0.20%             | 2034-03-13      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                         | Hyundai Capital America                                                               | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     497000 | PA      | $510773.26    | 0.24%             | 2029-03-19      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Canadian Natural Resources Ltd.                                                 | Canadian Natural Resources Ltd.                                                       | CUSIP: 136385BB6<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     104000 | PA      | $106265.71    | 0.05%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Teachers Insurance & Annuity Association of America                             | Teachers Insurance & Annuity Association of America                                   | CUSIP: 878091BC0<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |      92000 | PA      | $106132.06    | 0.05%             | 2039-12-16      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                                              | Hyatt Hotels Corp.                                                                    | CUSIP: 448579AT9<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     120000 | PA      | $122961.05    | 0.06%             | 2031-12-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DT Midstream, Inc.                                                              | DT Midstream, Inc.                                                                    | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     310000 | PA      | $320927.95    | 0.15%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-174.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5178204.95   | 2.43%             | 2055-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA2, Class M1A                                  | CUSIP: 35564KRE1<br>LEI: 5493000ISA3AUOXQEF68 | Long             | ABS-MBS          | CORP              | US        |      61772 | PA      | $61876.14     | 0.03%             | 2042-02-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | NDIRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 3919000000 | PA      | $-72227.88    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2021-R03, Class 1M2                  | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     296000 | PA      | $297607.04    | 0.14%             | 2041-12-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2025-1, Class A                            | CUSIP: 85772UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     752000 | PA      | $763504.10    | 0.36%             | 2026-07-23      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| Pfizer Investment Enterprises Pte. Ltd.                                         | Pfizer Investment Enterprises Pte. Ltd.                                               | CUSIP: 716973AC6<br>LEI: 5493000FQO8XF9C0RT95 | Long             | DBT              | CORP              | SG        |     102000 | PA      | $103081.21    | 0.05%             | 2028-05-19      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Corp. Nacional del Cobre de Chile                                               | Corp. Nacional del Cobre de Chile                                                     | CUSIP: 21987BBL1<br>LEI: 549300UVMBCBCIPSUI70 | Long             | DBT              | NUSS              | CL        |     200000 | PA      | $213880.00    | 0.10%             | 2035-01-13      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1333.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Long Gilt                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         37 | NC      | $161521.61    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9324.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA, Series 2023-49, Class IA                                                        | CUSIP: 3136BQKJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     361787 | PA      | $46378.03     | 0.02%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15369.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Arthur J Gallagher & Co.                                                        | Arthur J Gallagher & Co.                                                              | CUSIP: 04316JAL3<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |     125000 | PA      | $127673.91    | 0.06%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $727.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                    | Avolon Holdings Funding Ltd.                                                          | CUSIP: 05401ABA8<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     295000 | PA      | $296507.36    | 0.14%             | 2030-10-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2024-186                                                                 | CUSIP: 38384XVG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3238371 | PA      | $490144.61    | 0.23%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd.                                                           | OHA Loan Funding Ltd., Series 2016-1A, Class A1R2                                     | CUSIP: 67110UAW9<br>LEI: 54930016024GMIAF7A82 | Long             | ABS-CBDO         | CORP              | KY        |     427000 | PA      | $428948.77    | 0.20%             | 2037-07-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA6, Class M1A                                  | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | CORP              | US        |       8699 | PA      | $8749.42      | 0.00%             | 2042-09-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1772500.00   | 0.83%             | 2055-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Republic of Guatemala                                                           | Guatemala Government Bond                                                             | CUSIP: N/A<br>LEI: 529900QKDFFU9UWW5315       | Long             | DBT              | NUSS              | GT        |     200000 | PA      | $216000.00    | 0.10%             | 2036-06-13      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $24903.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Apex Credit CLO 2024-II Ltd.                                                    | Apex Credit CLO Ltd., Series 2024-2A, Class A                                         | CUSIP: 03753EAA0<br>LEI: 213800V47GF24QSFBA63 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250797.81    | 0.12%             | 2037-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Japan 10 Year Bonds                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -10 | NC      | $54938.20     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                             | IRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2352000 | PA      | $22289.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                           | NextEra Energy Capital Holdings, Inc.                                                 | CUSIP: 65339KDM9<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |      40000 | PA      | $41415.45     | 0.02%             | 2055-03-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                            | Meta Platforms, Inc.                                                                  | CUSIP: 30303M8R6<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     710000 | PA      | $708397.48    | 0.33%             | 2063-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-660.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Commonwealth of Australia                                                       | Australia Government Bond                                                             | CUSIP: N/A<br>LEI: 213800J6B7JSBDETCB42       | Long             | DBT              | NUSS              | AU        |     220000 | PA      | $135731.00    | 0.06%             | 2037-04-21      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Station Place Securitization Trust                                              | Station Place Securitization Trust, Series 2025-7, Class A                            | CUSIP: 85779XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     750000 | PA      | $751821.75    | 0.35%             | 2026-11-24      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                        | PNC Financial Services Group, Inc. (The)                                              | CUSIP: 693475CE3<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |      65000 | PA      | $66796.76     | 0.03%             | 2036-07-21      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| Exelon Corp.                                                                    | Exelon Corp.                                                                          | CUSIP: 30161NBM2<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     383000 | PA      | $394040.55    | 0.18%             | 2029-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-85335.85    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-114.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5917.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-136.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77504.47     | 0.04%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| 7-Eleven, Inc.                                                                  | 7-Eleven, Inc.                                                                        | CUSIP: 817826AD2<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     483000 | PA      | $452884.96    | 0.21%             | 2028-02-10      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO III Ltd.                                                            | Elmwood CLO III Ltd., Series 2019-3A, Class A1RR                                      | CUSIP: 29002HAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250714.63    | 0.12%             | 2037-07-18      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| Japan                                                                           | Japan Government Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |   93000000 | PA      | $418399.45    | 0.20%             | 2047-03-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | OIS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2716000 | PA      | $45833.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4245894.80   | 1.99%             | 2055-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Republic of Germany                                                     | Bundesrepublik Deutschland Bundesanleihe                                              | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     900000 | PA      | $1040802.15   | 0.49%             | 2034-08-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     117800 | PA      | $14053.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCF0<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      63000 | PA      | $63724.58     | 0.03%             | 2054-06-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Williams Cos., Inc. (The)                                                       | Williams Cos., Inc. (The)                                                             | CUSIP: 969457CP3<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     175000 | PA      | $181688.20    | 0.09%             | 2035-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                        | South Africa Government Bond                                                          | CUSIP: 836205AW4<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     400000 | PA      | $404989.07    | 0.19%             | 2027-09-27      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                           | NextEra Energy Capital Holdings, Inc.                                                 | CUSIP: 65339KDK3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     130000 | PA      | $135669.80    | 0.06%             | 2032-03-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                              | T-Mobile USA, Inc.                                                                    | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     198000 | PA      | $192496.16    | 0.09%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-28.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       3000 | PA      | $3083.68      | 0.00%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $708.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MSCI, Inc.                                                                      | MSCI, Inc.                                                                            | CUSIP: 55354GAK6<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |     451000 | PA      | $429265.46    | 0.20%             | 2030-09-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust, Series 2013-C11, Class C                             | CUSIP: 92937EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295000 | PA      | $284909.17    | 0.13%             | 2045-03-15      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Viper Energy Partners LLC                                                       | Viper Energy Partners LLC                                                             | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |     126000 | PA      | $128571.66    | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599EJ0<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     140000 | PA      | $143046.96    | 0.07%             | 2029-08-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1287.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA, Series 2015-H26, Class DI                                                       | CUSIP: 38376RJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     460502 | PA      | $22767.70     | 0.01%             | 2065-10-20      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| WestRock MWV LLC                                                                | WestRock MWV LLC                                                                      | CUSIP: 961548AV6<br>LEI: 4DL8C98Z5G5IXZLH3578 | Long             | DBT              | CORP              | US        |     155000 | PA      | $176773.88    | 0.08%             | 2030-01-15      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                              | Southern Co. (The)                                                                    | CUSIP: 842587DS3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      26000 | PA      | $27043.25     | 0.01%             | 2029-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                       | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                             | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     660000 | PA      | $609295.93    | 0.29%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $495.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-75.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                                          | Truist Financial Corp.                                                                | CUSIP: 89788MAS1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |     180000 | PA      | $188726.00    | 0.09%             | 2035-01-24      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                           | Bank of America Corp.                                                                 | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      98000 | PA      | $102640.08    | 0.05%             | 2036-01-24      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| SHRN Trust                                                                      | SHRN Trust, Series 2025-MF18, Class A                                                 | CUSIP: 82556AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     320000 | PA      | $320415.68    | 0.15%             | 2040-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-514.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Electric Power Co., Inc.                                               | American Electric Power Co., Inc.                                                     | CUSIP: 025537AX9<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |      98000 | PA      | $103357.42    | 0.05%             | 2033-03-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $111.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI Properties LP / VICI Note Co., Inc.                                        | VICI Properties LP / VICI Note Co., Inc.                                              | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     510000 | PA      | $498509.57    | 0.23%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5715.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kinder Morgan Energy Partners LP                                                | Kinder Morgan Energy Partners LP                                                      | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     198000 | PA      | $190237.32    | 0.09%             | 2044-09-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2565500 | PA      | $37206.14     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EURO                                                                            | EURO                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |     292258 | OU      | $336871.76    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                                    | UBS Group AG                                                                          | CUSIP: 225401AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     379000 | PA      | $376156.93    | 0.18%             | 2027-02-02      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CE3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      85000 | PA      | $69390.12     | 0.03%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119CV9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     263000 | PA      | $266791.17    | 0.13%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $47628.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                      | J.P. Morgan Mortgage Trust, Series 2025-2, Class A11                                  | CUSIP: 46593NAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     582692 | PA      | $582337.65    | 0.27%             | 2055-07-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0426B4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3000000 | PA      | $-2924567.52  | -1.37%            | 2055-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-17870.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Poland                                                              | Poland Government Bond                                                                | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |    1480000 | PA      | $418079.96    | 0.20%             | 2029-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                   | Uniform Mortgage-Backed Securities                                                    | CUSIP: 01F0326B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $922095.49    | 0.43%             | 2055-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                                                 | Virginia Electric and Power Co., Series C                                             | CUSIP: 927804GV0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     230000 | PA      | $229430.63    | 0.11%             | 2035-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                                  | Broadcom, Inc.                                                                        | CUSIP: 11135FAN1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     600000 | PA      | $597480.94    | 0.28%             | 2026-09-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      89000 | PA      | $92860.91     | 0.04%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                                    | Oracle Corp.                                                                          | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     154000 | PA      | $119664.16    | 0.06%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M1                  | CUSIP: 207941AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34154 | PA      | $34164.42     | 0.02%             | 2044-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                                  | Morgan Stanley Residential Mortgage Loan Trust, Series 2024-3, Class AF               | CUSIP: 61776QAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131401 | PA      | $131289.32    | 0.06%             | 2054-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Eastern Energy Gas Holdings LLC                                                 | Eastern Energy Gas Holdings LLC                                                       | CUSIP: 27636AAA0<br>LEI: 549300BFOD6TDMVV4O24 | Long             | DBT              | CORP              | US        |      53000 | PA      | $52200.16     | 0.02%             | 2054-10-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023CM5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     152000 | PA      | $149178.25    | 0.07%             | 2027-02-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Republic of Austria                                                             | Austria Government Bond                                                               | CUSIP: N/A<br>LEI: 529900QWWUI4XRVR7I03       | Long             | DBT              | NUSS              | AT        |     630000 | PA      | $687007.18    | 0.32%             | 2029-02-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                                | Boeing Co. (The)                                                                      | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5305.86      | 0.00%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Icon Investments Six DAC                                                        | Icon Investments Six DAC                                                              | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |     215000 | PA      | $219553.80    | 0.10%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                            | GNMA II, Single-family, 30 Year                                                       | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -2000000 | PA      | $-2035715.84  | -0.96%            | 2055-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2023-HQA3, Class A1                                   | CUSIP: 35564K3F4<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | CORP              | US        |     128597 | PA      | $129897.72    | 0.06%             | 2043-11-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1574.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $86.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ashtead Capital, Inc.                                                           | Ashtead Capital, Inc.                                                                 | CUSIP: 045054AF0<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |     435000 | PA      | $434494.21    | 0.20%             | 2027-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAR4<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     191000 | PA      | $195342.81    | 0.09%             | 2034-09-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Crown Castle, Inc.                                                              | Crown Castle, Inc.                                                                    | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98955.49     | 0.05%             | 2028-02-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Compass Datacenters Issuer II LLC                                               | Compass Datacenters Issuer II LLC, Series 2025-2A, Class A1                           | CUSIP: 20469CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     458000 | PA      | $459576.89    | 0.22%             | 2050-11-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Royalty Pharma plc                                                              | Royalty Pharma plc                                                                    | CUSIP: 78081BAU7<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | CORP              | GB        |     130000 | PA      | $130288.32    | 0.06%             | 2035-09-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| DR Horton, Inc.                                                                 | DR Horton, Inc.                                                                       | CUSIP: 23331ABU2<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | DBT              | CORP              | US        |     540000 | PA      | $561034.66    | 0.26%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1140000 | PA      | $115283.81    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Symphony CLO XXIII Ltd.                                                         | Symphony CLO XXIII Ltd., Series 2020-23A, Class AR2                                   | CUSIP: 87167NDL6<br>LEI: 54930001DQI1CFLYVB48 | Long             | ABS-CBDO         | CORP              | KY        |     309482 | PA      | $309653.75    | 0.15%             | 2034-01-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2003.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                       | HCA, Inc.                                                                             | CUSIP: 404119DE6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     115000 | PA      | $114319.83    | 0.05%             | 2032-11-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2559.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                            | Cross Mortgage Trust, Series 2024-H1, Class A1                                        | CUSIP: 22757AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257107 | PA      | $259370.59    | 0.12%             | 2068-12-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                       | OBX Trust, Series 2023-NQM7, Class A1                                                 | CUSIP: 67117XAA4<br>LEI: 254900K7TTKPUWNMSZ83 | Long             | ABS-MBS          | CORP              | US        |     284259 | PA      | $288039.21    | 0.14%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                            | FNMA Connecticut Avenue Securities Trust, Series 2017-C06, Class 2M2                  | CUSIP: 30711XSX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | CORP              | US        |      87670 | PA      | $89136.86     | 0.04%             | 2030-02-25      | Floating      | 7.10%                 | No            |                  2 | On Loan: No      |
| Philip Morris International, Inc.                                               | Philip Morris International, Inc.                                                     | CUSIP: 718172DG1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     535000 | PA      | $546374.90    | 0.26%             | 2029-02-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-659.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                                      | Occidental Petroleum Corp.                                                            | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |     286000 | PA      | $301399.10    | 0.14%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Synopsys, Inc.                                                                  | Synopsys, Inc.                                                                        | CUSIP: 871607AG2<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | DBT              | CORP              | US        |      20000 | PA      | $20220.80     | 0.01%             | 2055-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy Partners LP                                                     | Cheniere Energy Partners LP                                                           | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     137000 | PA      | $125227.66    | 0.06%             | 2032-01-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                               | Italy Buoni Poliennali del Tesoro                                                     | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    1000000 | PA      | $1170355.86   | 0.55%             | 2030-07-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| American Tower Corp.                                                            | American Tower Corp.                                                                  | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     217000 | PA      | $204938.01    | 0.10%             | 2030-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                      | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class B                  | CUSIP: 46643ABK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188000 | PA      | $182538.56    | 0.09%             | 2047-09-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2022-DNA3, Class M1B                                  | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $31169.46     | 0.01%             | 2042-04-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | NDIRS                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  192710000 | PA      | $142294.85    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                                              | Energy Transfer LP                                                                    | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     203000 | PA      | $208941.23    | 0.10%             | 2029-07-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                           | FHLMC STACR REMIC Trust, Series 2025-DNA1, Class A1                                   | CUSIP: 35564NFY4<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |      49375 | PA      | $49447.21     | 0.02%             | 2045-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | Forward Foreign Currency Contract                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $697.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1131300 | PA      | $33860.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                               | Duke Energy Corp.                                                                     | CUSIP: 26441CCC7<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      26000 | PA      | $26498.63     | 0.01%             | 2029-01-05      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                             | SOP                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1685000 | PA      | $158957.58    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| New Zealand Dollar                                                              | New Zealand Dollar                                                                    | CUSIP: N/A<br>LEI: N/A                        | Short            | STIV             |  | NZ        |    -174962 | OU      | $-100122.28   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| COMM Mortgage Trust                                                             | COMM Mortgage Trust, Series 2014-CR14, Class C                                        | CUSIP: 12630DBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52000 | PA      | $50102.00     | 0.02%             | 2047-02-10      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                      | Mars, Inc.                                                                            | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     240000 | PA      | $244373.65    | 0.11%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-12-01

**Name of Applicant:** Putnam Global Income Trust

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer