# EDGAR Filing Document

**Accession Number:** 0000896435
**File Stem:** 0001752724-23-050136
**Filing Date:** 2023-3
**Character Count:** 409805
**Document Hash:** 6935c3e3d0c31bce32834c77531c4c59
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-050136.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001752724-23-050136

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230301

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM VARIABLE INSURANCE FUNDS (INVESCO VARIABLE INSURANCE FUNDS)
- **CENTRAL INDEX KEY:** 0000896435
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07452
- **FILM NUMBER:** 23693274

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

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

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Houston

  - **State:** TX

  - **Foreign country:** US

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

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $794216257.09

**Total Liabilities:** $56406773.31

**Net Assets:** $737809483.78

**Amount of Assets Invested in Other Investment Companies:** $17961873.89

**Cash Not Reported:** $70851683.43

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1775.06692099 | **1-Year:** -15202.32197351 | **5-Year:** -40501.87640101 | **10-Year:** -38021.14148952 | **30-Year:** -27875.32683991

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

- **3-Month:** -3760.26266413 | **1-Year:** -10563.38923773 | **5-Year:** -33710.32541569 | **10-Year:** -16635.06736465 | **30-Year:** -5607.91135012

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000209370 | 1.09%                | 4.84%                | 1.03%                |
| Class ID C000209369 | 1.05%                | 4.95%                | 0.99%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6112377.47             | $8652984.24                                |
| Month 2  | $-4842623.24             | $27809144.70                               |
| Month 3  | $-2883028.21             | $906180.24                                 |

**Designated Index Information**

- **Index Name:** 50% Bloomberg Global Aggregate Index, 20% Bloomberg US Corporate High Yield Bond Index, 15% JP Morgan EMBI Global Diversified Index,15% JP Morgan GBI-EM Global Diversified Index

- **Index Identifier:** 50% BB-Glb Agg Stat, 20% BB-US Corp HY, 15% JPM-EMBI Glb Dvrsf, 15% JPM-GBI EM Glb Dvrsf Comp

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Invesco Treasury Portfolio                                           | Invesco Treasury Portfolio, Institutional Class                                  | CUSIP: 825252406<br>LEI: 5493004B3TM8ZIDDDC39 | Long             | STIV             | RF                | US        |    18900197 | NS      | $18900197.23  | 2.56%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-358832.37   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $18924.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sonic Automotive, Inc.                                               | Sonic Automotive, Inc.                                                           | CUSIP: 83545GBD3<br>LEI: 549300NTLRGJ2JCBZU03 | Long             | DBT              | CORP              | US        |      945000 | PA      | $757897.43    | 0.10%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Alhambra SME Funding DAC                                             | Alhambra SME Funding DAC, Series 2019-1, Class B                                 | CUSIP: BCC2KKGS1<br>LEI: 635400YAJGI5TGJENW90 | Long             | ABS-CBDO         | CORP              | IE        |      625000 | PA      | $657834.03    | 0.09%             | 2028-11-30      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     -375000 | NC      | $-71457.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                              | GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1                              | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2272 | PA      | $2090.64      | 0.00%             | 2035-07-25      | Variable      | 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      | $55090.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                  | SUZANO AUSTRIA GMBH                                                              | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      750000 | PA      | $630886.13    | 0.09%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                     | Brazil Notas do Tesouro Nacional, Series B                                       | CUSIP: EK6971114<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     2300000 | PA      | $1710424.51   | 0.23%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $97423.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      101082 | PA      | $14681.75     | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Adani Electricity Mumbai Ltd.                                        | Adani Electricity Mumbai Ltd.                                                    | CUSIP: 00654GAA1<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |     1500000 | PA      | $1149190.85   | 0.16%             | 2030-02-12      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FCCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       46748 | PA      | $7553.63      | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        4416 | PA      | $4434.64      | 0.00%             | 2032-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                    | Genesis Energy L.P./ Genesis Energy Finance Corp.                                | CUSIP: 37185LAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      274000 | PA      | $251133.78    | 0.03%             | 2026-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $255201.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                           | Occidental Petroleum Corp.                                                       | CUSIP: 674599EF8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      180000 | PA      | $182000.63    | 0.02%             | 2031-01-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ILPT Commercial Mortgage Trust                                       | ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class B                        | CUSIP: 449652AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900000 | PA      | $897867.81    | 0.12%             | 2039-10-15      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      600000 | NC      | $154613.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Ludgate Funding PLC                                                  | Ludgate Funding PLC, Series 2007-1, Class MA                                     | CUSIP: BCC0YN9Q6<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |     1019780 | PA      | $1072726.48   | 0.15%             | 2061-01-01      | Floating      | 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      | $-401465.57   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Klabin Austria GmbH                                                  | Klabin Austria GmbH                                                              | CUSIP: 49836AAA2<br>LEI: 984500578YEA8DD41B09 | Long             | DBT              | CORP              | AT        |      290000 | PA      | $286186.53    | 0.04%             | 2029-04-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PetSmart Inc / PetSmart Finance Corp.                                | PetSmart Inc / PetSmart Finance Corp.                                            | CUSIP: 71677KAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $453606.00    | 0.06%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $29245.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                        | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      206000 | PA      | $186591.27    | 0.03%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Hellenic Republic Government Bond                                    | Hellenic Republic Government Bond, Series GDP                                    | CUSIP: EJ0435655<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |    23730000 | PA      | $62234.33     | 0.01%             | 2042-10-15      | Variable      | 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      | $-254709.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      550000 | PA      | $500607.25    | 0.07%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mativ Holdings, Inc.                                                 | Mativ Holdings, Inc.                                                             | CUSIP: 808541AA4<br>LEI: 549300Z1FU4IDULG1R21 | Long             | DBT              | CORP              | US        |     2198000 | PA      | $1944944.26   | 0.26%             | 2026-10-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                                  | U.S. Treasury Bills                                                              | CUSIP: 912796YT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6000000 | PA      | $5772547.98   | 0.78%             | 2023-11-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury Inflation Indexed Bonds                       | United States Treasury Inflation Indexed Bonds                                   | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17536905 | PA      | $16077105.85  | 2.18%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Valaris Ltd.                                                         | Valaris Ltd.                                                                     | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      177000 | PA      | $178261.21    | 0.02%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria S.A.                                 | Banco Bilbao Vizcaya Argentaria S.A.                                             | CUSIP: AX7516377<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |      600000 | PA      | $626558.49    | 0.08%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                             | Fannie Mae Connecticut Avenue Securities, Series 2022-R08, Class 1M2             | CUSIP: 20755DAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1350000 | PA      | $1340934.21   | 0.18%             | 2042-07-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Carriage Services, Inc.                                              | Carriage Services, Inc.                                                          | CUSIP: 143905AP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1031000 | PA      | $820055.49    | 0.11%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                                | Claire's Holdings LLC, Class s                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | US        |         235 | NS      | $94000.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-76808.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Accor S.A.                                                           | Accor S.A.                                                                       | CUSIP: AW7984395<br>LEI: 969500QZC2Q0TK11NV07 | Long             | DBT              | CORP              | FR        |      800000 | PA      | $809302.63    | 0.11%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Viatris Inc.                                                         | Viatris Inc.                                                                     | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |      780000 | PA      | $525456.94    | 0.07%             | 2040-06-22      | 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      | $-104957.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        7786 | PA      | $7835.07      | 0.00%             | 2037-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Holly Energy Partners L.P./ Holly Energy Finance Corp.               | Holly Energy Partners L.P./ Holly Energy Finance Corp.                           | CUSIP: 435765AJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      457000 | PA      | $449592.90    | 0.06%             | 2027-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                               | Hilcorp Energy I, L.P.                                                           | CUSIP: 431318AZ7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |      107000 | PA      | $92489.28     | 0.01%             | 2032-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5428.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Macy's Retail Holdings, LLC                                          | Macy's Retail Holdings, LLC                                                      | CUSIP: 55616XAM9<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |      269000 | PA      | $187700.13    | 0.03%             | 2034-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC                                                                   | CUSIP: 21887JAR3<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      473880 | PA      | $446325.52    | 0.06%             | 2025-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      149000 | PA      | $141678.51    | 0.02%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Intercontinental Exchange, Inc.                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $77265.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                        | Asbury Automotive Group, Inc.                                                    | CUSIP: 043436AW4<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      628000 | PA      | $529918.96    | 0.07%             | 2029-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Notes Future                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         356 | NC      | $-298562.61   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                     | CUSIP: EK7554620<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1300000 | PA      | $1289437.50   | 0.17%             | N/A             | Variable      | 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      | $-194545.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| United Natural Foods, Inc.                                           | United Natural Foods, Inc., First Lien Term Loan                                 | CUSIP: 91116KAB1<br>LEI: 549300GKGW6WPZ282D40 | Long             | LON              | CORP              | US        |      387244 | PA      | $386835.52    | 0.05%             | 2025-10-22      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| EQM Midstream Partners, L.P.                                         | EQM Midstream Partners, L.P.                                                     | CUSIP: 26885BAL4<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |       55000 | PA      | $45070.03     | 0.01%             | 2031-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $75.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31396XUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      144898 | PA      | $10425.39     | 0.00%             | 2037-06-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      600000 | NC      | $96346.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       15664 | PA      | $2498.25      | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Merrill Lynch & Co., Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -16294000 | NC      | $-68320.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust                          | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-1, Class A1             | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8401 | PA      | $8056.20      | 0.00%             | 2036-02-25      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Eurohome UK Mortgages PLC                                            | Eurohome UK Mortgages PLC, Series 2007-2, Class B1                               | CUSIP: BCC0ZHX24<br>LEI: 213800B2HNVAOW7VZL10 | Long             | ABS-MBS          | CORP              | GB        |      872000 | PA      | $779602.13    | 0.11%             | 2044-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                | Federal National Mortgage Association                                            | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      105892 | PA      | $110283.28    | 0.01%             | 2033-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                          | Nationwide Building Society                                                      | CUSIP: BJ9806842<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      725000 | PA      | $788768.07    | 0.11%             | N/A             | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                    | CSC Holdings, LLC                                                                | CUSIP: 126307AZ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      280000 | PA      | $229492.20    | 0.03%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                | Dominican Republic International Bond                                            | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      500000 | PA      | $416905.53    | 0.06%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                             | Republic of South Africa Government Bond, Series 2030                            | CUSIP: EJ7500048<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   280950000 | PA      | $14745069.52  | 2.00%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo S.p.A.                                               | Intesa Sanpaolo S.p.A.                                                           | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      618000 | PA      | $630960.41    | 0.09%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-794350.32   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       30073 | PA      | $2960.08      | 0.00%             | 2032-12-18      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CITIBANK, N.A.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-1299.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                           | Allison Transmission, Inc.                                                       | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     1014000 | PA      | $835282.50    | 0.11%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                     | Federal Home Loan Mortgage Corp.                                                 | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        7438 | PA      | $7761.50      | 0.00%             | 2037-10-01      | 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      | $56863.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       17690 | PA      | $3062.25      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                     | Skandinaviska Enskilda Banken AB                                                 | CUSIP: ZQ3492860<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |     1600000 | PA      | $1496000.00   | 0.20%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Heimstaden Bostad AB                                                 | Heimstaden Bostad AB                                                             | CUSIP: N/A<br>LEI: 549300TJR3PR8EXILG79       | Long             | DBT              | CORP              | SE        |      650000 | PA      | $400998.94    | 0.05%             | N/A             | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-186673.58   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                           | Occidental Petroleum Corp.                                                       | CUSIP: 674599DB8<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       78000 | PA      | $79617.72     | 0.01%             | 2024-07-01      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -1500000 | NC      | $-82504.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                         | Diversified Healthcare Trust                                                     | CUSIP: 25525PAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      194000 | PA      | $123298.41    | 0.02%             | 2031-03-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                  | Egypt Government International Bond                                              | CUSIP: 03846JX54<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      500000 | PA      | $371736.50    | 0.05%             | 2032-05-29      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                          | Freddie Mac, Series 2022-HQA2, Class M1                                          | CUSIP: 35564KB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1513970.40   | 0.21%             | 2042-07-25      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| CTR Partnership L.P./ CareTrust Capital Corp.                        | CTR Partnership L.P./ CareTrust Capital Corp.                                    | CUSIP: 126458AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      519000 | PA      | $440701.89    | 0.06%             | 2028-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Global Partners L.P. / GLP Finance Corp.                             | Global Partners L.P. / GLP Finance Corp.                                         | CUSIP: 37954FAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      452000 | PA      | $429945.59    | 0.06%             | 2027-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria S.A.                                 | Banco Bilbao Vizcaya Argentaria S.A.                                             | CUSIP: BK4220673<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |      200000 | PA      | $204590.73    | 0.03%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2022-NQM7, Class A2                                            | CUSIP: 67117DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      720226 | PA      | $702025.60    | 0.10%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                        | Gartner, Inc.                                                                    | CUSIP: 366651AE7<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      109000 | PA      | $94121.76     | 0.01%             | 2030-10-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        8611 | PA      | $451.48       | 0.00%             | 2035-02-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| Banco Mercantil del Norte, S.A.                                      | Banco Mercantil del Norte, S.A.                                                  | CUSIP: 05971PAC2<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      650000 | PA      | $645448.39    | 0.09%             | N/A             | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                          | Freddie Mac, Series 2022-HQA3, Class M1                                          | CUSIP: 35564KE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1489822.95   | 0.20%             | 2042-08-25      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| 1375209 BC Ltd.                                                      | 1375209 BC Ltd.                                                                  | CUSIP: 68251PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      316000 | PA      | $309285.00    | 0.04%             | 2028-01-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Oil and Natural Gas Corp. Ltd.                                       | Oil and Natural Gas Corp. Ltd.                                                   | CUSIP: ZQ8026218<br>LEI: 335800FPDZ9MRSNO7N41 | Long             | DBT              | CORP              | IN        |     1500000 | PA      | $1303695.33   | 0.18%             | 2029-12-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HCA Inc.                                                             | HCA Inc.                                                                         | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      244000 | PA      | $243902.00    | 0.03%             | 2025-02-01      | Fixed         | 5.38%                 | 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      | $116689.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Great Lakes Dredge & Dock Corp.                                      | Great Lakes Dredge & Dock Corp.                                                  | CUSIP: 390607AF6<br>LEI: 549300H65E3MZ1CX0P05 | Long             | DBT              | CORP              | US        |      510000 | PA      | $397137.00    | 0.05%             | 2029-06-01      | 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      | $-196186.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $69447.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        4644 | PA      | $4783.76      | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        2952 | PA      | $289.49       | 0.00%             | 2031-11-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |       87000 | PA      | $83959.12     | 0.01%             | 2026-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2016-K54, Class C                                   | CUSIP: 30288RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1810000 | PA      | $1689707.04   | 0.23%             | 2048-04-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                         | Barclays PLC                                                                     | CUSIP: AM6775317<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1800000 | PA      | $2156481.67   | 0.29%             | N/A             | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      725000 | PA      | $503283.18    | 0.07%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-50125.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1800000 | NC      | $69368.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./ PAA Finance Corp.                 | Plains All American Pipeline L.P./ PAA Finance Corp.                             | CUSIP: 72650RBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2787905.98   | 0.38%             | 2026-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1800000 | NC      | $370436.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Mohegan Tribal Gaming Authority                                      | Mohegan Tribal Gaming Authority                                                  | CUSIP: 608328BH2<br>LEI: 549300UB083Z2NRDHC48 | Long             | DBT              | CORP              | US        |      486000 | PA      | $455391.72    | 0.06%             | 2026-02-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $70361.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1683000 | PA      | $1455290.10   | 0.20%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bausch Health Cos. Inc.                                              | Bausch Health Cos. Inc.                                                          | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      561000 | PA      | $440297.83    | 0.06%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                                  | U.S. Treasury Bills                                                              | CUSIP: 912796YW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9000000 | PA      | $8864303.58   | 1.20%             | 2023-05-04      | None          | 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      | $-44616.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust                                  | MASTR Asset Backed Securities Trust, Series 2006-WMC3, Class A3                  | CUSIP: 55291KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      677139 | PA      | $240954.13    | 0.03%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -12000000 | NC      | $-10918.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                        | CUSIP: 345397ZR7<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      638000 | PA      | $579176.40    | 0.08%             | 2029-05-03      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| Valvoline Inc.                                                       | Valvoline Inc.                                                                   | CUSIP: 92047WAG6<br>LEI: 549300CMHPBEY6VPOT75 | Long             | DBT              | CORP              | US        |      433000 | PA      | $355852.39    | 0.05%             | 2031-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                            | CUSIP: 682691AC4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      274000 | PA      | $218246.48    | 0.03%             | 2028-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1500000 | NC      | $218070.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133TMBG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       31341 | PA      | $32108.50     | 0.00%             | 2029-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                                                  | SUZANO AUSTRIA GMBH                                                              | CUSIP: 86964WAL6<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      701000 | PA      | $590809.81    | 0.08%             | 2028-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| KBC Group N.V.                                                       | KBC Group N.V.                                                                   | CUSIP: AS2414728<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     2000000 | PA      | $1862560.71   | 0.25%             | N/A             | Variable      | 4.25%                 | 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      | $207098.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | EURO-BTP Future                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         -94 | NC      | $827090.46    | 0.11%             |  |  |  | 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      | $-139723.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Sunoco L.P.and Sunoco Finance Corp.                                  | Sunoco L.P.and Sunoco Finance Corp.                                              | CUSIP: 86765LAQ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       70000 | PA      | $69049.30     | 0.01%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Taurus                                                               | Taurus, Series 2018-IT1, Class A                                                 | CUSIP: BCC2GADF9<br>LEI: 8156000571844ED04411 | Long             | ABS-MBS          | CORP              | IT        |     1643925 | PA      | $1709063.49   | 0.23%             | 2030-05-18      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                 | Clear Channel Outdoor Holdings, Inc.                                             | CUSIP: 18453HAA4<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |      232000 | PA      | $201526.80    | 0.03%             | 2027-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | McDermott International Ltd., Series A, Wts., expiring 06/30/2027                | CUSIP: G5924V114<br>LEI: N/A                  | N/A              | DE               |  | N/A       |       31946 | NS      | $4152.98      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara          | Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara                      | CUSIP: 71568PAM1<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     1400000 | PA      | $1051580.98   | 0.14%             | 2050-02-05      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Abrdn PLC                                                            | Abrdn PLC                                                                        | CUSIP: AP5373554<br>LEI: 0TMBS544NMO7GLCE7H90 | Long             | DBT              | CORP              | GB        |      675000 | PA      | $605772.00    | 0.08%             | 2028-06-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara          | Perusahaan Perseroan (Persero) PT Perusahaan Listrik Negara                      | CUSIP: 71568PAC3<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |     1500000 | PA      | $1443442.50   | 0.20%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| CPI Property Group S.A.                                              | CPI Property Group S.A.                                                          | CUSIP: N/A<br>LEI: 222100CO2ZOTEPGJO223       | Long             | DBT              | CORP              | LU        |     1300000 | PA      | $707210.12    | 0.10%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Encompass Health Corp.                                               | Encompass Health Corp.                                                           | CUSIP: 29261AAA8<br>LEI: 549300FVRPM9DRQZRG64 | Long             | DBT              | CORP              | US        |      494000 | PA      | $449515.30    | 0.06%             | 2028-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Dun & Bradstreet Corp. (The)                                         | Dun & Bradstreet Corp. (The), First Lien Term Loan                               | CUSIP: 26483NAN0<br>LEI: RI37BMPWE56BCJ747E14 | Long             | LON              | CORP              | US        |      408745 | PA      | $405716.40    | 0.05%             | 2026-02-06      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                  | Lithia Motors, Inc.                                                              | CUSIP: 536797AG8<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |      502000 | PA      | $413424.61    | 0.06%             | 2029-06-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Argentina Treasury Bond BONCER                                       | Argentina Treasury Bond BONCER                                                   | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        |   380000000 | PA      | $5178207.21   | 0.70%             | 2026-11-09      | Fixed         | 2.00%                 | 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      | $-42762.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                         | Eurosail PLC, Series 2007-2X, Class D1A                                          | CUSIP: BCC0WM139<br>LEI: 213800NEJVUXH4MS6Y78 | Long             | ABS-MBS          | CORP              | GB        |     1500000 | PA      | $1360094.39   | 0.18%             | 2045-03-13      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Altice France                                                        | Altice France                                                                    | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      463000 | PA      | $422691.22    | 0.06%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| General Motors Co.                                                   | General Motors Co.                                                               | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $3119032.83   | 0.42%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $399875.50    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, Inc. Trust                               | Residential Accredit Loans, Inc. Trust, Series 2006-QS13, Class 1A8              | CUSIP: 75115DAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5450 | PA      | $4204.48      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Patagonia Holdco LLC                                                 | Patagonia Holdco LLC, First Lien Term Loan                                       | CUSIP: 70289FAD3<br>LEI: 254900OLXUIWWEAJZ984 | Long             | LON              | CORP              | US        |      324188 | PA      | $260565.70    | 0.04%             | 2029-08-01      | Floating      | 9.96%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-B Securities, Inc. Mortgage Loan Trust                  | Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2, Class A1   | CUSIP: 251511AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23209 | PA      | $19216.10     | 0.00%             | 2036-06-25      | Variable      | 5.89%                 | 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      | $-790351.56   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-66264.55    | -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      | $3188.35      | 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      | $-270414.15   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      600000 | NC      | $37500.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $33539.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                | Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.                            | CUSIP: 983133AA7<br>LEI: 254900CEKKWIHTEAB172 | Long             | DBT              | CORP              | US        |      494000 | PA      | $424229.91    | 0.06%             | 2029-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                            | CUSIP: 85172FAM1<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      434000 | PA      | $417900.78    | 0.06%             | 2025-03-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CEMEX S.A.B. de C.V.                                                 | CEMEX S.A.B. de C.V.                                                             | CUSIP: 151290CA9<br>LEI: 549300RIG2CXWN6IV731 | Long             | DBT              | CORP              | MX        |      965000 | PA      | $892900.03    | 0.12%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $165836.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DISH Network Corp.                                                   | DISH Network Corp.                                                               | CUSIP: 25470MAG4<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      288000 | PA      | $296971.20    | 0.04%             | 2027-11-15      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        3941 | PA      | $230.53       | 0.00%             | 2032-12-18      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                   | Seagate HDD Cayman                                                               | CUSIP: 81180WBG5<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |      531200 | PA      | $583334.62    | 0.08%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                       | ING Groep N.V.                                                                   | CUSIP: 456837AR4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     2900000 | PA      | $2575837.94   | 0.35%             | N/A             | Variable      | 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      | $-326873.94   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                                | Invesco Government & Agency Portfolio, Institutional Class                       | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |    16537673 | NS      | $16537672.57  | 2.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurosail PLC                                                         | Eurosail PLC, Series 2007-2X, Class D1C                                          | CUSIP: BCC0WM147<br>LEI: 213800NEJVUXH4MS6Y78 | Long             | ABS-MBS          | CORP              | GB        |     2100000 | PA      | $2003612.10   | 0.27%             | 2045-03-13      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Centene Corp.                                                        | Centene Corp.                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      816000 | PA      | $767095.66    | 0.10%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -1500000 | NC      | $-1680281.66  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| TransCanada Trust                                                    | TransCanada Trust, Series 16-A                                                   | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |     1455000 | PA      | $1386743.46   | 0.19%             | 2076-08-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                             | Republic of South Africa Government Bond, Series 2035                            | CUSIP: EK7732887<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    70000000 | PA      | $3474199.96   | 0.47%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Entegris Escrow Corp.                                                | Entegris Escrow Corp.                                                            | CUSIP: 29365BAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $310743.78    | 0.04%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        7731 | PA      | $199.53       | 0.00%             | 2038-07-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-50803.27    | -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      | $-249539.33   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31396KV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      156035 | PA      | $6930.52      | 0.00%             | 2036-09-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Murray Energy Corp.                                                  | Murray Energy Corp.                                                              | CUSIP: 62704PAM5<br>LEI: 549300WM5IIFYHZYTT63 | Long             | DBT              | CORP              | US        |     2352945 | PA      | $2.35         | 0.00%             | 2024-04-15      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Vodafone Group PLC                                                   | Vodafone Group PLC                                                               | CUSIP: 92857WBV1<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     2743000 | PA      | $2293861.18   | 0.31%             | 2081-06-04      | Variable      | 3.25%                 | No            |                  2 | On Loan: —       |
| Marriott International, Inc.                                         | Marriott International, Inc., Series GG                                          | CUSIP: 571903BF9<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     3640000 | PA      | $3038079.44   | 0.41%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC, Series 144.                                                      | CUSIP: 21887JAV4<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      432110 | PA      | $406984.52    | 0.06%             | 2025-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       12693 | PA      | $12746.17     | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       34815 | PA      | $40454.72     | 0.01%             | 2036-03-25      | Floating      | 8.47%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                             | JP Morgan Mortgage Trust, Series 2007-A1, Class 5A1                              | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11640 | PA      | $11270.18     | 0.00%             | 2035-07-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Carnival Corp.                                                       | Carnival Corp.                                                                   | CUSIP: 143658BG6<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     1450000 | PA      | $1459301.75   | 0.20%             | 2026-02-01      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| M&G PLC                                                              | M&G PLC                                                                          | CUSIP: AU5739902<br>LEI: 254900TWUJUQ44TQJY84 | Long             | DBT              | CORP              | GB        |      675000 | PA      | $666488.25    | 0.09%             | 2048-10-20      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                    | Genesis Energy L.P./ Genesis Energy Finance Corp.                                | CUSIP: 37185LAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      112000 | PA      | $103270.72    | 0.01%             | 2028-02-01      | 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      | $-456.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $525850.81    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Alhambra SME Funding DAC                                             | Alhambra SME Funding DAC, Series 2019-1, Class A                                 | CUSIP: BCC2KKGR3<br>LEI: 635400YAJGI5TGJENW90 | Long             | ABS-CBDO         | CORP              | IE        |     1159516 | PA      | $1233978.80   | 0.17%             | 2028-11-30      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                               | Credit Suisse Group AG                                                           | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      375000 | PA      | $352401.99    | 0.05%             | 2026-07-15      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $257958.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                               | Credit Suisse Group AG                                                           | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      750000 | PA      | $659920.49    | 0.09%             | 2033-08-12      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies, Inc.                                             | Lumen Technologies, Inc., Series P                                               | CUSIP: 156700AM8<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      445000 | PA      | $304563.10    | 0.04%             | 2039-09-15      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                   | CHS/Community Health Systems, Inc.                                               | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     1837000 | PA      | $1676262.50   | 0.23%             | 2026-03-15      | Fixed         | 8.00%                 | 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      | $-10744.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $24674.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                             | Celanese US Holdings LLC                                                         | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     1883000 | PA      | $1883510.56   | 0.26%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                              | NESCO Holdings II, Inc.                                                          | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |      721000 | PA      | $631812.30    | 0.09%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1052897.11   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                | Dominican Republic International Bond                                            | CUSIP: ZP6620006<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      305000 | PA      | $260796.08    | 0.04%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Universal Health Services, Inc.                                      | Universal Health Services, Inc.                                                  | CUSIP: 913903AW0<br>LEI: 549300YGMGQDO0NMJD09 | Long             | DBT              | CORP              | US        |     1460000 | PA      | $1165357.04   | 0.16%             | 2030-10-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| First Quantum Minerals Ltd.                                          | First Quantum Minerals Ltd.                                                      | CUSIP: 335934AT2<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |     1500000 | PA      | $1410424.88   | 0.19%             | 2027-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Indonesia Asahan Aluminium (Persero) PT                              | Indonesia Asahan Aluminium (Persero) PT                                          | CUSIP: 74445PAE2<br>LEI: 2549008P48EB9SN2OI80 | Long             | DBT              | CORP              | ID        |     2950000 | PA      | $2906527.30   | 0.39%             | 2025-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Citigroup Commercial Mortgage Trust                                  | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                    | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5136382 | PA      | $176356.12    | 0.02%             | 2050-10-12      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Network i2i Ltd.                                                     | Network i2i Ltd.                                                                 | CUSIP: ZQ0096177<br>LEI: 2549003L8M1FGHLHOX45 | Long             | DBT              | CORP              | MU        |      450000 | PA      | $431437.50    | 0.06%             | N/A             | Variable      | 5.65%                 | 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      | $-21.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Telenet Finance Luxembourg Notes S.a.r.l.                            | Telenet Finance Luxembourg Notes S.a.r.l.                                        | CUSIP: AQ2322842<br>LEI: 2138007RI9GLJPCC3E25 | Long             | DBT              | CORP              | LU        |     1605000 | PA      | $1460550.00   | 0.20%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FAYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      255349 | PA      | $41838.05     | 0.01%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31339MYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       46810 | PA      | $1162.01      | 0.00%             | 2026-12-15      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC                                                                   | CUSIP: 21887JAQ5<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      378574 | PA      | $356561.85    | 0.05%             | 2025-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FCQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       35998 | PA      | $5895.86      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      750000 | NC      | $23015.25     | 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      | $-230200.08   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                               | CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 2A1A                | CUSIP: 126686AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8424 | PA      | $6796.02      | 0.00%             | 2036-11-15      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1512162.31   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| YPF Sociedad Anonima                                                 | YPF Sociedad Anonima, Class D                                                    | CUSIP: N/A<br>LEI: 5493003N7447U18U5U53       | Long             | EC               | CORP              | AR        |      420000 | NS      | $7461533.89   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        3003 | PA      | $277.82       | 0.00%             | 2032-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                         | Marriott International, Inc., Series FF                                          | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |      255000 | PA      | $238557.18    | 0.03%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                         | Eurosail PLC, Series 2006-4X, Class E1C                                          | CUSIP: BCC0UB5E7<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |     1608336 | PA      | $1679670.60   | 0.23%             | 2044-12-10      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31339GRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       18908 | PA      | $19619.15     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                   | CHS/Community Health Systems, Inc.                                               | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      341000 | PA      | $257735.35    | 0.03%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1500000 | NC      | $315834.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AES Andes S.A.                                                       | AES Andes S.A.                                                                   | CUSIP: 00105DAG0<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |      750000 | PA      | $692560.29    | 0.09%             | 2079-10-07      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -7500000 | NC      | $-457.62      | -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      | $124498.53    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K093, Class X1, IO | CUSIP: 3137FMCT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    19959725 | PA      | $952541.97    | 0.13%             | 2029-05-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31339WXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      197122 | PA      | $7504.33      | 0.00%             | 2032-04-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2019-GC44, Class AM                                  | CUSIP: 12655TBP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $835594.40    | 0.11%             | 2057-08-15      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133TKCT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       44257 | PA      | $44907.02     | 0.01%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JSW Steel Ltd.                                                       | JSW Steel Ltd.                                                                   | CUSIP: 46635UAC3<br>LEI: 335800EK6HZSC4CVAJ09 | Long             | DBT              | CORP              | IN        |     1740000 | PA      | $1487740.09   | 0.20%             | 2027-04-05      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                   | CHS/Community Health Systems, Inc.                                               | CUSIP: 12543DBD1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      585000 | PA      | $530415.35    | 0.07%             | 2027-12-15      | Fixed         | 8.00%                 | 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      | $25451.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                              | MGM China Holdings Ltd.                                                          | CUSIP: 55300RAE1<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     1200000 | PA      | $1130421.42   | 0.15%             | 2025-06-18      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2019-4A, Class D                     | CUSIP: 30167GAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2206855 | PA      | $2170146.83   | 0.29%             | 2025-09-15      | Fixed         | 2.58%                 | 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      | $-45439.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $60427.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-194933.50   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| KBC Group N.V.                                                       | KBC Group N.V.                                                                   | CUSIP: AX4145311<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     1000000 | PA      | $1023456.76   | 0.14%             | N/A             | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| INVERNEA PROTEINA PYME SERIE II FF                                   | INVERNEA PROTEINA PYME SERIE II FF                                               | CUSIP: BCC37HGV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AR        |   133500000 | PA      | $941127.55    | 0.13%             | 2032-08-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Medline Borrower, L.P.                                               | Medline Borrower, L.P.                                                           | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      495000 | PA      | $399833.78    | 0.05%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Nidda Healthcare Holding GmbH                                        | Nidda Healthcare Holding GmbH                                                    | CUSIP: BZ8725930<br>LEI: 549300Q89C4WAO6L0L19 | Long             | DBT              | CORP              | DE        |      453000 | PA      | $464583.62    | 0.06%             | 2026-08-21      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392HMC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       56795 | PA      | $57248.68     | 0.01%             | 2032-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                        | Iliad Holding                                                                    | CUSIP: 449691AC8<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |      764000 | PA      | $691511.72    | 0.09%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                                             | SBA Communications Corp.                                                         | CUSIP: 78410GAD6<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |      673000 | PA      | $609208.69    | 0.08%             | 2027-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                    | HSBC Holdings PLC                                                                | CUSIP: 404280BY4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      750000 | PA      | $811114.24    | 0.11%             | N/A             | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Prestige Brands, Inc.                                                | Prestige Brands, Inc.                                                            | CUSIP: 74112BAM7<br>LEI: 549300JBVP4J6D42I235 | Long             | DBT              | CORP              | US        |      875000 | PA      | $722701.94    | 0.10%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $72832.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133TJC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        2382 | PA      | $2360.76      | 0.00%             | 2029-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TransAlta Corp.                                                      | TransAlta Corp.                                                                  | CUSIP: 89346DAH0<br>LEI: GJZNVO2UY6DNFNIYH321 | Long             | DBT              | CORP              | CA        |      465000 | PA      | $475521.25    | 0.06%             | 2029-11-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    12000000 | NC      | $167491.09    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Tenerity, LLC, Wts. expiring 04/10/2024                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |         775 | NS      | $0.01         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $379367.23    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Trust                                         | Chase Mortgage Finance Trust, Series 2005-A2, Class 1A3                          | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4493 | PA      | $3932.60      | 0.00%             | 2036-01-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Precision Drilling Corp.                                             | Precision Drilling Corp.                                                         | CUSIP: 740212AM7<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |      385000 | PA      | $358938.10    | 0.05%             | 2029-01-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| TransDigm Inc.                                                       | TransDigm Inc.                                                                   | CUSIP: 893647BE6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      791000 | PA      | $781816.49    | 0.11%             | 2026-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FedEx Corp.                                                          | FedEx Corp.                                                                      | CUSIP: 31428XBQ8<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1144433.57   | 0.16%             | 2048-02-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| DISH Network Corp.                                                   | DISH Network Corp., Conv.                                                        | CUSIP: 25470MAB5<br>LEI: 529900U350CWHH15G169 | Long             | DBT              | CORP              | US        |      100000 | PA      | $62900.00     | 0.01%             | 2026-08-15      | 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      | $11354.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      750000 | NC      | $173657.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Virgin Media Secured Finance PLC                                     | Virgin Media Secured Finance PLC                                                 | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |      130000 | PA      | $116748.45    | 0.02%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                             | Lloyds Banking Group PLC                                                         | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $2938258.29   | 0.40%             | 2026-08-11      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31394YVA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       19321 | PA      | $87.77        | 0.00%             | 2024-03-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      900000 | NC      | $195795.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Colombian TES                                                        | Colombian TES, Series B                                                          | CUSIP: EK6999263<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 31000000000 | PA      | $4821019.54   | 0.65%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                        | Gartner, Inc.                                                                    | CUSIP: 366651AG2<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      447000 | PA      | $393326.48    | 0.05%             | 2029-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Gatwick Airport Finance PLC                                          | Gatwick Airport Finance PLC                                                      | CUSIP: N/A<br>LEI: 213800BDRHDHRGTQ1D63       | Long             | DBT              | CORP              | GB        |     2175000 | PA      | $2379740.78   | 0.32%             | 2026-04-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Scientific Games Holdings LP/Scientific Games US FinCo Inc.          | Scientific Games Holdings LP/Scientific Games US FinCo Inc.                      | CUSIP: 80874DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      595000 | PA      | $503370.00    | 0.07%             | 2030-03-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392KGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       13609 | PA      | $13478.19     | 0.00%             | 2032-03-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $7440.90      | 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      | $-17310.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Select Medical Corp.                                                 | Select Medical Corp.                                                             | CUSIP: 816196AT6<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      472000 | PA      | $449764.08    | 0.06%             | 2026-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                    | Genesis Energy L.P./ Genesis Energy Finance Corp.                                | CUSIP: 37185LAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      386000 | PA      | $365086.52    | 0.05%             | 2027-01-15      | Fixed         | 8.00%                 | 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      | $3234.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                     | Brazil Notas do Tesouro Nacional, Class NTNF                                     | CUSIP: EK0169285<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   145000000 | PA      | $26274608.59  | 3.56%             | 2025-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                                      | Prestige Auto Receivables Trust, Series 2019-1A, Class C                         | CUSIP: 74113NAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      517749 | PA      | $516464.51    | 0.07%             | 2024-10-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        7138 | PA      | $880.54       | 0.00%             | 2033-02-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $486136.27    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Iraq International Bond                                              | Iraq International Bond                                                          | CUSIP: 462652AA6<br>LEI: 2549004N3P710UQ9X454 | Long             | DBT              | NUSS              | IQ        |      481250 | PA      | $444820.82    | 0.06%             | 2028-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    22058824 | NC      | $703838.84    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Holdings PLC                                                    | HSBC Holdings PLC                                                                | CUSIP: 404280CL1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1255997.43   | 0.17%             | 2028-09-22      | Variable      | 2.01%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2901.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31393AHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       47319 | PA      | $7060.48      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CaixaBank, S.A.                                                      | CaixaBank, S.A.                                                                  | CUSIP: AS1612561<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      800000 | PA      | $781664.48    | 0.11%             | 2030-04-17      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                             | Fannie Mae Connecticut Avenue Securities, Series 2022-R05, Class 2M1             | CUSIP: 20754DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3526015 | PA      | $3493854.14   | 0.47%             | 2042-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Banco Santander S.A.                                                 | Banco Santander S.A.                                                             | CUSIP: 05971KAJ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $858366.69    | 0.12%             | N/A             | Variable      | 4.12%                 | 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      | $-80690.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ecuador Government International Bond                                | Ecuador Government International Bond                                            | CUSIP: N/A<br>LEI: 5299003Y2U5XK0A35H71       | Long             | DBT              | NUSS              | EC        |      700000 | PA      | $453297.94    | 0.06%             | 2030-07-31      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-1099108.65  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392X3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       11294 | PA      | $11340.94     | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-13427.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2021-1                     | Newday Funding Master Issuer PLC - Series 2021-1, Series 2021-1X, Class E        | CUSIP: BCC2QLV98<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |     1823000 | PA      | $2141435.01   | 0.29%             | 2029-03-15      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| India Government Bond                                                | India Government Bond                                                            | CUSIP: BT4506932<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   300000000 | PA      | $3437688.87   | 0.47%             | 2032-01-17      | Fixed         | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-127242.60   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Braskem Idesa S.A.P.I.                                               | Braskem Idesa S.A.P.I.                                                           | CUSIP: ZQ7727766<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |     1450000 | PA      | $1147125.31   | 0.16%             | 2029-11-15      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                | Federal National Mortgage Association                                            | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8146 | PA      | $8410.88      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                             | Fannie Mae Connecticut Avenue Securities, Series 2019-R03, Class 1M2             | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62516 | PA      | $62371.57     | 0.01%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | McDermott International Ltd., Series B, Wts., expiring 06/30/2027                | CUSIP: G5924V122<br>LEI: N/A                  | N/A              | DE               |  | N/A       |       35496 | NS      | $4614.48      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        9995 | PA      | $9892.23      | 0.00%             | 2032-10-18      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Muang Thai Life Assurance PCL                                        | Muang Thai Life Assurance PCL                                                    | CUSIP: BS0508777<br>LEI: 549300V70GAMNLTH3D74 | Long             | DBT              | CORP              | TH        |      750000 | PA      | $632668.36    | 0.09%             | 2037-01-27      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| CrowdStrike Holdings, Inc.                                           | CrowdStrike Holdings, Inc.                                                       | CUSIP: 22788CAA3<br>LEI: 549300YBY08K9KM4HX32 | Long             | DBT              | CORP              | US        |     1452000 | PA      | $1226997.93   | 0.17%             | 2029-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| Ivory Coast Government International Bond                            | Ivory Coast Government International Bond                                        | CUSIP: EK3927382<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |      900000 | PA      | $871281.00    | 0.12%             | 2024-07-23      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       65952 | PA      | $3549.92      | 0.00%             | 2035-05-15      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Telefonica Europe B.V.                                               | Telefonica Europe B.V.                                                           | CUSIP: AX5204828<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |     1300000 | PA      | $1330965.53   | 0.18%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       12990 | PA      | $13091.90     | 0.00%             | 2032-02-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Futura 2019 S.R.L.                                                   | Futura 2019 S.R.L., Series 2019-1, Class A                                       | CUSIP: BCC2MEZ52<br>LEI: 8156007F4EF8CA400F85 | Long             | ABS-MBS          | CORP              | IT        |     1366531 | PA      | $1465743.15   | 0.20%             | 2044-07-31      | Floating      | 3.63%                 | 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      | $-56403.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -225000000 | NC      | $-7170945.75  | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392KST4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       26623 | PA      | $26368.83     | 0.00%             | 2032-01-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-642618.43   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                | Wells Fargo Commercial Mortgage Trust, Series 2017-C42, Class XA                 | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2706158 | PA      | $92330.05     | 0.01%             | 2050-12-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                    | CSC Holdings, LLC                                                                | CUSIP: 126307AQ0<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      304000 | PA      | $255672.02    | 0.03%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                            | BPCE S.A., Series NC5.                                                           | CUSIP: BR7719148<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     2000000 | PA      | $1796229.23   | 0.24%             | 2042-01-13      | Variable      | 1.50%                 | 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      | $-261344.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Altice France                                                        | Altice France                                                                    | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      448000 | PA      | $336684.63    | 0.05%             | 2029-07-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Novelis Corp.                                                        | Novelis Corp.                                                                    | CUSIP: 670001AE6<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |      469000 | PA      | $416856.58    | 0.06%             | 2030-01-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                               | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2005-AR16, Class 1A1              | CUSIP: 92922F6W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3072 | PA      | $2766.39      | 0.00%             | 2035-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       13503 | PA      | $1211.37      | 0.00%             | 2038-04-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1200000 | NC      | $158157.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| African Development Bank                                             | African Development Bank                                                         | CUSIP: ZP3697759<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | CORP              | XX        |    78000000 | PA      | $474667.84    | 0.06%             | 2050-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans Mortgage Pass-Through Trust                   | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-J4, Class A7     | CUSIP: 126694RQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208407 | PA      | $169466.92    | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EQT Corp.                                                            | EQT Corp.                                                                        | CUSIP: 26884LAP4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     1125000 | PA      | $1121067.54   | 0.15%             | 2025-10-01      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| Volkswagen International Finance N.V.                                | Volkswagen International Finance N.V.                                            | CUSIP: EK1313726<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |      520000 | PA      | $530143.54    | 0.07%             | N/A             | Variable      | 4.62%                 | 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      | $162424.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Service Properties Trust                                             | Service Properties Trust                                                         | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      591000 | PA      | $391439.46    | 0.05%             | 2030-02-15      | 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      | $-68057.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Euro BONO Futures on long-term Spanish government bonds                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |          91 | NC      | $-842604.32   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -106200000 | NC      | $-5062980.92  | -0.69%            |  |  |  | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                   | Dell International LLC / EMC Corp.                                               | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2600000 | PA      | $2649638.63   | 0.36%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3239.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      825000 | PA      | $523378.85    | 0.07%             | 2060-01-28      | Fixed         | 6.95%                 | 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      | $162285.75    | 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      | $-74047.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                   | Vodafone Group PLC                                                               | CUSIP: 92857WBW9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |      769000 | PA      | $571806.34    | 0.08%             | 2081-06-04      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| R.R. Donnelley & Sons Co.                                            | R.R. Donnelley & Sons Co.                                                        | CUSIP: 257867BE0<br>LEI: SU4X0P4WWRGOQDTSV032 | Long             | DBT              | CORP              | US        |      165000 | PA      | $144375.00    | 0.02%             | 2027-07-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| WMG Acquisition Corp.                                                | WMG Acquisition Corp.                                                            | CUSIP: 92933BAT1<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |      764000 | PA      | $658033.20    | 0.09%             | 2029-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392JDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       48463 | PA      | $7365.43      | 0.00%             | 2033-03-25      | 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      | $13764.55     | 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      | $-43059.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $87739.09     | 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      | $4078.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC, Series a144                                                      | CUSIP: 21887JAW2<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      339138 | PA      | $319418.49    | 0.04%             | 2025-04-30      | None          | 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      | $-78167.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1125000 | NC      | $90562.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EnPro Industries, Inc.                                               | EnPro Industries, Inc.                                                           | CUSIP: 29355XAG2<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |      901000 | PA      | $878204.70    | 0.12%             | 2026-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        8929 | PA      | $1013.00      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC, Series 144                                                       | CUSIP: 21887JAU6<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      373058 | PA      | $351365.94    | 0.05%             | 2025-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Magallanes, Inc.                                                     | Magallanes, Inc.                                                                 | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2913703.17   | 0.39%             | 2024-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                     | Brazil Notas do Tesouro Nacional, Class NTNF                                     | CUSIP: JV5341526<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   205000000 | PA      | $35704265.74  | 4.84%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                         | Eurosail PLC, Series 2006-2X, Class E1C                                          | CUSIP: BCC0T5HQ2<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |     1830000 | PA      | $1781792.27   | 0.24%             | 2044-12-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3137AAGA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         568 | PA      | $555.12       | 0.00%             | 2040-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AT&T Inc.                                                            | AT&T Inc., Series B                                                              | CUSIP: ZP9910362<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1443513.99   | 0.20%             | N/A             | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                             | Government National Mortgage Association                                         | CUSIP: 36208LLZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        6274 | PA      | $6295.21      | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                          | Freddie Mac, Series 2022-HQA3, Class M2                                          | CUSIP: 35564KE70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1605000 | PA      | $1524815.81   | 0.21%             | 2042-08-25      | Floating      | 9.28%                 | No            |                  2 | On Loan: No      |
| Clearway Energy Operating LLC                                        | Clearway Energy Operating LLC                                                    | CUSIP: 18539UAC9<br>LEI: 549300Z3NFMM54NWBB87 | Long             | DBT              | CORP              | US        |      564000 | PA      | $521415.56    | 0.07%             | 2028-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Rayonier A.M. Products Inc.                                          | Rayonier A.M. Products Inc.                                                      | CUSIP: 75508EAB4<br>LEI: 549300ZGRDDK1QM6MM16 | Long             | DBT              | CORP              | US        |      482000 | PA      | $465380.64    | 0.06%             | 2026-01-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                        | Asbury Automotive Group, Inc.                                                    | CUSIP: 043436AU8<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |      130000 | PA      | $114616.45    | 0.02%             | 2028-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Banco Santander S.A.                                                 | Banco Santander S.A.                                                             | CUSIP: ZP3895189<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1800000 | PA      | $1642866.79   | 0.22%             | N/A             | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -20000000 | NC      | $-145211.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| International Finance Corp.                                          | International Finance Corp.                                                      | CUSIP: AM4724424<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | XX        |     3700000 | PA      | $47825.15     | 0.01%             | 2029-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Mcdermott International, Ltd., Wrts. 2049-12-31                                  | CUSIP: 58004K208<br>LEI: N/A                  | N/A              | DE               |  | N/A       |       23067 | NS      | $7012.37      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 31364HVU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         128 | PA      | $1.22         | 0.00%             | 2023-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2019-2A, Class D                                     | CUSIP: 26252TAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      155562 | PA      | $154833.97    | 0.02%             | 2025-02-18      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC                                                                   | CUSIP: 21887JAT9<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      333470 | PA      | $314080.47    | 0.04%             | 2025-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc.                                                 | Sirius XM Radio Inc.                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |       47000 | PA      | $40994.34     | 0.01%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -37500000 | NC      | $-496083.38   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                             | Fannie Mae Connecticut Avenue Securities, Series 2022-R04, Class 1M2             | CUSIP: 20753YCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      770000 | PA      | $768202.36    | 0.10%             | 2042-03-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                  | Exeter Automobile Receivables Trust, Series 2019-1A, Class D                     | CUSIP: 30167DAD9<br>LEI: 549300KR7NUJOX0UJ040 | Long             | ABS-O            | CORP              | US        |      646038 | PA      | $645198.68    | 0.09%             | 2024-12-16      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Mercury Chile Holdco LLC                                             | Mercury Chile Holdco LLC                                                         | CUSIP: 58937CAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2900000 | PA      | $2784000.00   | 0.38%             | 2027-01-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       14341 | PA      | $14454.38     | 0.00%             | 2032-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Chicago Mercantile Exchange Inc.                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-340783.30   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Securities Trust                 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class AS | CUSIP: 46639YAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235000 | PA      | $231467.32    | 0.03%             | 2046-04-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -7500000 | NC      | $-42337.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                           | Charles Schwab Corp. (The), Series G                                             | CUSIP: 808513BD6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     3025000 | PA      | $2973575.00   | 0.40%             | N/A             | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                    | CSC Holdings, LLC                                                                | CUSIP: 126307BK2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      200000 | PA      | $112000.00    | 0.02%             | 2031-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-85333.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $26191.20     | 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      | $310026.03    | 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      | $6065.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                         | Vistra Corp.                                                                     | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |       83000 | PA      | $75644.39     | 0.01%             | N/A             | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| INVESCO PRIVATE GOVERNMENT FUND                                      | INVESCO PRIVATE GOVERNMENT FUND                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |     7258494 | NS      | $7258494.30   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| India Government Bond                                                | India Government Bond                                                            | CUSIP: BY4725150<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   350000000 | PA      | $4212014.99   | 0.57%             | 2032-08-22      | Fixed         | 7.26%                 | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                          | DaVita Inc.                                                                      | CUSIP: 23918KAT5<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      290000 | PA      | $217080.95    | 0.03%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       53616 | PA      | $9155.70      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-153463.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Aethon United BR L.P./ Aethon United Finance Corp.                   | Aethon United BR L.P./ Aethon United Finance Corp.                               | CUSIP: 00810GAC8<br>LEI: 5493007HPG2M9K9X5V41 | Long             | DBT              | CORP              | US        |     1159000 | PA      | $1151004.15   | 0.16%             | 2026-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                               | Tenet Healthcare Corp.                                                           | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      707000 | PA      | $670004.63    | 0.09%             | 2026-01-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2012-CR5, Class XA                                   | CUSIP: 12623SAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37031 | PA      | $1.24         | 0.00%             | 2045-12-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       54379 | PA      | $10190.46     | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                         | Lennar Corp.                                                                     | CUSIP: 526057CV4<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      381000 | PA      | $371146.44    | 0.05%             | 2027-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $12435.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Precision Drilling Corp.                                             | Precision Drilling Corp.                                                         | CUSIP: 740212AL9<br>LEI: 549300WF2OE8T5BP4B84 | Long             | DBT              | CORP              | CA        |       86000 | PA      | $83340.88     | 0.01%             | 2026-01-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Kingdom of Belgium Government Bond                                   | Kingdom of Belgium Government Bond, Series 88                                    | CUSIP: AW9463752<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1114000 | PA      | $843888.80    | 0.11%             | 2050-06-22      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2014-LC14, Class AS                      | CUSIP: 96221TAG2<br>LEI: 549300QGM7D5K3CV2643 | Long             | ABS-MBS          | CORP              | US        |      395000 | PA      | $383710.70    | 0.05%             | 2047-03-15      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                | Societe Generale S.A.                                                            | CUSIP: 83370RAB4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1277021.25   | 0.17%             | N/A             | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government Bond                                   | Republic of Poland Government Bond, Series 432                                   | CUSIP: BP9867766<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    60000000 | PA      | $9002704.65   | 1.22%             | 2032-04-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                | Federal National Mortgage Association                                            | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       39169 | PA      | $40845.83     | 0.01%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      175000 | PA      | $129500.00    | 0.02%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                                      | Danske Bank A/S                                                                  | CUSIP: AT2149405<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     1300000 | PA      | $1238250.00   | 0.17%             | N/A             | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Adani Electricity Mumbai Ltd.                                        | Adani Electricity Mumbai Ltd.                                                    | CUSIP: 00654GAB9<br>LEI: 335800AIC1B5EBFVUC38 | Long             | DBT              | CORP              | IN        |      750000 | PA      | $544683.00    | 0.07%             | 2031-07-22      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3452.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K735, Class X1, IO | CUSIP: 3137FMU83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     2901122 | PA      | $75284.12     | 0.01%             | 2026-05-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -11250000 | NC      | $-257847.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $790351.56    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 2 Year Notes Future                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         120 | NC      | $31873.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mattel, Inc.                                                         | Mattel, Inc.                                                                     | CUSIP: 577081AU6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |      725000 | PA      | $627079.78    | 0.08%             | 2040-10-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Crown Castle Inc.                                                    | Crown Castle Inc.                                                                | CUSIP: 22822VAU5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $850763.68    | 0.12%             | 2051-01-15      | Fixed         | 3.25%                 | 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      | $59290.22     | 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      | $-468629.82   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                | Federal National Mortgage Association                                            | CUSIP: 31385JK49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       16544 | PA      | $17082.93     | 0.00%             | 2032-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       | -6429000000 | NC      | $-1966048.36  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2019 - Granite4 PLC                      | Towd Point Mortgage Funding 2019 - Granite4 PLC, Series 2019-GR4X, Class GR      | CUSIP: BCC32ZDD2<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |      725000 | PA      | $842055.08    | 0.11%             | 2051-10-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $141786.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Oman Government International Bond                                   | Oman Government International Bond                                               | CUSIP: LW3897953<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     3018000 | PA      | $2923977.23   | 0.40%             | 2026-06-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-15265.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                             | Fannie Mae Connecticut Avenue Securities, Series 2018-R07, Class 1M2             | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      159508 | PA      | $159144.38    | 0.02%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                             | Benchmark Mortgage Trust, Series 2018-B1, Class XA                               | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4206239 | PA      | $83551.05     | 0.01%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-48348.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Nordea Bank Abp                                                      | Nordea Bank Abp                                                                  | CUSIP: 65558RAD1<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |     1636000 | PA      | $1646379.70   | 0.22%             | 2027-09-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SC Germany Consumer 2018-1 UG (haftungsbeschraenkt)                  | SC Germany Consumer 2018-1 UG (haftungsbeschraenkt), Series 2018-1, Class D      | CUSIP: N/A<br>LEI: 5299002IKYMFTWDCV672       | Long             | ABS-O            | CORP              | DE        |     3100000 | PA      | $3264320.21   | 0.44%             | 2031-12-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Euro-Schatz Future                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         139 | NC      | $-189077.30   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MGM China Holdings Ltd.                                              | MGM China Holdings Ltd.                                                          | CUSIP: 55300RAA9<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     1505000 | PA      | $1454905.71   | 0.20%             | 2024-05-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Bausch Health Cos. Inc.                                              | Bausch Health Cos. Inc.                                                          | CUSIP: 071734AR8<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      111000 | PA      | $66449.76     | 0.01%             | 2030-10-15      | Fixed         | 14.00%                | 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      | $1363621.18   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Bancolombia S.A.                                                     | Bancolombia S.A.                                                                 | CUSIP: 05968LAK8<br>LEI: 54930052NWJRPNMP1W58 | Long             | DBT              | CORP              | CO        |     2350000 | PA      | $2317068.23   | 0.31%             | 2027-10-18      | Variable      | 7.14%                 | No            |                  2 | On Loan: No      |
| Indonesia Government International Bond                              | Indonesia Government International Bond                                          | CUSIP: 455780DP8<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      450000 | PA      | $443925.00    | 0.06%             | 2052-09-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PT Bank Tabungan Negara (Persero) Tbk                                | PT Bank Tabungan Negara (Persero) Tbk                                            | CUSIP: ZP5124828<br>LEI: 2549009BLYOGL9ZLAW17 | Long             | DBT              | CORP              | ID        |     2610000 | PA      | $2440350.00   | 0.33%             | 2025-01-23      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 3133TENT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         180 | PA      | $1.54         | 0.00%             | 2028-07-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| NCR Corp.                                                            | NCR Corp.                                                                        | CUSIP: 62886EAU2<br>LEI: 549300YKTY8JX1DV2R67 | Long             | DBT              | CORP              | US        |      435000 | PA      | $416936.51    | 0.06%             | 2027-09-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                            | MGM Resorts International                                                        | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      221000 | PA      | $202938.49    | 0.03%             | 2026-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Natwest Group PLC                                                    | Natwest Group PLC                                                                | CUSIP: 780097BQ3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1388920.07   | 0.19%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-124047.74   | -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      | $48348.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bellis Acquisition Co. PLC                                           | Bellis Acquisition Co. PLC                                                       | CUSIP: BN9675073<br>LEI: 259400CYE2267UB4A481 | Long             | DBT              | CORP              | GB        |      436000 | PA      | $430840.20    | 0.06%             | 2026-02-16      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WaMu Mortgage Pass-Through Ctfs. Trust                               | WaMu Mortgage Pass-Through Ctfs. Trust, Series 2003-AR10, Class A7               | CUSIP: 92922FEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17982 | PA      | $16741.94     | 0.00%             | 2033-10-25      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1500000 | NC      | $264.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                       | British Telecommunications PLC                                                   | CUSIP: 11102AAF8<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |     4350000 | PA      | $3664829.28   | 0.50%             | 2081-11-23      | Variable      | 4.25%                 | 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      | $-49607.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 3133TKAQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      102816 | PA      | $5103.37      | 0.00%             | 2029-03-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31393Y5U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      130507 | PA      | $13844.61     | 0.00%             | 2033-10-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -45000000 | NC      | $-401640.75   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Occidental Petroleum Corp.                                           | Occidental Petroleum Corp.                                                       | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |      376000 | PA      | $368619.40    | 0.05%             | 2040-03-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-28306.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       72856 | PA      | $5428.54      | 0.00%             | 2038-05-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Marriott International, Inc.                                         | Marriott International, Inc.                                                     | CUSIP: 571903BJ1<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     1122000 | PA      | $1109054.80   | 0.15%             | 2027-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                             | Government National Mortgage Association, IO                                     | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      143594 | PA      | $8307.87      | 0.00%             | 2041-04-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| PT Freeport Indonesia                                                | PT Freeport Indonesia                                                            | CUSIP: 69377FAC0<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |     1300000 | PA      | $1138166.08   | 0.15%             | 2052-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                             | Government National Mortgage Association                                         | CUSIP: 36208T6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       15741 | PA      | $15889.46     | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   106200000 | NC      | $2356553.57   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Ltd.                                           | Melco Resorts Finance Ltd.                                                       | CUSIP: 58547DAA7<br>LEI: 529900NRV6LBR3T6B421 | Long             | DBT              | CORP              | KY        |     3750000 | PA      | $3450215.59   | 0.47%             | 2025-06-06      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                 | Credit Agricole S.A.                                                             | CUSIP: JV6342804<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |     2800000 | PA      | $2845360.00   | 0.39%             | N/A             | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| iStar Inc.                                                           | iStar Inc.                                                                       | CUSIP: 45031UCJ8<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |      185000 | PA      | $184842.75    | 0.03%             | 2026-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       60997 | PA      | $3980.26      | 0.00%             | 2041-10-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       19680 | PA      | $18596.64     | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Network i2i Ltd.                                                     | Network i2i Ltd.                                                                 | CUSIP: N/A<br>LEI: 2549003L8M1FGHLHOX45       | Long             | DBT              | CORP              | MU        |      450000 | PA      | $393750.00    | 0.05%             | N/A             | Variable      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $950759.14    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                              | Level 3 Financing, Inc.                                                          | CUSIP: 527298BT9<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      862000 | PA      | $621243.54    | 0.08%             | 2029-07-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PT Pertamina (Persero)                                               | PT Pertamina (Persero)                                                           | CUSIP: 69370RAG2<br>LEI: 254900NDAKGNZ2IBBL45 | Long             | DBT              | CORP              | ID        |      725000 | PA      | $558311.85    | 0.08%             | 2050-01-21      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| American Airlines Inc./AAdvantage Loyalty IP Ltd.                    | American Airlines Inc./AAdvantage Loyalty IP Ltd.                                | CUSIP: 00253XAA9<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | XX        |     2130000 | PA      | $2052045.20   | 0.28%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      480000 | NC      | $115106.88    | 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      | $-55055.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Windstream Services II, LLC, Wrts.                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |         176 | NS      | $1320.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Delek Logistics Partners L.P./ Delek Logistics Finance Corp.         | Delek Logistics Partners L.P./ Delek Logistics Finance Corp.                     | CUSIP: 24665FAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      513000 | PA      | $463403.16    | 0.06%             | 2028-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Kontoor Brands, Inc.                                                 | Kontoor Brands, Inc.                                                             | CUSIP: 50050NAA1<br>LEI: 549300M0CPXV65RFF271 | Long             | DBT              | CORP              | US        |      522000 | PA      | $427311.77    | 0.06%             | 2029-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1200000 | NC      | $8507.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2014-C20, Class AS                       | CUSIP: 92890FBB1<br>LEI: 549300UVB571ELWL8972 | Long             | ABS-MBS          | CORP              | US        |      490000 | PA      | $472907.92    | 0.06%             | 2047-05-15      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                       | Morgan Stanley Capital I Trust, Series 2017-HR2, Class XA                        | CUSIP: 61691NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1620822 | PA      | $55761.63     | 0.01%             | 2050-12-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-92566.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Gray Escrow II Inc.                                                  | Gray Escrow II Inc.                                                              | CUSIP: 389286AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      743000 | PA      | $536769.21    | 0.07%             | 2031-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NMG Holding Co. Inc / Neiman Marcus Group LLC                        | NMG Holding Co. Inc / Neiman Marcus Group LLC                                    | CUSIP: 62929RAC2<br>LEI: 549300VXED5TMJSBCI17 | Long             | DBT              | CORP              | US        |      240000 | PA      | $225381.00    | 0.03%             | 2026-04-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Macy's Retail Holdings, LLC                                          | Macy's Retail Holdings, LLC                                                      | CUSIP: 55617LAQ5<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |      227000 | PA      | $197308.40    | 0.03%             | 2030-03-15      | Fixed         | 5.88%                 | 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      | $-19633.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                     | Clarivate Science Holdings Corp.                                                 | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      519000 | PA      | $442006.35    | 0.06%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Papa John's International, Inc.                                      | Papa John's International, Inc.                                                  | CUSIP: 698813AA0<br>LEI: HZYLD3DK5XOX0WBVNB56 | Long             | DBT              | CORP              | US        |      521000 | PA      | $435699.28    | 0.06%             | 2029-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HP Inc.                                                              | HP Inc.                                                                          | CUSIP: 40434LAM7<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2916058.68   | 0.40%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| iStar Inc.                                                           | iStar Inc.                                                                       | CUSIP: 45031UCF6<br>LEI: QFFLKWYYS3UPWD86E794 | Long             | DBT              | CORP              | US        |      439000 | PA      | $436457.46    | 0.06%             | 2024-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Merrill Lynch & Co., Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -16294000 | NC      | $-66398.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                            | Ivory Coast Government International Bond                                        | CUSIP: BM7280605<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     1150000 | PA      | $976307.21    | 0.13%             | 2032-01-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Kenbourne Invest S.A.                                                | Kenbourne Invest S.A.                                                            | CUSIP: 48855KAC4<br>LEI: 222100QGH6Y9KFYZ4B27 | Long             | DBT              | CORP              | LU        |      771000 | PA      | $602343.66    | 0.08%             | 2028-01-22      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      162440 | PA      | $9187.68      | 0.00%             | 2035-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392PU94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       48003 | PA      | $47601.08     | 0.01%             | 2031-06-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FCHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       29222 | PA      | $4976.45      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-7211.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133THBY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       84422 | PA      | $83700.72     | 0.01%             | 2028-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       15201 | PA      | $14526.30     | 0.00%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Calpine Corp.                                                        | Calpine Corp.                                                                    | CUSIP: 131347CR5<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |      577000 | PA      | $465325.05    | 0.06%             | 2031-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                              | SS&C Technologies, Inc.                                                          | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |      788000 | PA      | $739479.77    | 0.10%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -15000000 | NC      | $-56086.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133T7ZF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       60809 | PA      | $61574.03     | 0.01%             | 2026-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| U.S. International Development Finance Corp.                         | U.S. International Development Finance Corp., Series 4                           | CUSIP: 90376PEX5<br>LEI: 254900QI8QTIK0FY6E92 | Long             | DBT              | USGSE             | US        |      480000 | PA      | $449684.70    | 0.06%             | 2028-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Gap, Inc. (The)                                                      | Gap, Inc. (The)                                                                  | CUSIP: 364760AP3<br>LEI: T2ZG1WRWZ4BUCMQL9224 | Long             | DBT              | CORP              | US        |      803000 | PA      | $567504.19    | 0.08%             | 2029-10-01      | 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      | $-39929.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -18000000 | NC      | $-1767155.03  | -0.24%            |  |  |  | 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 AS     | CUSIP: 61762DAY7<br>LEI: 549300PFVBG5704L7K74 | Long             | ABS-MBS          | CORP              | US        |      570000 | PA      | $563017.73    | 0.08%             | 2046-05-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| Clarios Global L.P.                                                  | Clarios Global L.P.                                                              | CUSIP: 18060TAA3<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | CA        |      110000 | PA      | $110414.86    | 0.01%             | 2025-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       26762 | PA      | $3696.12      | 0.00%             | 2033-05-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                   | Freddie Mac STRIPS, IO                                                           | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        9749 | PA      | $1362.61      | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                                | Claire's Holdings LLC, Pfd.                                                      | CUSIP: 179584917<br>LEI: N/A                  | Long             | EP               | CORP              | US        |          71 | NS      | $18105.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CVS Health Corp.                                                     | CVS Health Corp.                                                                 | CUSIP: 126650CZ1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1353953.03   | 0.18%             | 2048-03-25      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                           | Allison Transmission, Inc.                                                       | CUSIP: 019736AE7<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |      114000 | PA      | $105912.72    | 0.01%             | 2027-10-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                   | Freddie Mac STRIPS, IO                                                           | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        1227 | PA      | $130.01       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                   | Freddie Mac STRIPS, IO                                                           | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       22889 | PA      | $2962.48      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                       | ING Groep N.V.                                                                   | CUSIP: 456837AF0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     3100000 | PA      | $2938143.33   | 0.40%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | Intercontinental Exchange, Inc.                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-22705.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Colombian TES                                                        | Colombian TES, Series B                                                          | CUSIP: BT5050872<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  4875000000 | PA      | $728827.27    | 0.10%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| SunCoke Energy, Inc.                                                 | SunCoke Energy, Inc.                                                             | CUSIP: 86722AAD5<br>LEI: 1KF1J2NXQE2PI0QOB943 | Long             | DBT              | CORP              | US        |      518000 | PA      | $445318.13    | 0.06%             | 2029-06-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Nigeria Government International Bond                                | Nigeria Government International Bond                                            | CUSIP: AQ1229329<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |      750000 | PA      | $607477.50    | 0.08%             | 2027-11-28      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines Inc / SkyMiles IP Ltd.                               | Delta Air Lines Inc / SkyMiles IP Ltd.                                           | CUSIP: 830867AA5<br>LEI: 2549008L7P4I8VB90936 | Long             | DBT              | CORP              | XX        |      173591 | PA      | $169446.52    | 0.02%             | 2025-10-20      | 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      | $-24976.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc.                                                             | HCA Inc.                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      163000 | PA      | $162400.41    | 0.02%             | 2028-09-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | USD P THB C @33.7500 EO                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1500000 | NC      | $636198.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -38400000 | NC      | $-294644.16   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Reliance Industries Ltd.                                             | Reliance Industries Ltd.                                                         | CUSIP: 759470AS6<br>LEI: 5493003UOETFYRONLG31 | Long             | DBT              | CORP              | IN        |     1400000 | PA      | $1200476.02   | 0.16%             | 2045-02-10      | 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      | $1299947.02   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| Uber Technologies Inc.                                               | Uber Technologies Inc., Conv.                                                    | CUSIP: 90353TAJ9<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $2372317.86   | 0.32%             | 2025-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     -480000 | NC      | $-52153.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                | Freeport-McMoRan Inc.                                                            | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     2710000 | PA      | $2528631.87   | 0.34%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -48000000 | NC      | $-108444.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 3136A0ML8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |           5 | PA      | $4.97         | 0.00%             | 2026-08-25      | 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      | $50178.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                             | Republic of South Africa Government Bond, Series 2037                            | CUSIP: EJ7500196<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    86600000 | PA      | $4045792.98   | 0.55%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Vale Overseas Ltd.                                                   | Vale Overseas Ltd.                                                               | CUSIP: 91911TAK9<br>LEI: 254900BA3U6G5DNV5V04 | Long             | DBT              | CORP              | KY        |      750000 | PA      | $792055.15    | 0.11%             | 2039-11-10      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Endo LLC                                                             | Endo LLC, First Lien Term Loan                                                   | CUSIP: L2968EAE2<br>LEI: 222100B15VY0VVCTG251 | Long             | LON              | CORP              | LU        |      498688 | PA      | $402440.81    | 0.05%             | 2028-03-27      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -11250000 | NC      | $-175646.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2021-3                     | Newday Funding Master Issuer PLC - Series 2021-3, Series 2021-3X, Class E        | CUSIP: BCC33BJX4<br>LEI: 213800GBPRAJHSB5YK19 | Long             | ABS-O            | CORP              | GB        |     1600000 | PA      | $1907560.77   | 0.26%             | 2029-11-15      | Floating      | 7.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       41857 | PA      | $46213.93     | 0.01%             | 2036-06-25      | Floating      | 8.11%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                     | Federal Home Loan Mortgage Corp.                                                 | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       80008 | PA      | $81871.44     | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-307150.38   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-163286.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Agricole S.A.                                                 | Credit Agricole S.A.                                                             | CUSIP: AX3296826<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |      750000 | PA      | $719662.50    | 0.10%             | N/A             | Variable      | 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      | $-52130.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                  | Egypt Government International Bond                                              | CUSIP: AS0110237<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      800000 | PA      | $714670.62    | 0.10%             | 2026-04-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Valaris Ltd.                                                         | Valaris Ltd., Series 1145                                                        | CUSIP: BP8218755<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      235000 | PA      | $236674.48    | 0.03%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| IRB Holding Corp.                                                    | IRB Holding Corp., First Lien Term Loan                                          | CUSIP: 44988LAH0<br>LEI: 549300HVW4WNWYBXN830 | Long             | LON              | CORP              | US        |      407398 | PA      | $395990.38    | 0.05%             | 2027-12-15      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    18000000 | NC      | $592290.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                         | UBS Group AG                                                                     | CUSIP: BK6156289<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1500000 | PA      | $1406175.00   | 0.19%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                    | Genesis Energy L.P./ Genesis Energy Finance Corp.                                | CUSIP: 37185LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      150000 | PA      | $143593.50    | 0.02%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $322429.33    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II, LLC                                     | LCM Investments Holdings II, LLC                                                 | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      420000 | PA      | $336877.21    | 0.05%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                   | Dell International LLC / EMC Corp.                                               | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1532077.19   | 0.21%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18000000 | NC      | $-101034.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8689.79      | 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      | $-13965.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO PRIVATE PRIME FUND                                           | INVESCO PRIVATE PRIME FUND                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |    18659102 | NS      | $18664699.41  | 2.53%             |  |  |  | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                        | Enbridge Inc.                                                                    | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     2989000 | PA      | $2912639.18   | 0.39%             | 2083-01-15      | Variable      | 7.38%                 | 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      | $-77663.39    | -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      | $-472674.93   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Mexican Bonos                                                        | Mexican Bonos, Series M                                                          | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   272150000 | PA      | $12934544.48  | 1.75%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      837000 | PA      | $667863.23    | 0.09%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        4799 | PA      | $553.86       | 0.00%             | 2032-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance Inc.           | JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance Inc.                       | CUSIP: 46590XAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |     1105000 | PA      | $1048918.66   | 0.14%             | 2028-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ritchie Bros. Auctioneers Inc.                                       | Ritchie Bros. Auctioneers Inc.                                                   | CUSIP: 767744AA3<br>LEI: 5493002H8U24DJXQ4886 | Long             | DBT              | CORP              | CA        |      579000 | PA      | $569863.38    | 0.08%             | 2025-01-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Sabine Oil & Gas Holdings, Inc.                                      | Sabine Oil & Gas Holdings, Inc.                                                  | CUSIP: 78532M104<br>LEI: 2MNR4Q42DBL85U7RD221 | Long             | EC               | CORP              | US        |         837 | NS      | $435.24       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $524537.99    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-5428.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FA2H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      142748 | PA      | $23872.13     | 0.00%             | 2033-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $14579.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Europe B.V.                                               | Telefonica Europe B.V.                                                           | CUSIP: ZR6556750<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |     1500000 | PA      | $1346197.28   | 0.18%             | N/A             | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Sprint Capital Corp.                                                 | Sprint Capital Corp.                                                             | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |      341000 | PA      | $406593.06    | 0.06%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Stillwater Mining Co.                                                | Stillwater Mining Co.                                                            | CUSIP: 86074QAP7<br>LEI: 6354007DPCY4ZN2MRR73 | Long             | DBT              | CORP              | US        |     1000000 | PA      | $884346.00    | 0.12%             | 2026-11-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| USA Compression Partners L.P./ USA Compression Finance Corp.         | USA Compression Partners L.P./ USA Compression Finance Corp.                     | CUSIP: 91740PAF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $472985.66    | 0.06%             | 2027-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | EUX Short term Euro-BTP Futures                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -589 | NC      | $1050257.35   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Bausch Health Cos. Inc.                                              | Bausch Health Cos. Inc.                                                          | CUSIP: 071734AN7<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      666000 | PA      | $424849.28    | 0.06%             | 2028-06-01      | 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      | $10744.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7500000 | NC      | $74497.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 31364HVE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         696 | PA      | $3.56         | 0.00%             | 2023-03-25      | 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      | $254709.19    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                        | UBS Commercial Mortgage Trust, Series 2017-C5, Class XA                          | CUSIP: 90276TAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2976830 | PA      | $97830.83     | 0.01%             | 2050-11-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    30000000 | NC      | $6390.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                        | CUSIP: 345397XU2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      288000 | PA      | $268921.44    | 0.04%             | 2026-01-08      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Eurohome UK Mortgages PLC                                            | Eurohome UK Mortgages PLC, Series 2007-1, Class B1                               | CUSIP: BCC0WBEB1<br>LEI: 2138009XX8M6MTY8SG15 | Long             | ABS-MBS          | CORP              | GB        |      780000 | PA      | $740014.77    | 0.10%             | 2044-06-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -24300000 | NC      | $-1962058.26  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc.                                                             | HCA Inc.                                                                         | CUSIP: 404119BX6<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      491000 | PA      | $449265.56    | 0.06%             | 2029-06-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Banco Mercantil del Norte, S.A.                                      | Banco Mercantil del Norte, S.A.                                                  | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |      710000 | PA      | $634416.87    | 0.09%             | N/A             | Variable      | 5.88%                 | 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      | $-107518.72   | -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      | $-19541.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1950000 | NC      | $242470.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-197944.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO Bank N.V.                                                   | ABN AMRO Bank N.V.                                                               | CUSIP: BJ9252492<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      800000 | PA      | $791830.33    | 0.11%             | N/A             | Variable      | 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      | $80419.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       14980 | PA      | $14230.96     | 0.00%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                         | Eurosail PLC, Series 2006-2X, Class D1A                                          | CUSIP: BCC0T5HN9<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |     2700000 | PA      | $2122465.95   | 0.29%             | 2044-12-15      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                | United Airlines, Inc.                                                            | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     1455000 | PA      | $1351150.83   | 0.18%             | 2026-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1500000 | NC      | $781483.50    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MOS RU-MTG TRS                                                       | MOS RU-MTG TRS                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | RU        |    22725040 | PA      | $0.00         | 0.00%             | 2034-08-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                | Societe Generale S.A.                                                            | CUSIP: AU7212734<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      750000 | PA      | $719494.63    | 0.10%             | N/A             | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31394EGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        7219 | PA      | $469.57       | 0.00%             | 2031-10-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     2186000 | PA      | $1810904.26   | 0.25%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Countrywide Home Loans Mortgage Pass-Through Trust                   | Countrywide Home Loans Mortgage Pass-Through Trust, Series 2005-17, Class 1A8    | CUSIP: 12669G5U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124981 | PA      | $106860.64    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1800000 | NC      | $30866.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Insured Brazil Power Finance S.a.r.l.                          | Swiss Insured Brazil Power Finance S.a.r.l.                                      | CUSIP: 870880AA9<br>LEI: 254900OBFHBLNHXH1Z48 | Long             | DBT              | CORP              | LU        |     3957412 | PA      | $661473.84    | 0.09%             | 2032-07-16      | Fixed         | 9.85%                 | No            |                  2 | On Loan: No      |
| Corp. Andina de Fomento                                              | Corp. Andina de Fomento                                                          | CUSIP: N/A<br>LEI: UKZ46SXGNYCZK0UOZE76       | Long             | DBT              | CORP              | XX        |    81800000 | PA      | $3458192.44   | 0.47%             | 2031-02-22      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-5085.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                  | Ally Financial Inc.                                                              | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      254000 | PA      | $262907.17    | 0.04%             | 2031-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank U.A.                                           | Cooperatieve Rabobank U.A.                                                       | CUSIP: BK4137737<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     3000000 | PA      | $2866545.99   | 0.39%             | N/A             | Variable      | 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      | $-302650.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                           | Verus Securitization Trust, Series 2022-7, Class A3                              | CUSIP: 92539NAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      503810 | PA      | $481343.72    | 0.07%             | 2067-07-25      | Variable      | 5.35%                 | 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      | $-74573.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        3492 | PA      | $403.12       | 0.00%             | 2032-07-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Electricite de France S.A.                                           | Electricite de France S.A.                                                       | CUSIP: EJ5162338<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     2100000 | PA      | $2145538.85   | 0.29%             | N/A             | Variable      | 5.38%                 | No            |                  2 | On Loan: No      |
| Schweitzer-Mauduit International, Inc. (SWM International)           | Schweitzer-Mauduit International, Inc. (SWM International), First Lien Term Loan | CUSIP: 80854EAH1<br>LEI: 549300Z1FU4IDULG1R21 | Long             | LON              | CORP              | US        |      949282 | PA      | $897071.61    | 0.12%             | 2028-04-20      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                | Societe Generale S.A.                                                            | CUSIP: 83370RAC2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      671000 | PA      | $690266.57    | 0.09%             | N/A             | Variable      | 9.38%                 | No            |                  2 | On Loan: No      |
| Callon Petroleum Co.                                                 | Callon Petroleum Co.                                                             | CUSIP: 13123XBD3<br>LEI: 549300EFOWPEB0WLZW21 | Long             | DBT              | CORP              | US        |      434000 | PA      | $414287.19    | 0.06%             | 2028-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       33340 | PA      | $3329.77      | 0.00%             | 2037-12-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| International Consolidated Airlines Group, S.A.                      | International Consolidated Airlines Group, S.A.                                  | CUSIP: AZ3969369<br>LEI: 959800TZHQRUSH1ESL13 | Long             | DBT              | CORP              | ES        |      800000 | PA      | $669030.93    | 0.09%             | 2027-07-04      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      138756 | PA      | $9810.16      | 0.00%             | 2035-05-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                          | Freddie Mac, Series 2022-DNA2, Class M1                                          | CUSIP: 35564KRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1460788.95   | 0.20%             | 2042-02-25      | Floating      | 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      | $201610.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $48787.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HCA Inc.                                                             | HCA Inc.                                                                         | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      465000 | PA      | $402143.98    | 0.05%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CITIBANK, N.A.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $8864.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Macy's Retail Holdings, LLC                                          | Macy's Retail Holdings, LLC                                                      | CUSIP: 55616XAJ6<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |      140000 | PA      | $84630.00     | 0.01%             | 2043-02-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc.                                                  | Ally Financial Inc.                                                              | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |      521000 | PA      | $505266.00    | 0.07%             | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $266455.05    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Peru Government Bond                                                 | Peru Government Bond                                                             | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |    15000000 | PA      | $3472725.29   | 0.47%             | 2032-08-12      | 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      | $-175525.32   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                               | BP Capital Markets PLC                                                           | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |      910000 | PA      | $799093.75    | 0.11%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| J.B. Poindexter & Co., Inc.                                          | J.B. Poindexter & Co., Inc.                                                      | CUSIP: 730481AJ7<br>LEI: 549300W6P81HOZZGPQ16 | Long             | DBT              | CORP              | US        |      840000 | PA      | $811927.20    | 0.11%             | 2026-04-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -15000000 | NC      | $-575071.43   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Alba PLC                                                             | Alba PLC, Series 2007-1, Class E                                                 | CUSIP: BCC0XU0M9<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |     2319268 | PA      | $2422630.20   | 0.33%             | 2039-03-17      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-367831.20   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  6429000000 | NC      | $3146666.31   | 0.43%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      253000 | PA      | $236370.31    | 0.03%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Barclays Bank PLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    -3750000 | NC      | $-200171.26   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Mcdermott International, Ltd.                                        | Mcdermott International, Ltd.                                                    | CUSIP: N/A<br>LEI: 54930004RAXI4B3L4752       | Long             | EC               | CORP              | BM        |       15957 | NS      | $5106.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mexico Remittances Funding Fiduciary Estate Management S.a.r.l.      | Mexico Remittances Funding Fiduciary Estate Management S.a.r.l.                  | CUSIP: 593035AA6<br>LEI: 54930007WQ6S3GFCM563 | Long             | DBT              | CORP              | LU        |     3905000 | PA      | $3480995.10   | 0.47%             | 2028-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-43087.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2014-UBS6, Class AM                                  | CUSIP: 12592PBH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1600000 | PA      | $1526175.20   | 0.21%             | 2047-12-10      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -80640000 | NC      | $-2334807.37  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -90000000 | NC      | $-759384.00   | -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      | $286674.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Sensata Technologies B.V.                                            | Sensata Technologies B.V.                                                        | CUSIP: 81725WAH6<br>LEI: PUCKW5P5O3XMOZVH7T53 | Long             | DBT              | CORP              | NL        |      163000 | PA      | $162227.38    | 0.02%             | 2024-11-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding PLC                                        | Stratton Mortgage Funding PLC, Series 2021-1, Class E                            | CUSIP: BCC2QMWR5<br>LEI: 213800IOSXVMHGXEEJ68 | Long             | ABS-MBS          | CORP              | GB        |      780000 | PA      | $891023.76    | 0.12%             | 2051-09-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Melco Resorts Finance Ltd.                                           | Melco Resorts Finance Ltd.                                                       | CUSIP: 58547DAE9<br>LEI: 529900NRV6LBR3T6B421 | Long             | DBT              | CORP              | KY        |      725000 | PA      | $607346.41    | 0.08%             | 2028-07-21      | 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      | $21078.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        1050 | PA      | $17.32        | 0.00%             | 2028-07-17      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| CaixaBank, S.A.                                                      | CaixaBank, S.A.                                                                  | CUSIP: AR7387665<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     1000000 | PA      | $929257.20    | 0.13%             | N/A             | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-593072.46   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $135410.34    | 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      | $97855.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DT Auto Owner Trust                                                  | DT Auto Owner Trust, Series 2019-4A, Class D                                     | CUSIP: 23343JAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2050000 | PA      | $2013824.47   | 0.27%             | 2025-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                     | NRG Energy, Inc.                                                                 | CUSIP: 629377CL4<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      494000 | PA      | $437860.55    | 0.06%             | 2029-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Hellenic Republic Government Bond                                    | Hellenic Republic Government Bond                                                | CUSIP: N/A<br>LEI: 2138003EKTMKZ5598902       | Long             | DBT              | NUSS              | GR        |     1973000 | PA      | $1231902.41   | 0.17%             | 2052-01-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31394JMS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       13413 | PA      | $13366.73     | 0.00%             | 2023-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Merrill Lynch & Co., Inc.                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    16294000 | NC      | $363323.61    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-10224.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                    | CSC Holdings, LLC                                                                | CUSIP: 126307BH9<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      256000 | PA      | $178096.39    | 0.02%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Intercontinental Exchange, Inc.                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-279490.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392FJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       56794 | PA      | $57247.43     | 0.01%             | 2032-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      250929 | PA      | $28643.52     | 0.00%             | 2041-04-25      | 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      | $-52219.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UniCredit S.p.A.                                                     | UniCredit S.p.A.                                                                 | CUSIP: AN6130636<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     2400000 | PA      | $2490593.43   | 0.34%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Camelot Finance S.A.                                                 | Camelot Finance S.A.                                                             | CUSIP: 13323AAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     1561000 | PA      | $1465467.77   | 0.20%             | 2026-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7500000 | NC      | $6824.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31394DQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      193570 | PA      | $6136.30      | 0.00%             | 2035-05-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                    | Lamar Media Corp.                                                                | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      764000 | PA      | $704329.14    | 0.10%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Comstock Resources, Inc.                                             | Comstock Resources, Inc.                                                         | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |      442000 | PA      | $399705.02    | 0.05%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| IM Pastor 4, Fondo de Titulizacion de Activos                        | IM Pastor 4, Fondo de Titulizacion de Activos, Series A                          | CUSIP: BCC0QWGX2<br>LEI: 95980020140005262912 | Long             | ABS-MBS          | CORP              | ES        |      684556 | PA      | $621086.44    | 0.08%             | 2044-03-22      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| GC Treasury Center Co., Ltd.                                         | GC Treasury Center Co., Ltd.                                                     | CUSIP: 36830BAD7<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |      750000 | PA      | $666288.75    | 0.09%             | 2032-03-30      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       30593 | PA      | $35951.58     | 0.00%             | 2035-08-15      | Floating      | 8.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-268020.06   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $193100.93    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-218815.78   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                         | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAR8<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      207000 | PA      | $186380.73    | 0.03%             | 2029-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                            | MGM Resorts International                                                        | CUSIP: 552953CC3<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      758000 | PA      | $756847.76    | 0.10%             | 2023-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $156481.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      900000 | NC      | $374279.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |      900000 | NC      | $91183.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                         | CCO Holdings, LLC/CCO Holdings Capital Corp.                                     | CUSIP: 1248EPBZ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       61000 | PA      | $60772.33     | 0.01%             | 2023-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                        | Iliad Holding                                                                    | CUSIP: 449691AA2<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $185836.77    | 0.03%             | 2026-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                 | Energy Transfer L.P.                                                             | CUSIP: 29273VAP5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      506000 | PA      | $502574.38    | 0.07%             | 2028-02-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Natwest Group PLC                                                    | Natwest Group PLC                                                                | CUSIP: BM3452604<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     1035000 | PA      | $1054134.32   | 0.14%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Swedbank AB                                                          | Swedbank AB, Series NC5                                                          | CUSIP: ZR2768276<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |     1600000 | PA      | $1537072.00   | 0.21%             | N/A             | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                               | Standard Chartered PLC                                                           | CUSIP: EJ8514790<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     2700000 | PA      | $2674087.72   | 0.36%             | 2024-01-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Oman Government International Bond                                   | Oman Government International Bond                                               | CUSIP: AQ7342613<br>LEI: 549300SZ20F0QTKNQC75 | Long             | DBT              | NUSS              | OM        |     1500000 | PA      | $1410030.00   | 0.19%             | 2048-01-17      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                         | Diversified Healthcare Trust                                                     | CUSIP: 25525PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      261000 | PA      | $250485.55    | 0.03%             | 2025-06-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 1A1                        | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38461 | PA      | $37006.93     | 0.01%             | 2035-10-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| Becton, Dickinson and Co.                                            | Becton, Dickinson and Co.                                                        | CUSIP: 075887CK3<br>LEI: ICE2EP6D98PQUILVRZ91 | Long             | DBT              | CORP              | US        |     1163000 | PA      | $898194.37    | 0.12%             | 2050-05-20      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18750000 | NC      | $-11239.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EnerSys                                                              | EnerSys                                                                          | CUSIP: 29275YAC6<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |      635000 | PA      | $574468.63    | 0.08%             | 2027-12-15      | 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      | $-74274.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 3133T3Q27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        6445 | PA      | $6456.79      | 0.00%             | 2024-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                              | CarMax Auto Owner Trust, Series 2019-3, Class D                                  | CUSIP: 14315PAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      990000 | PA      | $961279.80    | 0.13%             | 2026-01-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Lusitano Mortgages No. 5 PLC                                         | Lusitano Mortgages No. 5 PLC, Class D                                            | CUSIP: BCC0T50W7<br>LEI: 549300ELBHWFMLA2R125 | Long             | ABS-MBS          | CORP              | IE        |      775030 | PA      | $703558.59    | 0.10%             | 2059-07-15      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 313921R34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       16295 | PA      | $1536.30      | 0.00%             | 2031-11-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                               | Hilcorp Energy I, L.P.                                                           | CUSIP: 431318AS3<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |      173000 | PA      | $156872.08    | 0.02%             | 2028-11-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Crestwood Midstream Partners L.P./ Crestwood Midstream Finance Corp. | Crestwood Midstream Partners L.P./ Crestwood Midstream Finance Corp.             | CUSIP: 67421QAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      827000 | PA      | $824147.11    | 0.11%             | 2029-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                             | Government National Mortgage Association, IO                                     | CUSIP: 38375JSQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |       88197 | PA      | $6228.06      | 0.00%             | 2037-04-16      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                               | Hilcorp Energy I, L.P.                                                           | CUSIP: 431318AY0<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |      374000 | PA      | $333129.65    | 0.05%             | 2030-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Expedia Group, Inc.                                                  | Expedia Group, Inc.                                                              | CUSIP: 30212PBH7<br>LEI: CI7MUJI4USF3V0NJ1H64 | Long             | DBT              | CORP              | US        |      311000 | PA      | $250818.85    | 0.03%             | 2031-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio Inc.                                                 | Sirius XM Radio Inc.                                                             | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      869000 | PA      | $772701.77    | 0.10%             | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                    | Lamar Media Corp.                                                                | CUSIP: 513075BZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $82802.75     | 0.01%             | 2031-01-15      | 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      | $78371.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     9000000 | NC      | $1320403.54   | 0.18%             |  |  |  | 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      | $-395375.69   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        2393 | PA      | $257.78       | 0.00%             | 2032-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                             | Government National Mortgage Association, ARM                                    | CUSIP: 36202KWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         432 | PA      | $423.71       | 0.00%             | 2025-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Ultra Bonds Future                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         -78 | NC      | $843375.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $1772312.00   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB                                     | Skandinaviska Enskilda Banken AB                                                 | CUSIP: BW9249937<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | DBT              | CORP              | SE        |     1600000 | PA      | $1539067.20   | 0.21%             | N/A             | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |     4500000 | NC      | $1013460.73   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18000000 | NC      | $-453492.00   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Mueller Water Products, Inc.                                         | Mueller Water Products, Inc.                                                     | CUSIP: 624758AF5<br>LEI: 549300F7ZU4P1F8V8L60 | Long             | DBT              | CORP              | US        |      270000 | PA      | $237606.75    | 0.03%             | 2029-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                        | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      500000 | PA      | $467385.00    | 0.06%             | 2027-05-28      | 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      | $606259.23    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FirstEnergy Corp.                                                    | FirstEnergy Corp., Series B                                                      | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      890000 | PA      | $829879.10    | 0.11%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Alba PLC                                                             | Alba PLC, Series 2007-1, Class F                                                 | CUSIP: BCC0XU0N7<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |      818844 | PA      | $896962.82    | 0.12%             | 2039-03-17      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $132449.52    | 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      | $13965.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                               | CWHEQ Revolving Home Equity Loan Trust, Series 2005-G, Class 2A                  | CUSIP: 126685AM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1970 | PA      | $1955.04      | 0.00%             | 2035-12-15      | Floating      | 4.55%                 | 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      | $-349671.63   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                          | Freddie Mac, Series 2022-DNA3, Class M1                                          | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2252573 | PA      | $2242362.67   | 0.30%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Claire's Stores Inc.                                                 | Claire's Stores Inc., First Lien Term Loan                                       | CUSIP: 17958DAL1<br>LEI: 549300N5HNYXI6JY7625 | Long             | LON              | CORP              | US        |       70787 | PA      | $64238.80     | 0.01%             | 2026-12-18      | Floating      | 10.88%                | No            |                  2 | On Loan: No      |
| Ford Motor Co.                                                       | Ford Motor Co.                                                                   | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      509000 | PA      | $382626.35    | 0.05%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -112500000 | NC      | $-1046616.75  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-261727.43   | -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      | $-1740.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Swiss Re Finance (Luxembourg) S.A.                                   | Swiss Re Finance (Luxembourg) S.A.                                               | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |     1680000 | PA      | $1554453.60   | 0.21%             | 2049-04-02      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| Invesco Liquid Assets Portfolio                                      | Invesco Liquid Assets Portfolio                                                  | CUSIP: 825252729<br>LEI: 549300DC1W0JSX3QRC47 | Long             | STIV             | RF                | US        |    12647121 | NS      | $12650915.06  | 1.71%             |  |  |  | No            |                  1 | On Loan: No      |
| CD Mortgage Trust                                                    | CD Mortgage Trust, Series 2017-CD6, Class XA                                     | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1989539 | PA      | $55507.55     | 0.01%             | 2050-11-13      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| CSN Inova Ventures                                                   | CSN Inova Ventures                                                               | CUSIP: ZP6635574<br>LEI: 222100R8R68DM7VM3661 | Long             | DBT              | CORP              | KY        |      725000 | PA      | $693405.88    | 0.09%             | 2028-01-28      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Guatemala Government Bond                                            | Guatemala Government Bond                                                        | CUSIP: 401494AT6<br>LEI: 529900QKDFFU9UWW5315 | Long             | DBT              | NUSS              | GT        |      400000 | PA      | $331281.56    | 0.04%             | 2033-10-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs                                                               | CUSIP: 31392MJE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       63731 | PA      | $65901.80     | 0.01%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-198616.02   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                               | Credit Suisse Group AG                                                           | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     3015000 | PA      | $2376944.60   | 0.32%             | N/A             | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Arconic Corp.                                                        | Arconic Corp.                                                                    | CUSIP: 03966VAA5<br>LEI: 549300B4YFWH3U74B152 | Long             | DBT              | CORP              | US        |     4070000 | PA      | $3825739.15   | 0.52%             | 2028-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| WFRBS Commercial Mortgage Trust                                      | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class AS                       | CUSIP: 92890PAG9<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |      640000 | PA      | $622520.58    | 0.08%             | 2046-06-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     2250000 | NC      | $510990.75    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Intercontinental Exchange, Inc.                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $81708.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1077721.04   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BB Blue Financing DAC                                                | BB Blue Financing DAC, Series A1                                                 | CUSIP: BZ1196758<br>LEI: 635400ZEZBP91CFF7965 | Long             | DBT              | CORP              | IE        |      750000 | PA      | $746100.00    | 0.10%             | 2037-09-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $139154.39    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| American Builders & Contractors Supply Co., Inc.                     | American Builders & Contractors Supply Co., Inc.                                 | CUSIP: 024747AF4<br>LEI: 549300H5GQ4C1BEKG397 | Long             | DBT              | CORP              | US        |      502000 | PA      | $448747.84    | 0.06%             | 2028-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS Corp.                                                       | DISH DBS Corp.                                                                   | CUSIP: 25470XBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      714000 | PA      | $461947.29    | 0.06%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.and Sunoco Finance Corp.                                  | Sunoco L.P.and Sunoco Finance Corp.                                              | CUSIP: 86765LAN7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      487000 | PA      | $462046.67    | 0.06%             | 2028-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2019 - Granite4 PLC                      | Towd Point Mortgage Funding 2019 - Granite4 PLC, Series 2019-GR4X, Class FR      | CUSIP: BCC32ZDC4<br>LEI: 635400655NWVVZHH1395 | Long             | ABS-MBS          | CORP              | GB        |      870000 | PA      | $1013423.72   | 0.14%             | 2051-10-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       61862 | PA      | $9486.77      | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                             | Republic of South Africa Government Bond, Series 2032                            | CUSIP: EJ7500097<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    68700000 | PA      | $3448696.53   | 0.47%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       17652 | PA      | $1257.97      | 0.00%             | 2032-04-25      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      326000 | PA      | $303275.68    | 0.04%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Jabil Inc.                                                           | Jabil Inc.                                                                       | CUSIP: 466313AK9<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1079189.83   | 0.15%             | 2031-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Virgin Media Finance PLC                                             | Virgin Media Finance PLC                                                         | CUSIP: 92769VAJ8<br>LEI: 2138001LVYC87DDHT482 | Long             | DBT              | CORP              | GB        |      348000 | PA      | $279685.86    | 0.04%             | 2030-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-14159.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                   | Seagate HDD Cayman                                                               | CUSIP: 81180WBD2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |      376000 | PA      | $294045.43    | 0.04%             | 2031-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Dun & Bradstreet Corp. (The)                                         | Dun & Bradstreet Corp. (The)                                                     | CUSIP: 26483EAL4<br>LEI: RI37BMPWE56BCJ747E14 | Long             | DBT              | CORP              | US        |      102000 | PA      | $87420.43     | 0.01%             | 2029-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                                         | Barclays PLC                                                                     | CUSIP: AZ0489668<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2375000 | PA      | $2721620.96   | 0.37%             | N/A             | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-410603.25   | -0.06%            |  |  |  | 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      | $322776.33    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -67500000 | NC      | $-2655834.08  | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| Fortress Transportation and Infrastructure Investors LLC             | Fortress Transportation and Infrastructure Investors LLC                         | CUSIP: 34960PAD3<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |      864000 | PA      | $738227.52    | 0.10%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 31364HG27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        8355 | PA      | $191.76       | 0.00%             | 2024-01-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -25104603 | NC      | $-139542.94   | -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      | $-28458.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Gartner, Inc.                                                        | Gartner, Inc.                                                                    | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |      371000 | PA      | $346551.10    | 0.05%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $2100330.93   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Argentina Treasury Bond BONCER                                       | Argentina Treasury Bond BONCER                                                   | CUSIP: BG9926083<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    75000000 | PA      | $1500560.12   | 0.20%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Bahamas Government International Bond                                | Bahamas Government International Bond                                            | CUSIP: 056732AM2<br>LEI: 549300W13SXC7EKNJC20 | Long             | DBT              | NUSS              | BS        |      750000 | PA      | $644877.33    | 0.09%             | 2029-06-16      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Plains All American Pipeline L.P./ PAA Finance Corp.                 | Plains All American Pipeline L.P./ PAA Finance Corp.                             | CUSIP: 72650RBN1<br>LEI: 5521FA2ITF25TVH63740 | Long             | DBT              | CORP              | US        |      780000 | PA      | $679717.19    | 0.09%             | 2030-09-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Cox Communications, Inc.                                             | Cox Communications, Inc.                                                         | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |      956000 | PA      | $577265.99    | 0.08%             | 2050-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Stratton Mortgage Funding PLC                                        | Stratton Mortgage Funding PLC, Series 2021-1, Class D                            | CUSIP: BCC2QMWQ7<br>LEI: 213800IOSXVMHGXEEJ68 | Long             | ABS-MBS          | CORP              | GB        |     1300000 | PA      | $1506586.72   | 0.20%             | 2051-09-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Roller Bearing Co. of America, Inc.                                  | Roller Bearing Co. of America, Inc.                                              | CUSIP: 775631AD6<br>LEI: 254900U9XW6S76H2P167 | Long             | DBT              | CORP              | US        |      413000 | PA      | $357637.35    | 0.05%             | 2029-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Sprint LLC                                                           | Sprint LLC                                                                       | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |      421000 | PA      | $443947.03    | 0.06%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                                                 | FREMF Mortgage Trust, Series 2017-K62, Class B                                   | CUSIP: 302949AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280000 | PA      | $261946.86    | 0.04%             | 2050-01-25      | Variable      | 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      | $-204895.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1500000 | NC      | $93752.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                             | Group 1 Automotive, Inc.                                                         | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |     1010000 | PA      | $856591.30    | 0.12%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Apache Corp.                                                         | Apache Corp.                                                                     | CUSIP: 03746AAA8<br>LEI: 72ZZ1XRHOOU9P9X16K08 | Long             | DBT              | CORP              | US        |      392000 | PA      | $412424.06    | 0.06%             | 2029-12-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Development Bank of Kazakhstan JSC                                   | Development Bank of Kazakhstan JSC                                               | CUSIP: 48129VAA4<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |      889000 | PA      | $889977.90    | 0.12%             | 2025-05-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392GDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       31776 | PA      | $31416.83     | 0.00%             | 2032-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                 | Muthoot Finance Ltd.                                                             | CUSIP: 62828M2B6<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |     1500000 | PA      | $1477744.50   | 0.20%             | 2023-09-02      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-544522.55   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Ascent Resources Utica Holdings LLC / ARU Finance Corp.              | Ascent Resources Utica Holdings LLC / ARU Finance Corp.                          | CUSIP: 04364VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      414000 | PA      | $402229.77    | 0.05%             | 2026-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                        | Netflix, Inc.                                                                    | CUSIP: 64110LAU0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      450000 | PA      | $437298.75    | 0.06%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WRKCo Inc.                                                           | WRKCo Inc.                                                                       | CUSIP: 92940PAG9<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |     1820000 | PA      | $1450564.35   | 0.20%             | 2033-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $392251.68    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| EQM Midstream Partners, L.P.                                         | EQM Midstream Partners, L.P.                                                     | CUSIP: 26885BAH3<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      384000 | PA      | $367680.00    | 0.05%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       56578 | PA      | $2778.35      | 0.00%             | 2035-01-15      | Floating      | 2.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                          | BNP Paribas                                                                      | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1485000.00   | 0.20%             | N/A             | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| New Zealand Government Bond                                          | New Zealand Government Bond, Series 551                                          | CUSIP: BR2219516<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     8000000 | PA      | $3646662.62   | 0.49%             | 2051-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Great Hall Mortgages No.1 PLC                                        | Great Hall Mortgages No.1 PLC, Series 2007-2X, Class EB                          | CUSIP: BCC0YMFK4<br>LEI: 213800TM9KICQKGTYR78 | Long             | ABS-MBS          | CORP              | GB        |     1780000 | PA      | $1767039.47   | 0.24%             | 2039-06-18      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| International Finance Corp.                                          | International Finance Corp.                                                      | CUSIP: AR6957328<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | XX        |    90000000 | PA      | $1044261.41   | 0.14%             | 2038-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                         | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAM9<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      351000 | PA      | $295749.43    | 0.04%             | 2040-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        4177 | PA      | $261.92       | 0.00%             | 2029-06-15      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4409.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Braskem Idesa S.A.P.I.                                               | Braskem Idesa S.A.P.I.                                                           | CUSIP: 10554NAB4<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |      893000 | PA      | $639132.10    | 0.09%             | 2032-02-20      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -11250000 | NC      | $-76751.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Colombian TES                                                        | Colombian TES, Series B                                                          | CUSIP: AW6274582<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 14325000000 | PA      | $1953106.43   | 0.26%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                             | Government National Mortgage Association                                         | CUSIP: 36206N4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        4188 | PA      | $4185.71      | 0.00%             | 2026-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas                                                          | BNP Paribas                                                                      | CUSIP: AX7277939<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      600000 | PA      | $581841.49    | 0.08%             | N/A             | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury Long Bond Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         -25 | NC      | $19351.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-159304.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                  | Egypt Government International Bond                                              | CUSIP: 038461AM1<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     1050000 | PA      | $703128.30    | 0.10%             | 2047-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| America Movil, S.A.B. de C.V.                                        | America Movil, S.A.B. de C.V.                                                    | CUSIP: 03217KAB4<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |     2024000 | PA      | $1829584.68   | 0.25%             | 2032-04-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        4545 | PA      | $476.90       | 0.00%             | 2032-03-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| Electricite de France S.A.                                           | Electricite de France S.A.                                                       | CUSIP: EJ5308790<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      800000 | PA      | $798257.58    | 0.11%             | N/A             | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| CNX Resources Corp.                                                  | CNX Resources Corp.                                                              | CUSIP: 12653CAK4<br>LEI: 549300JK3KH8PWM3B226 | Long             | DBT              | CORP              | US        |      424000 | PA      | $406984.88    | 0.06%             | 2031-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                | Federal National Mortgage Association                                            | CUSIP: 31368HLS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       85405 | PA      | $87233.53     | 0.01%             | 2033-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -45000000 | NC      | $-3082225.45  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| EQM Midstream Partners, L.P.                                         | EQM Midstream Partners, L.P.                                                     | CUSIP: 26885BAM2<br>LEI: 549300NELT611CL6XM83 | Long             | DBT              | CORP              | US        |      148000 | PA      | $145126.58    | 0.02%             | 2027-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Hess Midstream Operations L.P.                                       | Hess Midstream Operations L.P.                                                   | CUSIP: 428102AC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      615000 | PA      | $600064.73    | 0.08%             | 2026-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                           | JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class B             | CUSIP: 46643GAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      680000 | PA      | $623026.61    | 0.08%             | 2047-11-15      | Variable      | 4.12%                 | 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      | $3392.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kraft Heinz Foods Co.                                                | Kraft Heinz Foods Co.                                                            | CUSIP: 50077LAM8<br>LEI: 5493003STKEZ2S0RNU91 | Long             | DBT              | CORP              | US        |     3510000 | PA      | $3255689.02   | 0.44%             | 2045-07-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / New Red Finance Inc.                                | 1011778 BC ULC / New Red Finance Inc.                                            | CUSIP: 68245XAM1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      527000 | PA      | $427868.67    | 0.06%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PetSmart, Inc.                                                       | PetSmart, Inc., First Lien Term Loan                                             | CUSIP: 71677HAL9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      459758 | PA      | $451280.24    | 0.06%             | 2028-02-11      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                             | Fannie Mae Connecticut Avenue Securities, Series 2019-R02, Class 1M2             | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24777 | PA      | $24748.94     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-119346.22   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                   | CHS/Community Health Systems, Inc.                                               | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      227000 | PA      | $165232.17    | 0.02%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Alhambra SME Funding DAC                                             | Alhambra SME Funding DAC, Series 2019-1, Class D                                 | CUSIP: BCC2KKGU6<br>LEI: 635400YAJGI5TGJENW90 | Long             | ABS-CBDO         | CORP              | IE        |      141425 | PA      | $117338.91    | 0.02%             | 2028-11-30      | Floating      | 11.16%                | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                         | Diversified Healthcare Trust                                                     | CUSIP: 81721MAK5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      247000 | PA      | $209105.26    | 0.03%             | 2024-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $3666.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bayer AG                                                             | Bayer AG                                                                         | CUSIP: ZQ5126060<br>LEI: 549300J4U55H3WP1XT59 | Long             | DBT              | CORP              | DE        |     1500000 | PA      | $1445227.24   | 0.20%             | 2079-11-12      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| OCP S.A.                                                             | OCP S.A.                                                                         | CUSIP: BQ0169574<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |      750000 | PA      | $630907.50    | 0.09%             | 2031-06-23      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                         | Lennar Corp.                                                                     | CUSIP: 526057BZ6<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |       89000 | PA      | $87856.54     | 0.01%             | 2024-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multifamily Structured Pass-Through Ctfs.                | Freddie Mac Multifamily Structured Pass-Through Ctfs., Series K734, Class X1, IO | CUSIP: 3137FLN59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |     1651161 | PA      | $26199.30     | 0.00%             | 2026-02-25      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Hudbay Minerals Inc.                                                 | Hudbay Minerals Inc.                                                             | CUSIP: 443628AH5<br>LEI: 549300WI524AL577IX21 | Long             | DBT              | CORP              | CA        |      468000 | PA      | $424562.47    | 0.06%             | 2029-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Bonos de la Tesoreria de la Republica en pesos                       | Bonos de la Tesoreria de la Republica en pesos                                   | CUSIP: BM6609572<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  2125000000 | PA      | $2055607.13   | 0.28%             | 2033-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                      | FirstCash, Inc.                                                                  | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      466000 | PA      | $415376.10    | 0.06%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Howard Midstream Energy Partners, LLC                                | Howard Midstream Energy Partners, LLC                                            | CUSIP: 442722AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      505000 | PA      | $484697.03    | 0.07%             | 2027-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FAA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       48934 | PA      | $7603.54      | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        3997 | PA      | $261.87       | 0.00%             | 2035-03-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                                     | Boeing Co. (The)                                                                 | CUSIP: 097023CS2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     3000000 | PA      | $2994850.32   | 0.41%             | 2023-05-01      | Fixed         | 4.51%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                            | CUSIP: 85172FAR0<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      106000 | PA      | $86873.42     | 0.01%             | 2029-11-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       81526 | PA      | $4712.94      | 0.00%             | 2035-05-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Bacardi Ltd.                                                         | Bacardi Ltd.                                                                     | CUSIP: 067316AD1<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |      329000 | PA      | $297724.22    | 0.04%             | 2026-07-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Telecomunicaciones Digitales S.A.                                    | Telecomunicaciones Digitales S.A.                                                | CUSIP: ZQ3057432<br>LEI: 5299008Q5GONPYNF9J32 | Long             | DBT              | CORP              | PA        |      750000 | PA      | $675018.75    | 0.09%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Nemak, S.A.B. de C.V.                                                | Nemak, S.A.B. de C.V.                                                            | CUSIP: 64045DAC8<br>LEI: 5493000MY3DAIB0BP706 | Long             | DBT              | CORP              | MX        |     1195000 | PA      | $936497.38    | 0.13%             | 2031-06-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -5000000 | NC      | $-47405.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $19270.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Alcoa Nederland Holding B.V.                                         | Alcoa Nederland Holding B.V.                                                     | CUSIP: 013822AC5<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |     2010000 | PA      | $1983638.85   | 0.27%             | 2028-05-15      | 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      | $210855.83    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $238332.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                     | Federal Home Loan Mortgage Corp.                                                 | CUSIP: 3128K7XS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       36453 | PA      | $37524.95     | 0.01%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bond                               | Colombia Government International Bond                                           | CUSIP: 195325EA9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1475000 | PA      | $927515.93    | 0.13%             | 2042-02-22      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        3091 | PA      | $239.59       | 0.00%             | 2031-12-18      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-18021.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                | Federal National Mortgage Association                                            | CUSIP: 31401NXS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        1051 | PA      | $1050.51      | 0.00%             | 2033-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 10 Year Ultra Future                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         368 | NC      | $-155455.23   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FASW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       29706 | PA      | $4742.41      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| YUM! Brands, Inc.                                                    | YUM! Brands, Inc.                                                                | CUSIP: 988498AR2<br>LEI: 549300JE8XHZZ7OHN517 | Long             | DBT              | CORP              | US        |      461000 | PA      | $427623.60    | 0.06%             | 2032-04-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Vistra Operations Co. LLC                                            | Vistra Operations Co. LLC                                                        | CUSIP: 92840VAH5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      517000 | PA      | $446497.69    | 0.06%             | 2029-05-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $106520.51    | 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      | $-24069.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lennar Corp.                                                         | Lennar Corp.                                                                     | CUSIP: 526057BV5<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |      244000 | PA      | $242668.75    | 0.03%             | 2025-05-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                            | OBX Trust, Series 2022-NQM7, Class A3                                            | CUSIP: 67117DAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374517 | PA      | $360839.02    | 0.05%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Rockies Express Pipeline LLC                                         | Rockies Express Pipeline LLC                                                     | CUSIP: 77340RAT4<br>LEI: W2ZGZGZKY5GGNY6F3V51 | Long             | DBT              | CORP              | US        |      445000 | PA      | $392374.52    | 0.05%             | 2030-05-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Clarios Global L.P./ Clarios US Finance Co.                          | Clarios Global L.P./ Clarios US Finance Co.                                      | CUSIP: 69867DAC2<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | XX        |      100000 | PA      | $97855.65     | 0.01%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fondo Mivivienda S.A.                                                | Fondo Mivivienda S.A.                                                            | CUSIP: 344593AF5<br>LEI: 549300X41PNOK11PZ670 | Long             | DBT              | NUSS              | PE        |     1712000 | PA      | $1623607.61   | 0.22%             | 2027-04-12      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| International Consolidated Airlines Group, S.A.                      | International Consolidated Airlines Group, S.A.                                  | CUSIP: N/A<br>LEI: 959800TZHQRUSH1ESL13       | Long             | DBT              | CORP              | ES        |      600000 | PA      | $588651.34    | 0.08%             | 2025-03-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                        | Citigroup Mortgage Loan Trust, Series 2005-2, Class 1A3                          | CUSIP: 17307GRB6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |      185024 | PA      | $175734.37    | 0.02%             | 2035-05-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $100986.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                   | Southern Co. (The), Series B                                                     | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     3271000 | PA      | $2984787.50   | 0.40%             | 2051-01-15      | Variable      | 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      | $224681.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TMF TRUST Co. (ARGENTINA) S.A.                                       | TMF TRUST Co. (ARGENTINA) S.A.                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | AR        |   195636777 | NS      | $1106877.80   | 0.15%             |  |  |  | No            |                  3 | On Loan: No      |
| Enerflex Ltd.                                                        | Enerflex Ltd.                                                                    | CUSIP: 29269RAA3<br>LEI: 54930014N7872VUS3F89 | Long             | DBT              | CORP              | CA        |      766000 | PA      | $764904.62    | 0.10%             | 2027-10-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31392BKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       23510 | PA      | $23932.92     | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | U.S. Treasury 5 Year Notes Future                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |        -871 | NC      | $17341.93     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31395U5F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      118272 | PA      | $7851.37      | 0.00%             | 2035-05-15      | Floating      | 2.40%                 | 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      | $318355.26    | 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      | $-152198.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Nabors Industries, Inc.                                              | Nabors Industries, Inc.                                                          | CUSIP: 62957HAJ4<br>LEI: 549300VFQWRKICUFNU92 | Long             | DBT              | CORP              | US        |      473000 | PA      | $458738.92    | 0.06%             | 2027-05-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                   | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class B     | CUSIP: 61690GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240000 | PA      | $232285.80    | 0.03%             | 2047-02-15      | Variable      | 4.87%                 | No            |                  2 | On Loan: No      |
| Cogent Communications Group, Inc.                                    | Cogent Communications Group, Inc.                                                | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |      436000 | PA      | $427793.65    | 0.06%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                           | Sensata Technologies, Inc.                                                       | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      703000 | PA      | $579395.02    | 0.08%             | 2031-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-79859.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       23018 | PA      | $4160.56      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $227870.13    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-68793.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Romanian Government International Bond                               | Romanian Government International Bond                                           | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |     1209000 | PA      | $832732.01    | 0.11%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSC Holdings, LLC                                                    | CSC Holdings, LLC                                                                | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      780000 | PA      | $441632.10    | 0.06%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC, Series A144                                                      | CUSIP: 21887JAP7<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      355844 | PA      | $335152.97    | 0.05%             | 2025-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                | OneMain Finance Corp.                                                            | CUSIP: 85172FAN9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      543000 | PA      | $517538.73    | 0.07%             | 2026-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $49107.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                    | Lamar Media Corp.                                                                | CUSIP: 513075BT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1402000 | PA      | $1227836.55   | 0.17%             | 2030-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31394UZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       39843 | PA      | $39454.60     | 0.01%             | 2025-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -33000000 | NC      | $-804936.00   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| VZ Secured Financing B.V.                                            | VZ Secured Financing B.V.                                                        | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |      519000 | PA      | $422689.90    | 0.06%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Macy's Retail Holdings, LLC                                          | Macy's Retail Holdings, LLC                                                      | CUSIP: 55617LAP7<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |      182000 | PA      | $161410.87    | 0.02%             | 2029-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Colombian TES                                                        | Colombian TES, Series B                                                          | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        | 36450000000 | PA      | $4278841.06   | 0.58%             | 2050-10-26      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-3069634.56  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                         | Mattel, Inc.                                                                     | CUSIP: 577081AW2<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |      725000 | PA      | $591325.44    | 0.08%             | 2041-11-01      | 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      | $-342050.13   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -7500000 | NC      | $-36681.63    | -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      | $236255.62    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | JPMorgan Chase Bank, National Association                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1000000 | NC      | $376886.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Colombian TES                                                        | Colombian TES, Series B                                                          | CUSIP: AM1281642<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 30000000000 | PA      | $4222133.97   | 0.57%             | 2032-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-34859.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sempra Energy                                                        | Sempra Energy                                                                    | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     4350000 | PA      | $3389713.62   | 0.46%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                            | Ford Motor Credit Co. LLC                                                        | CUSIP: 345397A60<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     4704000 | PA      | $4532499.69   | 0.61%             | 2025-06-16      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     2142857 | NC      | $392396.82    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $3253.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -12000000 | NC      | $-359724.00   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-261771.82   | -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      | $222162.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-736752.10   | -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      | $42297.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Alba PLC                                                             | Alba PLC, Series 2006-2, Class F                                                 | CUSIP: BCC0TR7H5<br>LEI: 2138004SAGUH3UKKW934 | Long             | ABS-MBS          | CORP              | GB        |      581856 | PA      | $652079.20    | 0.09%             | 2038-12-15      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                              | Level 3 Financing, Inc.                                                          | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      200000 | PA      | $166850.00    | 0.02%             | 2027-09-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PT Cikarang Listrindo Tbk                                            | PT Cikarang Listrindo Tbk                                                        | CUSIP: 536576AD3<br>LEI: 254900NPCIO562Z7FN53 | Long             | DBT              | CORP              | ID        |     2025000 | PA      | $1894536.05   | 0.26%             | 2026-09-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       20848 | PA      | $1345.21      | 0.00%             | 2039-12-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Forward Foreign Currency Contract                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-4211.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31397M4E4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |           5 | PA      | $0.01         | 0.00%             | 2024-02-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                 | Energy Transfer L.P.                                                             | CUSIP: 29273VAQ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      402000 | PA      | $394074.57    | 0.05%             | 2033-02-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co.                                                       | Ford Motor Co.                                                                   | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      241000 | PA      | $173531.54    | 0.02%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                                  | COMM Mortgage Trust, Series 2014-CR21, Class AM                                  | CUSIP: 12592RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25000 | PA      | $23749.80     | 0.00%             | 2047-12-10      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                   | Southern Co. (The), Series 21-A                                                  | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     2263000 | PA      | $1832920.06   | 0.25%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                              | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     3000000 | PA      | $2817197.40   | 0.38%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding XI Ltd.                                         | Madison Park Funding XI Ltd., Series 2013-11A, Class DR                          | CUSIP: 55818KAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $234568.50    | 0.03%             | 2029-07-23      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Everi Holdings Inc.                                                  | Everi Holdings Inc.                                                              | CUSIP: 30034TAA1<br>LEI: 5299006DK5S7BG10K532 | Long             | DBT              | CORP              | US        |      508000 | PA      | $437015.41    | 0.06%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alpek, S.A.B. de C.V.                                                | Alpek, S.A.B. de C.V.                                                            | CUSIP: 020564AE0<br>LEI: 549300PWKJTP62D4IQ66 | Long             | DBT              | CORP              | MX        |      656000 | PA      | $547560.81    | 0.07%             | 2031-02-25      | Fixed         | 3.25%                 | 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      | $-169317.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                   | Freddie Mac REMICs, IO                                                           | CUSIP: 31394KL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       50840 | PA      | $3196.14      | 0.00%             | 2033-10-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                           | Fannie Mae Interest STRIPS, IO                                                   | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       15390 | PA      | $2262.12      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Inflation - Indexed Bonds                              | U.S. Treasury Inflation - Indexed Bonds                                          | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9633600 | PA      | $6248690.14   | 0.85%             | 2052-02-15      | Fixed         | 0.12%                 | 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      | $287017.77    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Lufthansa AG                                                | Deutsche Lufthansa AG                                                            | CUSIP: UV4294590<br>LEI: 529900PH63HYJ86ASW55 | Long             | DBT              | CORP              | DE        |     1400000 | PA      | $1282826.67   | 0.17%             | 2075-08-12      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs                                                                | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        6018 | PA      | $5952.10      | 0.00%             | 2033-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Prudential PLC                                                       | Prudential PLC                                                                   | CUSIP: AP6048676<br>LEI: 5493001Z3ZE83NGK8Y12 | Long             | DBT              | CORP              | GB        |     1450000 | PA      | $1208212.50   | 0.16%             | N/A             | 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      | $-37869.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                            | BPCE S.A.                                                                        | CUSIP: 05578UAB0<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     1500000 | PA      | $1469262.00   | 0.20%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Altice France                                                        | Altice France                                                                    | CUSIP: 02156LAH4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      315000 | PA      | $240759.23    | 0.03%             | 2029-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Netflix, Inc.                                                        | Netflix, Inc.                                                                    | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      387000 | PA      | $393203.61    | 0.05%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Bank of America, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -11250000 | NC      | $-367498.24   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                  | Petroleos Mexicanos                                                              | CUSIP: 71654QCG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     4518000 | PA      | $4130863.88   | 0.56%             | 2027-03-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Intercontinental Exchange, Inc.                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-8270.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CT Trust                                                             | CT Trust                                                                         | CUSIP: 12659BAA2<br>LEI: 213800MJB7WO427HQD34 | Long             | DBT              | CORP              | GT        |      817000 | PA      | $718582.06    | 0.10%             | 2032-02-03      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC / New Red Finance Inc.                                | 1011778 BC ULC / New Red Finance Inc.                                            | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       97000 | PA      | $86984.80     | 0.01%             | 2028-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Party City Holdco Inc.                                               | Party City Holdco Inc.                                                           | CUSIP: 702149105<br>LEI: 549300BUAG9YASF5Q703 | Long             | EC               | CORP              | US        |        3211 | NS      | $1173.79      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Dufry One B.V.                                                       | Dufry One B.V.                                                                   | CUSIP: ZQ4920273<br>LEI: 7245003K5MN9U7XW0808 | Long             | DBT              | CORP              | NL        |      750000 | PA      | $659341.22    | 0.09%             | 2027-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Twilio Inc.                                                          | Twilio Inc.                                                                      | CUSIP: 90138FAC6<br>LEI: 5493004W8TRGD63APX93 | Long             | DBT              | CORP              | US        |      515000 | PA      | $419055.50    | 0.06%             | 2029-03-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | CME Group Inc.                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $126933.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Centene Corp.                                                        | Centene Corp.                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      474000 | PA      | $434227.05    | 0.06%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ProSil Acquisition S.A.                                              | ProSil Acquisition S.A., Series 2019-1, Class A                                  | CUSIP: N/A<br>LEI: 529900REZH4056FENJ94       | Long             | ABS-MBS          | CORP              | LU        |     1646445 | PA      | $1538513.30   | 0.21%             | 2039-10-31      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| Wynn Macau, Ltd.                                                     | Wynn Macau, Ltd.                                                                 | CUSIP: 98313RAC0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     1160000 | PA      | $1097032.66   | 0.15%             | 2024-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| Occidental Petroleum Corp.                                           | Occidental Petroleum Corp.                                                       | CUSIP: 674599DZ5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |       87000 | PA      | $93831.75     | 0.01%             | 2027-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                          | Freddie Mac, Series 2022-DNA3, Class M1                                          | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3000000 | PA      | $2968668.60   | 0.40%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Carnival Holdings Bermuda Ltd.                                       | Carnival Holdings Bermuda Ltd.                                                   | CUSIP: 14366RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      409000 | PA      | $420609.47    | 0.06%             | 2028-05-01      | Fixed         | 10.38%                | No            |                  2 | On Loan: —       |
| N/A                                                                  | AUD C USD P @0.750000 EO                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1200000 | NC      | $75670.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Erste Group Bank AG                                                  | Erste Group Bank AG, Series PERP                                                 | CUSIP: BM5824776<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |      600000 | PA      | $510825.99    | 0.07%             | N/A             | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Coriolanus DAC                                                       | Coriolanus DAC, Series 144                                                       | CUSIP: 21887JAS1<br>LEI: 2138007VV3P448DEQX41 | Long             | DBT              | CORP              | IE        |      415193 | PA      | $391051.15    | 0.05%             | 2025-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Goldman Sachs International                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -15000000 | NC      | $-92077.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust                         | American Credit Acceptance Receivables Trust, Series 2019-2, Class D             | CUSIP: 02530DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      630926 | PA      | $629464.77    | 0.09%             | 2025-06-12      | Fixed         | 3.41%                 | No            |                  2 | On Loan: No      |
| Repsol International Finance, B.V.                                   | Repsol International Finance, B.V.                                               | CUSIP: BJ8146489<br>LEI: 5493002YCY6HTK0OUR29 | Long             | DBT              | CORP              | NL        |      750000 | PA      | $746317.39    | 0.10%             | N/A             | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| HTA Group Ltd.                                                       | HTA Group Ltd.                                                                   | CUSIP: 40435WAB6<br>LEI: 213800WEFU8O8X6EPU13 | Long             | DBT              | CORP              | MU        |     1370000 | PA      | $1274100.00   | 0.17%             | 2025-12-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                  | Morgan Stanley Capital Services LLC                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18000000 | NC      | $-113706.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                  | LCH.Clearnet LLC                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-149160.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| 1MDB Global Investments Ltd.                                         | 1MDB Global Investments Ltd.                                                     | CUSIP: EJ6045714<br>LEI: N/A                  | Long             | DBT              | CORP              | VG        |     1500000 | PA      | $1468616.15   | 0.20%             | 2023-03-09      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                | Dominican Republic International Bond                                            | CUSIP: 25714PEG9<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      550000 | PA      | $426455.45    | 0.06%             | 2041-01-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        2382 | PA      | $243.74       | 0.00%             | 2032-04-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                    | Fannie Mae REMICs, IO                                                            | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      167360 | PA      | $16804.31     | 0.00%             | 2042-12-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                 | Jane Street Group / JSG Finance Inc.                                             | CUSIP: 47077WAA6<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |      489000 | PA      | $421246.61    | 0.06%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Murray Energy Corp.                                                  | Murray Energy Corp.                                                              | CUSIP: N/A<br>LEI: 549300WM5IIFYHZYTT63       | Long             | EC               | CORP              | US        |         911 | NS      | $93529.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Match Group Holdings II, LLC                                         | Match Group Holdings II, LLC                                                     | CUSIP: 57665RAN6<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |      743000 | PA      | $663669.89    | 0.09%             | 2028-06-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-30

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

**Signature:** Sheri Morris

**Name of Signer:** Sheri Morris

**Title:** President