# EDGAR Filing Document

**Accession Number:** 0000826644
**File Stem:** 0000826644-25-000241
**Filing Date:** 2025-12
**Character Count:** 464982
**Document Hash:** cdc87e1af6258efc18cb6cb841acf4c3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000826644-25-000241.hdr.sgml**: 20251230

**ACCESSION NUMBER**: 0000826644-25-000241

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251230

**DATE AS OF CHANGE**: 20251230

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AIM INVESTMENT FUNDS (INVESCO INVESTMENT FUNDS)
- **CENTRAL INDEX KEY:** 0000826644

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05426
- **FILM NUMBER:** 251614799

**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 INVESTMENT FUNDS
- **DATE OF NAME CHANGE:** 19980529

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T INVESTMENT FUNDS INC
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** G T GLOBAL INCOME SERIES INC
- **DATE OF NAME CHANGE:** 19890521

## Series and Classes Contracts Data

### Invesco Global Strategic Income Fund (Series ID: S000064708)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000209625 | Class R6     |  |
| C000209626 | Class R5     |  |
| C000209627 | Class A      |  |
| C000209628 | Class R      |  |
| C000209629 | Class C      |  |
| C000209630 | Class Y      |  |

## 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 Investment Funds (Invesco Investment Funds)

- **b. Investment Company Act file number:** 811-05426

- **c. CIK number of Registrant:** 0000826644

- **d. LEI of Registrant:** Y5W0BJB7U2X9V6NIC803

- **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 Global Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000064708

- **c. LEI of Series:** 5493008ONMVUBK1SII17

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3318655837.27

**Total Liabilities:** $1630429494.98

**Net Assets:** $1688226342.29

**Amount of Assets Invested in Other Investment Companies:** $15100545.44

**Delayed Delivery Securities:** $187656.25

**Cash Not Reported:** $84867139.27

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3984.68081757 | **1-Year:** -34037.54194025 | **5-Year:** 67011.01426753 | **10-Year:** -87992.42976711 | **30-Year:** -36821.35235203

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

- **3-Month:** -11334.48095181 | **1-Year:** -10763.42680949 | **5-Year:** -35872.89634152 | **10-Year:** -16479.87836263 | **30-Year:** -1130.97249905

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000209627 | 2.98%                | -0.16%               | 1.09%                |
| Class ID C000209630 | 2.68%                | 0.17%                | 1.11%                |
| Class ID C000209625 | 2.70%                | 0.18%                | 1.12%                |
| Class ID C000209629 | 2.92%                | -0.22%               | 1.02%                |
| Class ID C000209626 | 2.68%                | -0.13%               | 1.12%                |
| Class ID C000209628 | 2.96%                | -0.17%               | 1.06%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $127186.95               | $12072179.13                               |
| Month 2  | $-2230663.16             | $4463302.24                                |
| Month 3  | $3684014.00              | $6461141.57                                |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                                        | Title                                                                                | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PetSmart LLC / PetSmart Finance Corp.                                       | PetSmart LLC / PetSmart Finance Corp.                                                | CUSIP: 71677KAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      625000 | PA      | $624968.75    | 0.04%             | 2032-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-486951.52   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -70600000 | NC      | $-654386.46   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -143980000 | NC      | $-490809.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                            | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class E          | CUSIP: BCC3FHZV4<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     1980000 | PA      | $2614937.29   | 0.15%             | 2053-07-20      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| J. M. Smucker Co. (The)                                                     | J. M. Smucker Co. (The)                                                              | CUSIP: 832696AW8<br>LEI: 5493000WDH6A0LHDJD55 | Long             | DBT              | CORP              | US        |     3489000 | PA      | $3658017.87   | 0.22%             | 2028-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| EnerSys                                                                     | EnerSys                                                                              | CUSIP: 29275YAF9<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |      286000 | PA      | $294313.16    | 0.02%             | 2032-01-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392BJ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       25987 | PA      | $2576.59      | 0.00%             | 2032-03-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 38384XRJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    28942067 | PA      | $738809.93    | 0.04%             | 2054-10-20      | Floating      | 0.72%                 | No            |                  2 | On Loan: No      |
| Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC            | Uniti Group L.P./ Uniti Group Finance 2019 Inc / CSL Capital LLC                     | CUSIP: 91327TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      104000 | PA      | $97494.11     | 0.01%             | 2032-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 38385GPN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    70728659 | PA      | $729594.40    | 0.04%             | 2055-04-20      | Floating      | 0.06%                 | 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              | US        |     1375000 | PA      | $1379354.63   | 0.08%             | 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       |   -52950000 | NC      | $-1109990.85  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18010000 | NC      | $-62296.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Province of Ontario                                                         | Province of Ontario                                                                  | CUSIP: 683234SL3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    13800000 | PA      | $11446753.41  | 0.68%             | 2033-03-08      | Fixed         | 5.85%                 | 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      | $127454.84    | 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       |    48000000 | NC      | $2846668.32   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBM1<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      339000 | PA      | $318076.04    | 0.02%             | 2030-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $40641.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-587232.21   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| VoltaGrid LLC                                                               | VoltaGrid LLC                                                                        | CUSIP: 92874BAA3<br>LEI: 254900R5BEUGIKK1FM03 | Long             | DBT              | CORP              | US        |      500000 | PA      | $508838.45    | 0.03%             | 2030-11-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Kioxia Holdings Corp.                                                       | Kioxia Holdings Corp.                                                                | CUSIP: 49726JAB4<br>LEI: 35380080RTKRARNH4R73 | Long             | DBT              | CORP              | JP        |      600000 | PA      | $626569.97    | 0.04%             | 2033-07-24      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -244800000 | NC      | $-210640.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                         | Newgate Funding PLC, Series 2006-2, Class CB                                         | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |     1009106 | PA      | $1072862.05   | 0.06%             | 2050-12-01      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                            | Brazil Notas do Tesouro Nacional, Class NTNF                                         | CUSIP: AQ6084745<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   123000000 | PA      | $21911903.98  | 1.30%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                         | American Axle & Manufacturing, Inc.                                                  | CUSIP: 02406PBD1<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |      641000 | PA      | $642563.02    | 0.04%             | 2033-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-452076.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail-UK NC PLC                                                          | Eurosail-UK NC PLC, Series 2007-1X, Class D1A                                        | CUSIP: BCC0VXRD6<br>LEI: 213800HEU63KH3XHB844 | Long             | ABS-MBS          | CORP              | GB        |     2800000 | PA      | $2761287.10   | 0.16%             | 2045-03-13      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| YPF S.A.                                                                    | YPF S.A., ADR                                                                        | CUSIP: 984245100<br>LEI: 5493003N7447U18U5U53 | Long             | EC               | CORP              | AR        |       52500 | NS      | $1912575.00   | 0.11%             |  |  |  | No            |                  1 | On Loan: —       |
| Aircastle Ltd.                                                              | Aircastle Ltd.                                                                       | CUSIP: 00928QAW1<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     1220000 | PA      | $1214106.06   | 0.07%             | N/A             | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $187186.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Allison Transmission, Inc.                                                  | Allison Transmission, Inc.                                                           | CUSIP: 019736AG2<br>LEI: MWKQ3I0U1GXP2YDSZW75 | Long             | DBT              | CORP              | US        |     1369000 | PA      | $1265144.74   | 0.07%             | 2031-01-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Starz Capital Holdings 1, Inc.                                              | Starz Capital Holdings 1, Inc.                                                       | CUSIP: 535939AA0<br>LEI: 549300MWJHNLR35C0837 | Long             | DBT              | CORP              | US        |      682000 | PA      | $643637.50    | 0.04%             | 2030-04-15      | Fixed         | 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      | $-75086.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      208516 | PA      | $19998.78     | 0.00%             | 2031-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GFL Environmental Inc.                                                      | GFL Environmental Inc.                                                               | CUSIP: 36168QAL8<br>LEI: 894500E7NLBY9VZRT696 | Long             | DBT              | CORP              | CA        |     1244000 | PA      | $1217847.39   | 0.07%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| WFRBS Commercial Mortgage Trust                                             | WFRBS Commercial Mortgage Trust, Series 2013-C14, Class AS                           | CUSIP: 92890PAG9<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |      206804 | PA      | $203292.37    | 0.01%             | 2046-06-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208T6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         970 | PA      | $983.36       | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2699159.15  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| ACNR Holdings, Inc.                                                         | ACNR Holdings, Inc., Term Loan                                                       | CUSIP: 02522YAD2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       60528 | PA      | $60263.53     | 0.00%             | 2029-12-11      | Floating      | 13.00%                | 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      | $11960.60     | 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       |    10407000 | NC      | $81405.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-301686.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Macy's Retail Holdings, LLC                                                 | Macy's Retail Holdings, LLC                                                          | CUSIP: 55617LAL6<br>LEI: 549300JMONK27O4SQQ19 | Long             | DBT              | CORP              | US        |      638000 | PA      | $600472.84    | 0.04%             | 2034-07-15      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-16383.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3089 | PA      | $3124.56      | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $549075.34    | 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      | $287844.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NextEra Energy Capital Holdings, Inc.                                       | NextEra Energy Capital Holdings, Inc.                                                | CUSIP: 65339KDB3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |     4614000 | PA      | $4994290.49   | 0.30%             | 2054-06-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-HQA1, Class M2                                              | CUSIP: 35564NCA9<br>LEI: 529900PGKDI4ZEXFQ523 | Long             | ABS-MBS          | USGSE             | US        |     3719100 | PA      | $3762930.34   | 0.22%             | 2044-03-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Navient Corp.                                                               | Navient Corp.                                                                        | CUSIP: 63938CAN8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      205000 | PA      | $225409.60    | 0.01%             | 2030-07-25      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    71990000 | NC      | $229864.07    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Sonic Capital LLC                                                           | Sonic Capital LLC, Series 2020-1A, Class A2I                                         | CUSIP: 83546DAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2157458 | PA      | $2127502.03   | 0.13%             | 2050-01-20      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2                    | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM2, Series 2024-NQM2, Class A3 | CUSIP: 61776HAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2928254 | PA      | $2965057.17   | 0.18%             | 2069-05-25      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-22330.21    | -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      | $1667.89      | 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        |       50572 | PA      | $6796.50      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      728000 | PA      | $740305.38    | 0.04%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Endo Finance Holdings, Inc.                                                 | Endo Finance Holdings, Inc.                                                          | CUSIP: 29281RAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      583000 | PA      | $618663.86    | 0.04%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-8640086.40  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $204133.45    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18010000 | NC      | $-46699.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36225A3G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         733 | PA      | $740.32       | 0.00%             | 2028-05-15      | Fixed         | 8.00%                 | 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       |        4005 | NC      | $63050.16     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -71940000 | NC      | $-1277.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     8830000 | NC      | $121211.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31396KV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      304034 | PA      | $16014.18     | 0.00%             | 2036-09-25      | Floating      | 2.93%                 | 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      | $-508030.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      353000 | PA      | $348647.05    | 0.02%             | 2029-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A2                                    | CUSIP: 67448PAB9<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |      998805 | PA      | $1004818.65   | 0.06%             | 2064-07-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond                            | Argentine Republic Government International Bond                                     | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     3628800 | PA      | $2975616.00   | 0.18%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140QPRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    16206331 | PA      | $15946010.65  | 0.94%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31393VKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       31455 | PA      | $30948.64     | 0.00%             | 2032-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VMED 02 UK Financing I PLC                                                  | VMED 02 UK Financing I PLC                                                           | CUSIP: 92858RAE0<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      174000 | PA      | $174644.99    | 0.01%             | 2033-01-15      | Fixed         | 6.75%                 | 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        |     2002435 | PA      | $2493609.82   | 0.15%             | 2061-01-01      | Floating      | 4.35%                 | 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      | $-1020826.32  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-12732.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-355776.00   | -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      | $651659.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Sensata Technologies, Inc.                                                  | Sensata Technologies, Inc.                                                           | CUSIP: 81728UAB0<br>LEI: 5493002MMDDCUNV7NY90 | Long             | DBT              | CORP              | US        |      650000 | PA      | $604723.20    | 0.04%             | 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      | $853.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                  | J.P. Morgan Mortgage Trust, Series 2025-NQM4, Class A2                               | CUSIP: 46660HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2160000 | PA      | $2160801.58   | 0.13%             | 2066-03-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| IM Pastor 4, FTA                                                            | IM Pastor 4, FTA, Series B                                                           | CUSIP: BCC0QWGY0<br>LEI: 95980020140005262912 | Long             | ABS-MBS          | CORP              | ES        |     2300000 | PA      | $1860172.71   | 0.11%             | 2044-03-22      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2025-DNA2, Class A1                                              | CUSIP: 35564NHY2<br>LEI: 529900XX8WXEM4FBIH80 | Long             | ABS-MBS          | USGSE             | US        |     1226875 | PA      | $1231383.03   | 0.07%             | 2045-05-25      | Floating      | 5.28%                 | 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        |      840000 | PA      | $832066.79    | 0.05%             | 2050-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Aberdeen Group PLC                                                          | Aberdeen Group PLC                                                                   | CUSIP: AP5373554<br>LEI: 0TMBS544NMO7GLCE7H90 | Long             | DBT              | CORP              | GB        |     1825000 | PA      | $1801045.67   | 0.11%             | 2028-06-30      | Fixed         | 4.25%                 | 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        |    41944971 | PA      | $1165348.74   | 0.07%             | 2029-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Berry Global, Inc.                                                          | Berry Global, Inc.                                                                   | CUSIP: 08576PAQ4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |     2019000 | PA      | $2111169.39   | 0.13%             | 2034-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| Cougar JV Subsidiary, LLC                                                   | Cougar JV Subsidiary, LLC                                                            | CUSIP: 22208WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      588000 | PA      | $627451.27    | 0.04%             | 2032-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Sociedad Quimica y Minera de Chile S.A.                                     | Sociedad Quimica y Minera de Chile S.A.                                              | CUSIP: 833636AP8<br>LEI: TJ88LXZZW5PWIN93ZC81 | Long             | DBT              | CORP              | CL        |     4885000 | PA      | $4934485.05   | 0.29%             | 2034-09-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WULF Compute LLC                                                            | WULF Compute LLC                                                                     | CUSIP: 982911AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      540000 | PA      | $561359.67    | 0.03%             | 2030-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| M&G PLC                                                                     | M&G PLC                                                                              | CUSIP: AU5739852<br>LEI: 254900TWUJUQ44TQJY84 | Long             | DBT              | CORP              | GB        |     3600000 | PA      | $4739030.88   | 0.28%             | 2051-10-20      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| BP Capital Markets PLC                                                      | BP Capital Markets PLC                                                               | CUSIP: 05565QDV7<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |     1315000 | PA      | $1316363.92   | 0.08%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: —       |
| Frontier Mortgage Funding 2025-1 PLC                                        | Frontier Mortgage Funding 2025-1 PLC, Series 2025-1, Class E                         | CUSIP: BCC3PDXJ1<br>LEI: 213800LC7EZKPEODCU70 | Long             | ABS-MBS          | CORP              | GB        |     2000000 | PA      | $2630599.48   | 0.16%             | 2066-12-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $227442.60    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    53990000 | NC      | $34654.47     | 0.00%             |  |  |  | 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        |      293824 | PA      | $287521.47    | 0.02%             | 2035-05-25      | Variable      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $8203.09      | 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      | $64590.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bath & Body Works, Inc.                                                     | Bath & Body Works, Inc.                                                              | CUSIP: 501797AW4<br>LEI: GR3KVMWVCR54YWQNXU90 | Long             | DBT              | CORP              | US        |      585000 | PA      | $602094.87    | 0.04%             | 2030-10-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| SBNA Auto Receivables Trust 2025-SF1                                        | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class C                       | CUSIP: 78437XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $701920.24    | 0.04%             | 2031-04-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Banco Macro S.A.                                                            | Banco Macro S.A., Class B                                                            | CUSIP: N/A<br>LEI: 579100KKDKKIFEBKK040       | Long             | EC               | CORP              | AR        |      704018 | NS      | $6561883.89   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Saks Global Enterprises LLC                                                 | Saks Global Enterprises LLC                                                          | CUSIP: 79380MAB1<br>LEI: 5493007HQSJGRH78Q684 | Long             | DBT              | CORP              | US        |      339720 | PA      | $152017.91    | 0.01%             | 2029-12-15      | Fixed         | 11.00%                | 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      | $-16608.43    | -0.00%            |  |  |  | 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       |        -119 | NC      | $50531.09     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | U.S. Treasury 10 Year Ultra Future                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |         -17 | NC      | $-23403.39    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| RB Global Holdings Inc.                                                     | RB Global Holdings Inc.                                                              | CUSIP: 76774LAB3<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |      850000 | PA      | $868960.95    | 0.05%             | 2028-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2025-1                            | Newday Funding Master Issuer PLC - Series 2025-1, Series 2025-1X, Class E            | CUSIP: BCC3LFVV5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     3490000 | PA      | $4628674.69   | 0.27%             | 2033-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                           | Barclays Bank PLC                                                                    | CUSIP: 06738C828<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DBT              | CORP              | GB        |     9030000 | PA      | $9577218.00   | 0.57%             | N/A             | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $145389.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -24000000 | NC      | $-894785.83   | -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      | $-78298.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association, IO                                         | CUSIP: 38377VGZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      337423 | PA      | $22866.27     | 0.00%             | 2041-04-16      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3754.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394CXB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       51076 | PA      | $4609.19      | 0.00%             | 2035-03-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3675517.20   | 0.22%             | 2028-08-15      | Fixed         | 6.75%                 | 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      | $556970.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AH3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      904000 | PA      | $930765.63    | 0.06%             | 2029-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208LPA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        2840 | PA      | $2872.13      | 0.00%             | 2028-01-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                                       | Westlake Automobile Receivables Trust, Series 2024-3A, Class D                       | CUSIP: 96043CAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3500000 | PA      | $3540503.05   | 0.21%             | 2030-04-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DQD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       62398 | PA      | $2388.22      | 0.00%             | 2035-05-25      | Floating      | 2.45%                 | 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        |         614 | NS      | $62.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1475789.82   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Telecom Italia Capital S.A.                                                 | Telecom Italia Capital S.A.                                                          | CUSIP: 87927VAF5<br>LEI: 549300777DJZOR5C4L39 | Long             | DBT              | CORP              | LU        |      595000 | PA      | $627831.51    | 0.04%             | 2033-11-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Sunrise FinCo I B.V.                                                        | Sunrise FinCo I B.V.                                                                 | CUSIP: N/A<br>LEI: 213800MNFBDEQRS6HZ22       | Long             | DBT              | CORP              | NL        |      525000 | PA      | $615238.64    | 0.04%             | 2032-05-15      | Fixed         | 4.62%                 | Yes           |                  2 | On Loan: No      |
| Voyager Parent, LLC                                                         | Voyager Parent, LLC                                                                  | CUSIP: 92921EAA0<br>LEI: 2549002DYVI4ACSV4V71 | Long             | DBT              | CORP              | US        |      573000 | PA      | $601138.88    | 0.04%             | 2032-07-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Sinclair Television Group, Inc.                                             | Sinclair Television Group, Inc.                                                      | CUSIP: 829259BH2<br>LEI: 549300CQGEN0CH65UD62 | Long             | DBT              | CORP              | US        |      117000 | PA      | $119372.18    | 0.01%             | 2033-02-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                            | Paramount Global                                                                     | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     3852000 | PA      | $3784404.14   | 0.22%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-DNA6, Class M1                                              | CUSIP: 35564KH36<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |      320664 | PA      | $322508.30    | 0.02%             | 2042-09-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                                   | Hera Financing 2024-1 DAC, Series 2024-1A, Class A                                   | CUSIP: BCC3H4L87<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |     2297567 | PA      | $3025204.19   | 0.18%             | 2034-11-17      | Floating      | 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      | $-93716.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AK6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      375000 | PA      | $387513.38    | 0.02%             | 2032-09-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-189900.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392GNQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      194752 | PA      | $19064.92     | 0.00%             | 2033-01-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| Sempra                                                                      | Sempra                                                                               | CUSIP: 816851BW8<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |     2088000 | PA      | $2146279.48   | 0.13%             | 2056-04-01      | Variable      | 6.38%                 | No            |                  2 | On Loan: —       |
| Switch ABS Issuer LLC                                                       | Switch ABS Issuer LLC, Series 2025-2A, Class A22                                     | CUSIP: 871044AU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2880000 | PA      | $2888548.85   | 0.17%             | 2055-10-25      | Fixed         | 5.37%                 | 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      | $1486.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $389511.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Studio City Finance Ltd.                                                    | Studio City Finance Ltd.                                                             | CUSIP: 86389QAG7<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |      736000 | PA      | $705197.00    | 0.04%             | 2029-01-15      | 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      | $148033.16    | 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      | $-20004.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-DNA1, Class M1                                              | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | USGSE             | US        |     1494099 | PA      | $1516347.50   | 0.09%             | 2043-03-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| Banco BBVA Argentina S.A.                                                   | Banco BBVA Argentina S.A.                                                            | CUSIP: N/A<br>LEI: 579100KKDBKJFDKKD024       | Long             | EC               | CORP              | AR        |      495462 | NS      | $2834870.60   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust                   | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                            | CUSIP: 00774MBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     1149000 | PA      | $1208705.03   | 0.07%             | 2055-03-10      | Variable      | 6.95%                 | No            |                  2 | On Loan: —       |
| Pampa Energia S.A.                                                          | Pampa Energia S.A.                                                                   | CUSIP: N/A<br>LEI: 254900QNIK0CVURGML24       | Long             | EC               | CORP              | AR        |      900000 | NS      | $3223496.15   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Univision Communications Inc.                                               | Univision Communications Inc.                                                        | CUSIP: 914906BA9<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      255000 | PA      | $269441.35    | 0.02%             | 2032-08-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA3, Class M2                                              | CUSIP: 35564NAA1<br>LEI: 529900ZTXRUUVE8G8W08 | Long             | ABS-MBS          | USGSE             | US        |     6900000 | PA      | $7276468.14   | 0.43%             | 2043-11-25      | Floating      | 7.53%                 | 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      | $-9935.69     | -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      | $422320.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    47070000 | NC      | $1323871.22   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1826467.80   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Sealed Air Corp.                                                            | Sealed Air Corp.                                                                     | CUSIP: 81211KBA7<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      312000 | PA      | $310008.19    | 0.02%             | 2029-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Mexican Bonos                                                               | Mexican Bonos, Series M                                                              | CUSIP: YR0988158<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |  1241000000 | PA      | $67673408.96  | 4.01%             | 2030-02-28      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7220000 | NC      | $495616.33    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3610000 | NC      | $362508.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCWD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        3068 | PA      | $416.43       | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Claire's Stores, Inc.                                                       | Claire's Stores, Inc., Term Loan                                                     | CUSIP: 17958DAL1<br>LEI: 549300N5HNYXI6JY7625 | Long             | LON              | CORP              | US        |      185855 | PA      | $13319.29     | 0.00%             | 2026-12-18      | Floating      | 10.53%                | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395U5F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      294890 | PA      | $24425.92     | 0.00%             | 2035-05-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                           | Rocket Cos., Inc.                                                                    | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      599000 | PA      | $618259.65    | 0.04%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 PLC                                                   | Jupiter Mortgage No.1 PLC, Series 1A, Class ER                                       | CUSIP: BCC3D7YQ0<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | GB        |     3070000 | PA      | $4037958.10   | 0.24%             | 2055-07-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA2, Class M1                                              | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |     2100000 | PA      | $2180813.46   | 0.13%             | 2043-06-25      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                                          | Newell Brands Inc.                                                                   | CUSIP: 651229BD7<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      288000 | PA      | $282190.84    | 0.02%             | 2029-09-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Argentum Netherlands BV for Swiss Re Ltd.                                   | Argentum Netherlands BV for Swiss Re Ltd.                                            | CUSIP: LW2260898<br>LEI: 724500RPEZI5VVQQWE89 | Long             | DBT              | CORP              | NL        |      460000 | PA      | $465863.15    | 0.03%             | 2052-08-15      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                            | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6A, Class F          | CUSIP: BCC3FJ063<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     2126000 | PA      | $2797251.70   | 0.17%             | 2053-07-20      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7220000 | NC      | $326518.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      870000 | PA      | $755156.61    | 0.04%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| CMS Energy Corp.                                                            | CMS Energy Corp.                                                                     | CUSIP: 125896BY5<br>LEI: 549300IA9XFBAGNIBW29 | Long             | DBT              | CORP              | US        |     6859000 | PA      | $7141282.15   | 0.42%             | 2055-06-01      | Variable      | 6.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -93600000 | NC      | $-514713.89   | -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      | $-426950.40   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Europe, B.V.                                                     | Telefonica Europe, B.V.                                                              | CUSIP: ZN3747385<br>LEI: 7245007FZS0M65WUGP67 | Long             | DBT              | CORP              | NL        |     3600000 | PA      | $4549341.35   | 0.27%             | N/A             | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5420000 | NC      | $133412.44    | 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      | $-916031.93   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Grupo Financiero Galicia S.A.                                               | Grupo Financiero Galicia S.A., Class B                                               | CUSIP: N/A<br>LEI: 5299008H3AXIXV5G3C23       | Long             | EC               | CORP              | AR        |     1619433 | NS      | $9909714.48   | 0.59%             |  |  |  | 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      | $-173498.17   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Invesco Treasury Portfolio                                                  | Invesco Treasury Portfolio, Institutional Class                                      | CUSIP: 825252406<br>LEI: 5493004B3TM8ZIDDDC39 | Long             | STIV             | RF                | US        |    32916233 | NS      | $32916233.15  | 1.95%             |  |  |  | No            |                  1 | On Loan: No      |
| Summit Midstream Holdings, LLC                                              | Summit Midstream Holdings, LLC                                                       | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      582000 | PA      | $592552.24    | 0.04%             | 2029-10-31      | Fixed         | 8.62%                 | No            |                  2 | On Loan: —       |
| J.P. Morgan Mortgage Trust                                                  | J.P. Morgan Mortgage Trust, Series 2025-NQM4, Class A3                               | CUSIP: 46660HAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2160000 | PA      | $2163534.41   | 0.13%             | 2066-03-25      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     2707500 | NC      | $143454.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                                | Diversified Healthcare Trust                                                         | CUSIP: 25525PAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      300000 | PA      | $303385.20    | 0.02%             | 2030-10-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393Y5U5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       87219 | PA      | $10010.11     | 0.00%             | 2033-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                        | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAD0<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |      621000 | PA      | $632448.76    | 0.04%             | 2032-11-01      | 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      | $-330820.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    48000000 | NC      | $2359703.04   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 31364JF57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       18454 | PA      | $1781.23      | 0.00%             | 2029-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                                   | Seagate Data Storage Technology Pte. Ltd.                                            | CUSIP: 81180LAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     1069000 | PA      | $1007565.00   | 0.06%             | 2031-01-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Hologic, Inc.                                                               | Hologic, Inc.                                                                        | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |      658000 | PA      | $649998.65    | 0.04%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV3 Trust                                                        | GCAT 2024-INV3 Trust, Series 2024-INV3, Class A17                                    | CUSIP: 36830FAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      362087 | PA      | $370643.99    | 0.02%             | 2054-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3600000 | NC      | $463262.97    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                        | Muthoot Finance Ltd.                                                                 | CUSIP: 62828M2C4<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |     3650000 | PA      | $3738125.09   | 0.22%             | 2028-02-14      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HL4V1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    97468356 | PA      | $2956117.78   | 0.18%             | 2055-05-25      | Floating      | 0.85%                 | No            |                  2 | On Loan: No      |
| GMR Hyderabad International Airport Ltd.                                    | GMR Hyderabad International Airport Ltd.                                             | CUSIP: AP5111855<br>LEI: 335800NSPGIN89SVOU83 | Long             | DBT              | CORP              | IN        |     4650000 | PA      | $4587672.93   | 0.27%             | 2027-10-27      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II, LLC                                            | LCM Investments Holdings II, LLC                                                     | CUSIP: 50190EAC8<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      566000 | PA      | $595999.70    | 0.04%             | 2031-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class M1                                    | CUSIP: 67448PAD5<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |      690000 | PA      | $690393.44    | 0.04%             | 2064-07-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-32670.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7000000 | NC      | $51163.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      128460 | PA      | $13932.86     | 0.00%             | 2032-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Caturus Energy, LLC                                                         | Caturus Energy, LLC                                                                  | CUSIP: 49446BAA2<br>LEI: 254900LM244SIFQ1QY31 | Long             | DBT              | CORP              | US        |      585000 | PA      | $598099.32    | 0.04%             | 2030-02-15      | Fixed         | 8.50%                 | 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      | $312450.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2006-2X, Class E1C                                              | CUSIP: BCC0T5HQ2<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |     5550000 | PA      | $6578290.85   | 0.39%             | 2044-12-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31359SVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       15327 | PA      | $15778.98     | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| British Telecommunications PLC                                              | British Telecommunications PLC                                                       | CUSIP: 11102AAF8<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |    10850000 | PA      | $10738086.59  | 0.64%             | 2081-11-23      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| Iron Mountain Information Management Services, Inc.                         | Iron Mountain Information Management Services, Inc.                                  | CUSIP: 46285MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      627000 | PA      | $606695.73    | 0.04%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-272034.37   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                | UBS Group AG                                                                         | CUSIP: ZG0292620<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     3650000 | PA      | $3982606.25   | 0.24%             | N/A             | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     9000000 | NC      | $1317753.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                  | Cloud Software Group, Inc.                                                           | CUSIP: 18912UAC6<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      547000 | PA      | $575325.85    | 0.03%             | 2032-06-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392F7G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       33243 | PA      | $3202.43      | 0.00%             | 2032-12-18      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                            | CVS Health Corp.                                                                     | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     1090000 | PA      | $1133761.32   | 0.07%             | 2054-12-10      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                             | AES Corp. (The)                                                                      | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     5140000 | PA      | $5271589.14   | 0.31%             | 2055-01-15      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -26480000 | NC      | $-184936.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392HRF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       32363 | PA      | $4193.18      | 0.00%             | 2033-02-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| Alba PLC                                                                    | Alba PLC, Series 2007-1, Class F                                                     | CUSIP: BCC0XU0N7<br>LEI: 2138008XOOHJFP498784 | Long             | ABS-MBS          | CORP              | GB        |     1408189 | PA      | $1714455.15   | 0.10%             | 2039-03-17      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     4180000 | NC      | $592632.04    | 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      | $482386.14    | 0.03%             |  |  |  | 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        |     6795000 | PA      | $6988869.50   | 0.41%             | 2042-03-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| Vista Energy Argentina S.A.U                                                | Vista Energy Argentina S.A.U                                                         | CUSIP: 92841RAA8<br>LEI: 549300FE4UJNCG1DB123 | Long             | DBT              | CORP              | AR        |     1800000 | PA      | $1780830.00   | 0.11%             | 2035-12-10      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -46610000 | NC      | $-1012949.78  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 38381NB64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    35636225 | PA      | $1454784.74   | 0.09%             | 2055-07-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                        | Xerox Holdings Corp.                                                                 | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |       78000 | PA      | $37245.00     | 0.00%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAZ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      276212 | PA      | $35087.97     | 0.00%             | 2033-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A3                                    | CUSIP: 67448PAC7<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |      497560 | PA      | $500232.14    | 0.03%             | 2064-07-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31359KQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |           8 | PA      | $7.74         | 0.00%             | 2026-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392EHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       13715 | PA      | $1295.67      | 0.00%             | 2032-09-25      | Floating      | 3.70%                 | 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        |      392813 | PA      | $325672.40    | 0.02%             | 2035-11-25      | 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      | $21144.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Argentine Republic Government International Bond                            | Argentine Republic Government International Bond                                     | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     5400000 | PA      | $3520800.00   | 0.21%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $481637.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Viatris Inc.                                                                | Viatris Inc.                                                                         | CUSIP: 92556VAE6<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |     2254000 | PA      | $1718047.60   | 0.10%             | 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      | $-82319.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392ERQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       26235 | PA      | $2773.61      | 0.00%             | 2032-07-25      | Floating      | 3.70%                 | 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        |     3710000 | PA      | $3480514.98   | 0.21%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36010000 | NC      | $-757506.36   | -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      | $1053296.33   | 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      | $242560.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393AHE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      118958 | PA      | $19262.39     | 0.00%             | 2033-04-25      | 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       |  -470770000 | NC      | $-511627.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                                               | Enbridge Inc.                                                                        | CUSIP: 29250NBN4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     7381000 | PA      | $7624558.24   | 0.45%             | 2083-01-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: —       |
| Turkiye Is Bankasi A.S.                                                     | Turkiye Is Bankasi A.S.                                                              | CUSIP: 900151AN1<br>LEI: 789000FIRX9MDN0KTM91 | Long             | DBT              | CORP              | TR        |     1800000 | PA      | $1782320.13   | 0.11%             | 2036-04-02      | 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      | $-236486.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Whirlpool Corp.                                                             | Whirlpool Corp.                                                                      | CUSIP: 963320AW6<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |      610000 | PA      | $601741.70    | 0.04%             | 2029-02-26      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -960280000 | NC      | $-1483085.24  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                        | Xerox Holdings Corp.                                                                 | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |       87000 | PA      | $38280.00     | 0.00%             | 2029-11-30      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Diversified Healthcare Trust                                                | Diversified Healthcare Trust                                                         | CUSIP: 25525PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      330000 | PA      | $326575.06    | 0.02%             | 2026-01-15      | 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      | $786515.38    | 0.05%             |  |  |  | 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       |         -33 | NC      | $-133606.93   | -0.01%            |  |  |  | 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      | $382837.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fideicomiso Financiero Invernea Proteina 2                                  | Fideicomiso Financiero Invernea Proteina 2, Serie II                                 | CUSIP: BCC37HGV4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AR        |   311500000 | PA      | $1521901.59   | 0.09%             | 2032-08-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Volkswagen International Finance N.V.                                       | Volkswagen International Finance N.V.                                                | CUSIP: EK1313726<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |     1440000 | PA      | $1667483.23   | 0.10%             | 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      | $-13341.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FASW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       44893 | PA      | $5050.24      | 0.00%             | 2032-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -75300000 | NC      | $-808752.48   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -17250000 | NC      | $-882889.50   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5                    | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM5, Series 2024-NQM5, Class A3 | CUSIP: 61777QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1753819 | PA      | $1766254.03   | 0.10%             | 2069-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Keurig Dr Pepper Inc.                                                       | Keurig Dr Pepper Inc.                                                                | CUSIP: 49271VAZ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     1661000 | PA      | $1661540.76   | 0.10%             | 2028-05-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                 | ONEOK, Inc.                                                                          | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     3698000 | PA      | $3894450.81   | 0.23%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       16612 | PA      | $1549.63      | 0.00%             | 2030-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392X3Q9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       23130 | PA      | $23369.15     | 0.00%             | 2032-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                        | Clear Channel Outdoor Holdings, Inc., Term Loan B                                    | CUSIP: 18452RAF2<br>LEI: 254900XBEE6V1ENYS150 | Long             | LON              | CORP              | US        |      618223 | PA      | $620173.48    | 0.04%             | 2028-08-23      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Jane Street Group / JSG Finance Inc.                                        | Jane Street Group / JSG Finance Inc.                                                 | CUSIP: 47077WAE8<br>LEI: 5493002N1IVX6KHGYO08 | Long             | DBT              | CORP              | US        |      583000 | PA      | $608616.89    | 0.04%             | 2033-05-01      | Fixed         | 6.75%                 | 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      | $-3347.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG, LLC                                         | Venture Global Plaquemines LNG, LLC                                                  | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      654000 | PA      | $693073.88    | 0.04%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | J.P. Morgan Securities PLC                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -57620000 | NC      | $-1136472.68  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31398LPG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       56714 | PA      | $5344.08      | 0.00%             | 2039-12-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M1                 | CUSIP: 20755CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      476954 | PA      | $478710.27    | 0.03%             | 2043-10-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-285224.86   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Treasury Corp. of Victoria                                                  | Treasury Corp. of Victoria                                                           | CUSIP: N/A<br>LEI: 549300ZJM7BQW1P9UV75       | Long             | DBT              | NUSS              | AU        |    16605000 | PA      | $11071839.75  | 0.66%             | 2026-11-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Hawaiian Electric Co., Inc.                                                 | Hawaiian Electric Co., Inc.                                                          | CUSIP: 419866AV0<br>LEI: 549300PQE8D806LWQV52 | Long             | DBT              | CORP              | US        |      950000 | PA      | $961272.70    | 0.06%             | 2033-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -288800000 | NC      | $-897700.14   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36209ASX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         639 | PA      | $643.64       | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -23530000 | NC      | $-892401.55   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $266498.20    | 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      | $97501.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392BKZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       33097 | PA      | $33955.75     | 0.00%             | 2032-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-193575.06   | -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        |      864792 | PA      | $1042250.63   | 0.06%             | 2038-12-15      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| Eurobank S.A.                                                               | Eurobank S.A.                                                                        | CUSIP: ZG2610597<br>LEI: 213800KGF4EFNUQKAT69 | Long             | DBT              | CORP              | GR        |     1825000 | PA      | $2289843.38   | 0.14%             | 2029-11-28      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -284625000 | NC      | $-2834446.60  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                                    | Group 1 Automotive, Inc.                                                             | CUSIP: 398905AQ2<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      589000 | PA      | $601889.68    | 0.04%             | 2030-01-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-DNA1, Class M2                                              | CUSIP: 35564NBA0<br>LEI: 529900N6M839KA246662 | Long             | ABS-MBS          | USGSE             | US        |     3450000 | PA      | $3489955.49   | 0.21%             | 2044-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36209SUB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1383 | PA      | $1385.80      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $40731.49     | 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      | $-91037.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3133KQWZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    14659609 | PA      | $14668760.01  | 0.87%             | 2053-03-01      | 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      | $-57632.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                         | GS Mortgage-Backed Securities Trust, Series 2025-NQM3, Class A2                      | CUSIP: 36274TAB5<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |     1345168 | PA      | $1346205.94   | 0.08%             | 2065-11-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-7546.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Antero Midstream Partners L.P./ Antero Midstream Finance Corp.              | Antero Midstream Partners L.P./ Antero Midstream Finance Corp.                       | CUSIP: 03690AAK2<br>LEI: 529900HFO1BDEIT4QU11 | Long             | DBT              | CORP              | US        |      577000 | PA      | $597860.26    | 0.04%             | 2032-02-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $563.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -40920000 | NC      | $-291297.61   | -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      | $212153.57    | 0.01%             |  |  |  | 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      | $8884940.89   | 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      | $274192.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| William Carter Co. (The)                                                    | William Carter Co. (The)                                                             | CUSIP: 96926JAG2<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |      315000 | PA      | $313875.01    | 0.02%             | 2031-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                  | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBQ5<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      897000 | PA      | $822717.19    | 0.05%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: —       |
| CD Mortgage Trust                                                           | CD Mortgage Trust, Series 2017-CD6, Class XA                                         | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4076503 | PA      | $49148.35     | 0.00%             | 2050-11-13      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $274508.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392GCE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       35837 | PA      | $35814.51     | 0.00%             | 2032-12-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -27680000 | NC      | $-228060.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Orazul Energy Peru S.A.                                                     | Orazul Energy Peru S.A.                                                              | CUSIP: 685948AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     1359000 | PA      | $1382216.75   | 0.08%             | 2032-09-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Egypt Government International Bond                                         | Egypt Government International Bond                                                  | CUSIP: 03846JAH3<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     2415000 | PA      | $2592784.89   | 0.15%             | 2030-02-04      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Calpine Corp.                                                               | Calpine Corp.                                                                        | CUSIP: 131347CN4<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |      892000 | PA      | $892459.47    | 0.05%             | 2028-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TDQN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        8651 | PA      | $486.67       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31397L5D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       31513 | PA      | $1633.67      | 0.00%             | 2038-07-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36110000 | NC      | $-178491.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-197298.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TDBM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        1173 | PA      | $59.27        | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AECOM                                                                       | AECOM                                                                                | CUSIP: 00766TAE0<br>LEI: 0EEB8GF0W0NPCIHZX097 | Long             | DBT              | CORP              | US        |      612000 | PA      | $628530.12    | 0.04%             | 2033-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Global Atlantic (Fin) Co.                                                   | Global Atlantic (Fin) Co.                                                            | CUSIP: 37959GAC1<br>LEI: 98450051B2E65CAA7E94 | Long             | DBT              | CORP              | US        |      661000 | PA      | $643874.38    | 0.04%             | 2051-10-15      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $320792.17    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Directv Financing, LLC                                                      | Directv Financing, LLC                                                               | CUSIP: 254945AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      158000 | PA      | $157261.98    | 0.01%             | 2030-02-01      | Fixed         | 8.88%                 | 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      | $543876.02    | 0.03%             |  |  |  | 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        |     4200000 | PA      | $4192215.05   | 0.25%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        7017 | PA      | $7242.26      | 0.00%             | 2030-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| United Airlines, Inc.                                                       | United Airlines, Inc.                                                                | CUSIP: 90932LAG2<br>LEI: K1OQBWM7XEOO08LDNP29 | Long             | DBT              | CORP              | US        |     3664000 | PA      | $3658723.84   | 0.22%             | 2026-04-15      | Fixed         | 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       |    28020000 | NC      | $112.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EnerSys                                                                     | EnerSys                                                                              | CUSIP: 29275YAC6<br>LEI: 7ZS3DE5PN30BYUJFWP05 | Long             | DBT              | CORP              | US        |      605000 | PA      | $597830.87    | 0.04%             | 2027-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                         | RCKT Mortgage Trust, Series 2025-CES6, Class A1A                                     | CUSIP: 748949AA2<br>LEI: 2549002LEW4WNQBOMB89 | Long             | ABS-MBS          | CORP              | US        |     1095445 | PA      | $1106015.04   | 0.07%             | 2055-06-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -144040000 | NC      | $-1107556.69  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 313921R34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       64713 | PA      | $6196.53      | 0.00%             | 2031-11-18      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5420000 | NC      | $220443.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392JDD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      129253 | PA      | $13999.91     | 0.00%             | 2033-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Rogers Communications Inc.                                                  | Rogers Communications Inc.                                                           | CUSIP: 775109DG3<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     2190000 | PA      | $2292609.12   | 0.14%             | 2055-04-15      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Amneal Pharmaceuticals LLC                                                  | Amneal Pharmaceuticals LLC                                                           | CUSIP: 03168LAA3<br>LEI: 54930037VIXE7LRZ1M66 | Long             | DBT              | CORP              | US        |      680000 | PA      | $713789.88    | 0.04%             | 2032-08-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7200000 | NC      | $231402.34    | 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      | $-220949.14   | -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      | $-665576.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -54150000 | NC      | $-2564489.85  | -0.15%            |  |  |  | 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      | $-483700.42   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208WEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         122 | PA      | $123.16       | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-41803.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIEMEX Energia - Banco Actinver S.A. Institucion de Banca Multiple          | FIEMEX Energia - Banco Actinver S.A. Institucion de Banca Multiple                   | CUSIP: 05974EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |     2461411 | PA      | $2607544.80   | 0.15%             | 2041-01-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Lamb Weston Holdings, Inc.                                                  | Lamb Weston Holdings, Inc.                                                           | CUSIP: 513272AE4<br>LEI: 5493005SMYID1D2OY946 | Long             | DBT              | CORP              | US        |      654000 | PA      | $623951.71    | 0.04%             | 2032-01-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| RHP Hotel Properties L.P./ RHP Finance Corp.                                | RHP Hotel Properties L.P./ RHP Finance Corp.                                         | CUSIP: 749571AL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      592000 | PA      | $611448.38    | 0.04%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140QVK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5674064 | PA      | $5696013.77   | 0.34%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3610000 | NC      | $397800.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEOK, Inc.                                                                 | ONEOK, Inc.                                                                          | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     2947000 | PA      | $2983067.18   | 0.18%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV1 Mortgage Loan Trust                                          | COLT 2024-INV1 Mortgage Loan Trust, Series 2024-INV1, Class A3                       | CUSIP: 12672RAC6<br>LEI: 213800D3JCL6LSBI3544 | Long             | ABS-MBS          | CORP              | US        |      774099 | PA      | $780019.19    | 0.05%             | 2068-12-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| Clarios Global L.P./ Clarios US Finance Co.                                 | Clarios Global L.P./ Clarios US Finance Co.                                          | CUSIP: 18060TAD7<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |      800000 | PA      | $829896.00    | 0.05%             | 2030-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392KGA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       25549 | PA      | $25806.29     | 0.00%             | 2032-03-15      | Floating      | 5.35%                 | 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        |     4100000 | PA      | $4600489.88   | 0.27%             | N/A             | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Murray Energy Corp.                                                         | Murray Energy Corp.                                                                  | CUSIP: N/A<br>LEI: 549300WM5IIFYHZYTT63       | Long             | EC               | CORP              | US        |        1116 | NS      | $97650.00     | 0.01%             |  |  |  | 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        |       19038 | PA      | $18402.50     | 0.00%             | 2033-10-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                             | BRAVO Residential Funding Trust, Series 2023-NQM7, Class A1                          | CUSIP: 10569HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2313616 | PA      | $2346447.70   | 0.14%             | 2063-09-25      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| Newgate Funding PLC                                                         | Newgate Funding PLC, Series 2007-3X, Class CB                                        | CUSIP: BCC11HRV2<br>LEI: 2138006KF4KS6D5P1697 | Long             | ABS-MBS          | CORP              | GB        |      683201 | PA      | $753066.06    | 0.04%             | 2050-12-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23983.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley & Co. International PLC                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   131820000 | NC      | $680137.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -44960000 | NC      | $-2745257.60  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                         | Rate Mortgage Trust, Series 2024-J3, Class A2                                        | CUSIP: 75409UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      932146 | PA      | $938393.51    | 0.06%             | 2054-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-59720.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-DNA3, Class M1                                              | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |     7000000 | PA      | $7272874.00   | 0.43%             | 2042-04-25      | Floating      | 7.08%                 | 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      | $-16051.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 6 PLC                            | Towd Point Mortgage Funding 2024 - Granite 6 PLC, Series 2024-GR6X, Class F          | CUSIP: BCC3FHZW2<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |     1380000 | PA      | $1815713.71   | 0.11%             | 2053-07-20      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| SC Germany S.A. Compartment Consumer Trust                                  | SC Germany S.A. Compartment Consumer Trust, Series 2021-1, Class E                   | CUSIP: BCC32SYK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | LU        |     7047113 | PA      | $8065978.75   | 0.48%             | 2035-11-14      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ION Platform Finance S.a. r.l.                                              | ION Platform Finance S.a. r.l.                                                       | CUSIP: YK3678280<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |      150000 | PA      | $170121.13    | 0.01%             | 2030-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-98573.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-372708.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NESCO Holdings II, Inc.                                                     | NESCO Holdings II, Inc.                                                              | CUSIP: 64083YAA9<br>LEI: 254900FAHT0HW9T6L409 | Long             | DBT              | CORP              | US        |      623000 | PA      | $609554.35    | 0.04%             | 2029-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| Argentina Treasury Bond BONTE                                               | Argentina Treasury Bond BONTE                                                        | CUSIP: N/A<br>LEI: 549300KPBYGYF7HCHO27       | Long             | DBT              | NUSS              | AR        | 10335000000 | PA      | $8292977.98   | 0.49%             | 2027-04-27      | Fixed         | 29.50%                | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                           | Repsol E&P Capital Markets US LLC                                                    | CUSIP: 76026AAB3<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     1392000 | PA      | $1397688.30   | 0.08%             | 2030-09-16      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| African Development Bank                                                    | African Development Bank                                                             | CUSIP: ZP3697759<br>LEI: 549300LNCLMO3ITVCU07 | Long             | DBT              | CORP              | CI        |   222000000 | PA      | $1245592.67   | 0.07%             | 2050-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Banco de Credito e Inversiones S.A.                                         | Banco de Credito e Inversiones S.A.                                                  | CUSIP: 05890MAC7<br>LEI: 549300E9E5Y3PKW24142 | Long             | DBT              | CORP              | CL        |     1725000 | PA      | $1856427.75   | 0.11%             | N/A             | Variable      | 8.75%                 | 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        |     7800000 | PA      | $9049523.38   | 0.54%             | N/A             | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -26270000 | NC      | $-150133.05   | -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      | $-266165.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Acrisure LLC / Acrisure Finance Inc.                                        | Acrisure LLC / Acrisure Finance Inc.                                                 | CUSIP: 00489LAL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      871000 | PA      | $901531.16    | 0.05%             | 2030-11-06      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Weir Group Inc.                                                             | Weir Group Inc.                                                                      | CUSIP: 94877DAA2<br>LEI: 2138009WEPEV2V98AV65 | Long             | DBT              | CORP              | US        |     1568000 | PA      | $1609128.70   | 0.10%             | 2030-05-06      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Sealed Air Corp.                                                            | Sealed Air Corp.                                                                     | CUSIP: 81211KAK6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |      278000 | PA      | $302933.82    | 0.02%             | 2033-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| Solventum Corp.                                                             | Solventum Corp.                                                                      | CUSIP: 83444MAN1<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |     1556000 | PA      | $1579639.23   | 0.09%             | 2027-02-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Dorrego y Libertador                                            | Fideicomiso Dorrego y Libertador                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | AR        |    83227881 | PA      | $54669.78     | 0.00%             | 2043-12-31      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1M1                 | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      867496 | PA      | $870940.74    | 0.05%             | 2043-07-25      | Floating      | 5.88%                 | 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        |     5591066 | PA      | $84805.29     | 0.01%             | 2050-11-15      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395LMA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      223994 | PA      | $14507.62     | 0.00%             | 2035-01-15      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| PHINIA Inc.                                                                 | PHINIA Inc.                                                                          | CUSIP: 71880KAA9<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      256000 | PA      | $264412.93    | 0.02%             | 2029-04-15      | Fixed         | 6.75%                 | 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        |     3710000 | PA      | $3530121.02   | 0.21%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| IHS Holding Ltd.                                                            | IHS Holding Ltd.                                                                     | CUSIP: 44963HAD7<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |     4000000 | PA      | $4177762.36   | 0.25%             | 2031-11-29      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, L.P.                                                      | Medline Borrower, L.P.                                                               | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      816000 | PA      | $793096.02    | 0.05%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                    | Celanese US Holdings LLC                                                             | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      566000 | PA      | $580845.61    | 0.03%             | 2033-11-15      | Fixed         | 7.20%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -53990000 | NC      | $-198883.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                         | Citigroup Commercial Mortgage Trust, Series 2017-C4, Class XA                        | CUSIP: 17326FAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11553220 | PA      | $176295.21    | 0.01%             | 2050-10-12      | Variable      | 0.98%                 | 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      | $-7808.95     | -0.00%            |  |  |  | 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        |      627000 | PA      | $615210.08    | 0.04%             | 2029-10-15      | Fixed         | 4.38%                 | 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        |     2487000 | PA      | $2455646.89   | 0.15%             | N/A             | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Cheniere Energy, Inc.                                                       | Cheniere Energy, Inc.                                                                | CUSIP: 16411RAN9<br>LEI: MIHC87W9WTYSYZWV1J40 | Long             | DBT              | CORP              | US        |     2036000 | PA      | $2106660.15   | 0.12%             | 2034-04-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $73681.90     | 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      | $36562.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                          | Iron Mountain Inc.                                                                   | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |      658000 | PA      | $631645.06    | 0.04%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Auburn 15 PLC                                                               | Auburn 15 PLC, Series F                                                              | CUSIP: BCC3FPT01<br>LEI: 635400AVCSC2I7SWKL40 | Long             | ABS-MBS          | CORP              | GB        |     1666000 | PA      | $2149834.64   | 0.13%             | 2045-07-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Ivory Coast Government International Bond                                   | Ivory Coast Government International Bond                                            | CUSIP: AR6697171<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     2300000 | PA      | $2677632.04   | 0.16%             | 2030-03-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                                    | Comstock Resources, Inc.                                                             | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |      607000 | PA      | $602228.80    | 0.04%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Melco Resorts Finance Ltd.                                                  | Melco Resorts Finance Ltd.                                                           | CUSIP: 58547DAJ8<br>LEI: 5493000FQDBWKDBZEF60 | Long             | DBT              | CORP              | KY        |      600000 | PA      | $604422.00    | 0.04%             | 2033-09-24      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Versant Media Group, Inc.                                                   | Versant Media Group, Inc.                                                            | CUSIP: 925283AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      540000 | PA      | $550774.16    | 0.03%             | 2031-01-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3600000 | NC      | $749797.20    | 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      | $-2885.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    54250000 | NC      | $971065.53    | 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      | $1630950.24   | 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      | $49192.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-11211833.56 | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392HMC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        8123 | PA      | $8209.52      | 0.00%             | 2032-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   281570000 | NC      | $3301891.40   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Sitios Latinoamerica, S.A.B. de C.V.                                        | Sitios Latinoamerica, S.A.B. de C.V.                                                 | CUSIP: 03217KAB4<br>LEI: 984500D2C0CDC0BFDD35 | Long             | DBT              | CORP              | MX        |     4745000 | PA      | $4758523.25   | 0.28%             | 2032-04-04      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAP7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      173000 | PA      | $183716.31    | 0.01%             | 2031-10-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Aethon United BR L.P./ Aethon United Finance Corp.                          | Aethon United BR L.P./ Aethon United Finance Corp.                                   | CUSIP: 00810GAD6<br>LEI: 5493007HPG2M9K9X5V41 | Long             | DBT              | CORP              | US        |      574000 | PA      | $596000.47    | 0.04%             | 2029-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -72000000 | NC      | $-145030.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-495792.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                                                   | Ford Motor Credit Co. LLC                                                            | CUSIP: 345397C84<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     7200000 | PA      | $9573781.58   | 0.57%             | 2026-06-05      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    27680000 | NC      | $580187.75    | 0.03%             |  |  |  | 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        |    17700000 | PA      | $13309316.08  | 0.79%             | 2055-05-15      | Fixed         | 6.00%                 | 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        |     5176350 | PA      | $18317.03     | 0.00%             | 2026-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -25600000 | NC      | $-2988437.63  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 3136AAQJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      275856 | PA      | $30928.28     | 0.00%             | 2042-12-25      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Clarivate Science Holdings Corp.                                            | Clarivate Science Holdings Corp.                                                     | CUSIP: 18064PAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      650000 | PA      | $606936.98    | 0.04%             | 2029-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $1702992.31   | 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      | $1188067.30   | 0.07%             |  |  |  | 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             | DBT              | CORP              | AR        |      218813 | PA      | $214545.68    | 0.01%             | 2026-01-08      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Nissan Motor Acceptance Corp.                                               | Nissan Motor Acceptance Corp.                                                        | CUSIP: 65480CAF2<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      932000 | PA      | $970231.65    | 0.06%             | 2028-09-15      | Fixed         | 7.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-116197.89   | -0.01%            |  |  |  | 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        |     3902148 | PA      | $56665.83     | 0.00%             | 2050-12-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TCZR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         441 | PA      | $444.75       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Cushman & Wakefield U.S. Borrower LLC                                       | Cushman & Wakefield U.S. Borrower LLC, Term Loan                                     | CUSIP: 23340DAU6<br>LEI: 549300870CMN3WI5IF97 | Long             | LON              | CORP              | US        |      546638 | PA      | $548916.98    | 0.03%             | 2030-01-31      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                          | State Street Corp., Series I                                                         | CUSIP: 857477CH4<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     3415000 | PA      | $3563419.32   | 0.21%             | N/A             | Variable      | 6.70%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2872.09     | -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      | $2699159.15   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| AMC Networks Inc.                                                           | AMC Networks Inc.                                                                    | CUSIP: 00164VAK9<br>LEI: 549300VGG9K75226LR46 | Long             | DBT              | CORP              | US        |      119000 | PA      | $125231.44    | 0.01%             | 2032-07-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                           | Lamar Media Corp.                                                                    | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1890000 | PA      | $1874873.57   | 0.11%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $3144428.49   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -96310000 | NC      | $-665428.66   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Discovery Communications, LLC                                               | Discovery Communications, LLC                                                        | CUSIP: 25470DCA5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      667000 | PA      | $645759.39    | 0.04%             | 2029-05-15      | Fixed         | 4.12%                 | 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        |     2796788 | PA      | $961457.03    | 0.06%             | 2036-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 38385ES39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   122084400 | PA      | $1502590.38   | 0.09%             | 2055-04-20      | Floating      | 0.17%                 | No            |                  2 | On Loan: No      |
| Frontier Issuer LLC                                                         | Frontier Issuer LLC, Series 2023-1, Class A2                                         | CUSIP: 35910EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      724500 | PA      | $733803.01    | 0.04%             | 2053-08-20      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-60839.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brundage-Bone Concrete Pumping Holdings, Inc.                               | Brundage-Bone Concrete Pumping Holdings, Inc.                                        | CUSIP: 66981QAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      627000 | PA      | $633264.98    | 0.04%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $104180.64    | 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      | $19645.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Grantor Trust                                                    | Fannie Mae Grantor Trust, IO                                                         | CUSIP: 31358S7C9<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |     1375254 | PA      | $875.62       | 0.00%             | 2040-11-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   103500000 | NC      | $21537409.37  | 1.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-44180.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EnPro Inc.                                                                  | EnPro Inc.                                                                           | CUSIP: 29355XAH0<br>LEI: 549300Y5CFT2LKCFDN54 | Long             | DBT              | CORP              | US        |     1194000 | PA      | $1224406.40   | 0.07%             | 2033-06-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| State Street Corp.                                                          | State Street Corp.                                                                   | CUSIP: 857477CS0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     8733000 | PA      | $9086468.18   | 0.54%             | N/A             | Variable      | 6.45%                 | No            |                  2 | On Loan: —       |
| Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati                     | Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati                              | CUSIP: 63890CAA2<br>LEI: 213800YLNAGERZ4C3M60 | Long             | DBT              | CORP              | UZ        |     1380000 | PA      | $1437903.13   | 0.09%             | 2028-10-17      | Fixed         | 6.70%                 | 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             | DBT              | CORP              | AR        |      180116 | PA      | $155888.54    | 0.01%             | 2027-04-07      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| Gray Media, Inc.                                                            | Gray Media, Inc.                                                                     | CUSIP: 389375AN6<br>LEI: 529900TM5726KDN7UU35 | Long             | DBT              | CORP              | US        |      174000 | PA      | $175063.36    | 0.01%             | 2032-07-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -19250000 | NC      | $-1064710.18  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAHB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       78769 | PA      | $9626.23      | 0.00%             | 2032-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Studio City Finance Ltd.                                                    | Studio City Finance Ltd.                                                             | CUSIP: 86389QAF9<br>LEI: 254900D6R731QAUIG324 | Long             | DBT              | CORP              | VG        |      248000 | PA      | $248154.75    | 0.01%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Navient Corp.                                                               | Navient Corp.                                                                        | CUSIP: 63938CAK4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      460000 | PA      | $457605.84    | 0.03%             | 2027-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer              | Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer                       | CUSIP: 01883LAF0<br>LEI: 5493006Q26653NF8SI73 | Long             | DBT              | CORP              | US        |      897000 | PA      | $929918.11    | 0.06%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-304860.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -95980000 | NC      | $-505950.89   | -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      | $-203683.13   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Software Inc.                                                 | Constellation Software Inc.                                                          | CUSIP: 21037XAC4<br>LEI: 549300B6PYHMCTDWQV29 | Long             | DBT              | CORP              | CA        |     1247000 | PA      | $1274433.79   | 0.08%             | 2029-02-16      | Fixed         | 5.16%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | McDermott International Inc., Wrts. 2027-06-30                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |       85239 | NS      | $2557.17      | 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      | $-37104.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | McDermott International Inc., Wrts. 2027-06-30                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |       76715 | NS      | $2301.45      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $391574.68    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Prairie ECI Acquiror L.P.                                                   | Prairie ECI Acquiror L.P., Term Loan                                                 | CUSIP: 73955HAF1<br>LEI: 254900Q6KU2LVSIISH22 | Long             | LON              | CORP              | US        |      640295 | PA      | $645964.43    | 0.04%             | 2029-08-01      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31396XUE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      586637 | PA      | $47549.78     | 0.00%             | 2037-06-25      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2024-12, Class A3                                   | CUSIP: 034932AC7<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |     1131676 | PA      | $1139958.77   | 0.07%             | 2069-10-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       19129 | PA      | $2022.37      | 0.00%             | 2032-07-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TR6V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        1393 | PA      | $1425.74      | 0.00%             | 2031-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HK5T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    63643525 | PA      | $1983049.51   | 0.12%             | 2055-03-25      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                               | Citigroup Mortgage Loan Trust, Series 2025-2, Class A10                              | CUSIP: 17292BAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1762064 | PA      | $1786924.64   | 0.11%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -46480000 | NC      | $-1007759.60  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Chile Electricity Lux MPC II S.a.r.l.                                       | Chile Electricity Lux MPC II S.a.r.l.                                                | CUSIP: 16882LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     1461370 | PA      | $1505649.49   | 0.09%             | 2035-10-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $230515.20    | 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      | $1278085.62   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Minerva Luxembourg S.A.                                                     | Minerva Luxembourg S.A.                                                              | CUSIP: 603374AH2<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |     1800000 | PA      | $1970655.14   | 0.12%             | 2033-09-13      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    36000000 | NC      | $170984.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAA67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      100284 | PA      | $12925.22     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mars, Inc.                                                                  | Mars, Inc.                                                                           | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     1214000 | PA      | $1240412.26   | 0.07%             | 2030-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $638168.38    | 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      | $790896.03    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc., Term Loan L                                                         | CUSIP: 89364MCD4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     1190233 | PA      | $1192357.66   | 0.07%             | 2032-01-19      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    16255000 | NC      | $282150.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1M2                 | CUSIP: 20754EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1145000 | PA      | $1179630.98   | 0.07%             | 2043-07-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bond                                        | Mexico Government International Bond                                                 | CUSIP: 91087BBL3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      442000 | PA      | $440453.00    | 0.03%             | 2035-09-22      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                         | Lithia Motors, Inc.                                                                  | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |      650000 | PA      | $620237.09    | 0.04%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust 2025-INV6                                                    | PMT Loan Trust 2025-INV6, Series 2025-INV6, Class A8                                 | CUSIP: 69382MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      545059 | PA      | $554785.72    | 0.03%             | 2056-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Windstream Services, LLC                                                    | Windstream Services, LLC                                                             | CUSIP: 97382BAB5<br>LEI: 549300KT9GVEBYCD2N29 | Long             | DBT              | CORP              | US        |      550000 | PA      | $549903.75    | 0.03%             | 2033-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HJXV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    31352816 | PA      | $1697303.51   | 0.10%             | 2055-02-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Walker & Dunlop, Inc.                                                       | Walker & Dunlop, Inc.                                                                | CUSIP: 93148PAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      580000 | PA      | $594058.04    | 0.04%             | 2033-04-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                     | Level 3 Financing, Inc.                                                              | CUSIP: 527298CN1<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      645167 | PA      | $663365.87    | 0.04%             | 2034-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                                 | Sunoco L.P.                                                                          | CUSIP: 86765KAG4<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      248000 | PA      | $248119.29    | 0.01%             | 2034-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-468870.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R04, Class 1M1                 | CUSIP: 20754QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1654572 | PA      | $1691050.08   | 0.10%             | 2043-05-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DPX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       30358 | PA      | $3045.92      | 0.00%             | 2032-03-18      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    36110000 | NC      | $646080.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31395XLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       63694 | PA      | $75728.43     | 0.00%             | 2035-08-15      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Charles Schwab Corp. (The)                                                  | Charles Schwab Corp. (The)                                                           | CUSIP: 808513CJ2<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     3963000 | PA      | $4198003.64   | 0.25%             | 2029-11-17      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -28800000 | NC      | $-728975.23   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TDE69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         576 | PA      | $580.56       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2671667.35  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-HQA2, Class M1                                              | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3679391.10   | 0.22%             | 2042-07-25      | Floating      | 8.18%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                         | Viking Cruises Ltd.                                                                  | CUSIP: 92676XAH0<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |      630000 | PA      | $640830.71    | 0.04%             | 2033-10-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-40147.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $2372398.59   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Dell International LLC / EMC Corp.                                          | Dell International LLC / EMC Corp.                                                   | CUSIP: 24703TAH9<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |     7515000 | PA      | $8046995.64   | 0.48%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3610000 | NC      | $644717.12    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Claire's Holdings LLC                                                       | Claire's Holdings LLC, Pfd.                                                          | CUSIP: 179584917<br>LEI: N/A                  | Long             | EP               | CORP              | US        |         195 | NS      | $98.48        | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         973 | PA      | $981.63       | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $404851.11    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-HQA3, Class M1                                              | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3662138.55   | 0.22%             | 2042-08-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    55220000 | NC      | $1027966.69   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                             | BRAVO Residential Funding Trust, Series 2023-NQM7, Class A2                          | CUSIP: 10569HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3254814 | PA      | $3297453.58   | 0.20%             | 2063-09-25      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAXJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      115115 | PA      | $12636.64     | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCCL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       86510 | PA      | $10882.64     | 0.00%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wayfair LLC                                                                 | Wayfair LLC                                                                          | CUSIP: 94419NAA5<br>LEI: 549300CTUWTZGOXMYI40 | Long             | DBT              | CORP              | US        |       60000 | PA      | $62194.20     | 0.00%             | 2029-10-31      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| L3Harris Technologies, Inc.                                                 | L3Harris Technologies, Inc.                                                          | CUSIP: 502431AP4<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     2972000 | PA      | $3016642.59   | 0.18%             | 2027-01-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2728741.83  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -51780000 | NC      | $-253195.40   | -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      | $1437.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bausch Health Cos. Inc.                                                     | Bausch Health Cos. Inc.                                                              | CUSIP: 071734AQ0<br>LEI: B3BS7ACMDUWISF18KY76 | Long             | DBT              | CORP              | CA        |      176000 | PA      | $184645.12    | 0.01%             | 2028-09-30      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140QRR47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    13878869 | PA      | $14104380.14  | 0.84%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5420000 | NC      | $253607.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FANS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       47801 | PA      | $5796.19      | 0.00%             | 2032-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        3336 | PA      | $163.74       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TCV70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |         327 | PA      | $332.52       | 0.00%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3610000 | NC      | $290626.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31397QWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       62038 | PA      | $59627.31     | 0.00%             | 2041-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395U5B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       55814 | PA      | $3506.59      | 0.00%             | 2035-05-15      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCHX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       70472 | PA      | $9520.95      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3132DN2N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    19990538 | PA      | $19710037.15  | 1.17%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-8617.50     | -0.00%            |  |  |  | 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        |     2789459 | PA      | $2595886.60   | 0.15%             | 2039-10-31      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA1, Class M1                                              | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |     6498100 | PA      | $6836455.42   | 0.40%             | 2043-05-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                                               | Freedom Mortgage Holdings LLC                                                        | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |      300000 | PA      | $313076.74    | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| California Buyer Ltd. / Atlantica Sustainable Infrastructure PLC            | California Buyer Ltd. / Atlantica Sustainable Infrastructure PLC                     | CUSIP: 13005HAA8<br>LEI: 549300ITBBGKJ651R879 | Long             | DBT              | CORP              | GB        |      585000 | PA      | $591434.42    | 0.04%             | 2032-02-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Prosus N.V.                                                                 | Prosus N.V.                                                                          | CUSIP: ZP4820434<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     1800000 | PA      | $1729804.03   | 0.10%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36110000 | NC      | $-301879.60   | -0.02%            |  |  |  | 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        |     8279197 | PA      | $73977.93     | 0.00%             | 2051-01-15      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                           | Repsol E&P Capital Markets US LLC                                                    | CUSIP: 76026AAA5<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |     1371000 | PA      | $1374600.56   | 0.08%             | 2028-09-16      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TJC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        2463 | PA      | $2461.61      | 0.00%             | 2029-02-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 3133KPXJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    13917662 | PA      | $13958549.25  | 0.83%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   163430000 | NC      | $184512.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5400000 | NC      | $81183.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $922898.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Iron Mountain Inc.                                                          | Iron Mountain Inc.                                                                   | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     1125000 | PA      | $1159566.75   | 0.07%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 38381PV26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |   214424833 | PA      | $2834117.34   | 0.17%             | 2055-08-20      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $105377.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Aeropuertos Dominicanos Siglo XXI, S.A.                                     | Aeropuertos Dominicanos Siglo XXI, S.A.                                              | CUSIP: 007866AE6<br>LEI: 254900KJA5MXNPYB4W32 | Long             | DBT              | CORP              | DO        |     2055000 | PA      | $2154410.63   | 0.13%             | 2034-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393AHH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       20847 | PA      | $2919.69      | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | 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             | DBT              | CORP              | AR        |      395904 | PA      | $350783.55    | 0.02%             | 2027-01-07      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-171864.00   | -0.01%            |  |  |  | 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      | $386301.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc.                                                       | Cleveland-Cliffs Inc.                                                                | CUSIP: 185899AQ4<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      156000 | PA      | $160324.16    | 0.01%             | 2029-11-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 3136BUWY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    58631388 | PA      | $2017781.65   | 0.12%             | 2054-09-25      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-563683.70   | -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      | $-144488.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Excelerate Energy L.P.                                                      | Excelerate Energy L.P.                                                               | CUSIP: 30069UAA6<br>LEI: LGL4IE90TNTFYJ55BK06 | Long             | DBT              | CORP              | US        |      578000 | PA      | $610686.48    | 0.04%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Provident Funding Associates L.P./ PFG Finance Corp.                        | Provident Funding Associates L.P./ PFG Finance Corp.                                 | CUSIP: 74387UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      848000 | PA      | $894354.22    | 0.05%             | 2029-09-15      | Fixed         | 9.75%                 | 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      | $452797.52    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2006-4X, Class E1C                                              | CUSIP: BCC0UB5E7<br>LEI: 21380013477BR2UW8M54 | Long             | ABS-MBS          | CORP              | GB        |     4135722 | PA      | $4795191.60   | 0.28%             | 2044-12-10      | Floating      | 7.11%                 | 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        |       62920 | PA      | $61107.83     | 0.00%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| Mattel, Inc.                                                                | Mattel, Inc.                                                                         | CUSIP: 577081AU6<br>LEI: 549300VELLG24KHTJ564 | Long             | DBT              | CORP              | US        |     1807000 | PA      | $1801956.34   | 0.11%             | 2040-10-01      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -41365000 | NC      | $-882007.28   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7220000 | NC      | $99534.92     | 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      | $60514.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHINIA Inc.                                                                 | PHINIA Inc.                                                                          | CUSIP: 71880KAB7<br>LEI: 254900HG6MORZE1FFM18 | Long             | DBT              | CORP              | US        |      324000 | PA      | $333606.92    | 0.02%             | 2032-10-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1                    | Morgan Stanley Residential Mortgage Loan Trust 2025-NQM1, Series 2025-NQM1, Class A3 | CUSIP: 617932AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2420173 | PA      | $2444299.76   | 0.14%             | 2069-11-25      | Variable      | 6.14%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                             | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      226000 | PA      | $211451.43    | 0.01%             | N/A             | Variable      | 9.00%                 | No            |                  2 | On Loan: —       |
| ION Platform Finance US, Inc.                                               | ION Platform Finance US, Inc.                                                        | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Long             | DBT              | CORP              | US        |      200000 | PA      | $195323.94    | 0.01%             | 2032-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YC64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       12964 | PA      | $1428.67      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | 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        |        8657 | PA      | $8407.96      | 0.00%             | 2036-02-25      | Floating      | 0.65%                 | No            |                  2 | On Loan: No      |
| Lumen Technologies, Inc.                                                    | Lumen Technologies, Inc.                                                             | CUSIP: 550241AK9<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | DBT              | CORP              | US        |      114000 | PA      | $115282.50    | 0.01%             | 2032-10-15      | Fixed         | 10.00%                | 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      | $-70175.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392EHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       18924 | PA      | $1865.42      | 0.00%             | 2032-04-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Penske Truck Leasing Co. L.P./ PTL Finance Corp.                            | Penske Truck Leasing Co. L.P./ PTL Finance Corp.                                     | CUSIP: 709599BW3<br>LEI: 549300ZX07JYMI8GHQ39 | Long             | DBT              | CORP              | US        |     7383000 | PA      | $7705442.04   | 0.46%             | 2028-08-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36010000 | NC      | $-226801.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TLPZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        4075 | PA      | $152.54       | 0.00%             | 2029-08-15      | Floating      | 4.60%                 | 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        |       18011 | PA      | $14559.32     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3500000 | NC      | $25042.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31339MRQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        3311 | PA      | $3316.76      | 0.00%             | 2029-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Beignet Investor LLC                                                        | Beignet Investor LLC                                                                 | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      297000 | PA      | $317051.79    | 0.02%             | 2049-05-30      | Fixed         | 6.58%                 | 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      | $-334376.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GGAM Finance Ltd.                                                           | GGAM Finance Ltd.                                                                    | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     1162000 | PA      | $1208404.47   | 0.07%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                            | Federal Home Loan Mortgage Corp.                                                     | CUSIP: 31298SZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       11932 | PA      | $12339.28     | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | 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      | $-84120.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3600000 | NC      | $569088.69    | 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      | $-1380949.96  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Lithia Motors, Inc.                                                         | Lithia Motors, Inc.                                                                  | CUSIP: 536797AE3<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |      500000 | PA      | $497710.85    | 0.03%             | 2027-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392CE67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       28745 | PA      | $29043.97     | 0.00%             | 2032-04-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Getty Images, Inc.                                                          | Getty Images, Inc.                                                                   | CUSIP: 374276AR4<br>LEI: 5493005NV20IG4VEKZ40 | Long             | DBT              | CORP              | US        |      162000 | PA      | $163490.37    | 0.01%             | 2030-11-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    13940000 | NC      | $332751.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-89575.79    | -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      | $-93383.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    36000000 | NC      | $602604.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Hiscox Ltd.                                                                 | Hiscox Ltd.                                                                          | CUSIP: YN0550619<br>LEI: 5493007JXOLJ0QCY2D70 | Long             | DBT              | CORP              | BM        |     1800000 | PA      | $1937329.15   | 0.11%             | 2036-06-11      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3610000 | NC      | $520986.36    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners L.P./ Tallgrass Energy Finance Corp.              | Tallgrass Energy Partners L.P./ Tallgrass Energy Finance Corp.                       | CUSIP: 87470LAL5<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |      614000 | PA      | $632493.68    | 0.04%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BPCE S.A.                                                                   | BPCE S.A.                                                                            | CUSIP: ZM4787812<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     8700000 | PA      | $10665571.48  | 0.63%             | 2035-01-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31385XQT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        5738 | PA      | $5917.42      | 0.00%             | 2033-03-01      | 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      | $-6589.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -94130000 | NC      | $-440735.76   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco del Estado de Chile                                                   | Banco del Estado de Chile                                                            | CUSIP: 05957AAC3<br>LEI: 5493004R4EJC0W0XVQ72 | Long             | DBT              | CORP              | CL        |     1003000 | PA      | $1071042.41   | 0.06%             | N/A             | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -143980000 | NC      | $-511670.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395VZ51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      145248 | PA      | $7575.60      | 0.00%             | 2035-07-15      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3600000 | NC      | $351814.62    | 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      | $93961.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HMMH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    59194356 | PA      | $3282279.70   | 0.19%             | 2055-08-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Northriver Midstream Finance L.P.                                           | Northriver Midstream Finance L.P.                                                    | CUSIP: 66679NAB6<br>LEI: 549300SOLNLY3BL6GF18 | Long             | DBT              | CORP              | CA        |      576000 | PA      | $587435.90    | 0.03%             | 2032-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings Inc.                                           | Nationstar Mortgage Holdings Inc.                                                    | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      546000 | PA      | $560473.91    | 0.03%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208PTH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       16768 | PA      | $17169.55     | 0.00%             | 2028-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -17510000 | NC      | $-52565.02    | -0.00%            |  |  |  | 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       |         447 | NC      | $1396097.22   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $199596.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ION Platform Finance S.a. r.l.                                              | ION Platform Finance S.a. r.l.                                                       | CUSIP: YK3683686<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |      125000 | PA      | $141591.87    | 0.01%             | 2032-09-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-324450.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       19513 | PA      | $1551.20      | 0.00%             | 2032-04-25      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18000000 | NC      | $-261702.00   | -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      | $-366445.45   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                              | Element Fleet Management Corp.                                                       | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     3671000 | PA      | $3884014.14   | 0.23%             | 2028-12-04      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| CoreWeave, Inc.                                                             | CoreWeave, Inc.                                                                      | CUSIP: 21873SAB4<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      120000 | PA      | $121332.12    | 0.01%             | 2030-06-01      | Fixed         | 9.25%                 | 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        |       19496 | PA      | $18760.15     | 0.00%             | 2035-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FirstCash, Inc.                                                             | FirstCash, Inc.                                                                      | CUSIP: 33767DAD7<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |      876000 | PA      | $910056.82    | 0.05%             | 2032-03-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5420000 | NC      | $590915.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| B.A.T Capital Corp.                                                         | B.A.T Capital Corp.                                                                  | CUSIP: 05526DBZ7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     2730000 | PA      | $2916442.62   | 0.17%             | 2034-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-140831.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Petrobras Global Finance B.V.                                               | Petrobras Global Finance B.V.                                                        | CUSIP: 71647NBK4<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     1800000 | PA      | $1872630.00   | 0.11%             | 2033-07-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-DNA2, Class M2                                              | CUSIP: 35564NDA8<br>LEI: 529900GRKKKHILZX4347 | Long             | ABS-MBS          | USGSE             | US        |      862500 | PA      | $868479.37    | 0.05%             | 2044-05-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     4500000 | NC      | $932616.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36209MGF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       21523 | PA      | $21827.33     | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                           | Duke Energy Corp.                                                                    | CUSIP: 26441CCG8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |      623000 | PA      | $659217.48    | 0.04%             | 2054-09-01      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-47063.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36209BA24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        1121 | PA      | $1126.93      | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                  | Cloud Software Group, Inc.                                                           | CUSIP: 18912UAA0<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |      350000 | PA      | $362318.25    | 0.02%             | 2029-09-30      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Brazil Notas do Tesouro Nacional                                            | Brazil Notas do Tesouro Nacional, Series F                                           | CUSIP: JV5341526<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   495000000 | PA      | $91649544.20  | 5.43%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Iliad Holding                                                               | Iliad Holding                                                                        | CUSIP: 449691AC8<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |      143000 | PA      | $145223.79    | 0.01%             | 2028-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -45010000 | NC      | $-128873.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31359VVE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         692 | PA      | $697.55       | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $557118.11    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Greystar Real Estate Partners, LLC                                          | Greystar Real Estate Partners, LLC                                                   | CUSIP: 39807UAD8<br>LEI: 254900HGC806SXAS4M46 | Long             | DBT              | CORP              | US        |      236000 | PA      | $249748.65    | 0.01%             | 2030-09-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                               | Iliad Holding                                                                        | CUSIP: 449691AF1<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |     1466000 | PA      | $1574844.58   | 0.09%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: —       |
| Invesco Private Prime Fund                                                  | Invesco Private Prime Fund                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |    52330029 | NS      | $52330029.30  | 3.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Ares Capital Corp.                                                          | Ares Capital Corp.                                                                   | CUSIP: 04010LBF9<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     4550000 | PA      | $4659461.58   | 0.28%             | 2029-03-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                  | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBW2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      513000 | PA      | $412354.53    | 0.02%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| Boost Newco Borrower, LLC                                                   | Boost Newco Borrower, LLC                                                            | CUSIP: 36268NAA8<br>LEI: 254900S8RE1OL7TTCU64 | Long             | DBT              | CORP              | US        |      546000 | PA      | $580468.98    | 0.03%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association                                    | Government National Mortgage Association, ARM                                        | CUSIP: 36225CC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         179 | PA      | $178.70       | 0.00%             | 2027-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                         | GS Mortgage-Backed Securities Trust, Series 2025-NQM3, Class A1                      | CUSIP: 36274TAA7<br>LEI: 2549007JKCA9H9HUGZ71 | Long             | ABS-MBS          | CORP              | US        |     5380673 | PA      | $5384879.18   | 0.32%             | 2065-11-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-113471.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YW70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       42411 | PA      | $4569.45      | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | 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        |      144102 | PA      | $158606.03    | 0.01%             | 2028-11-30      | Floating      | 11.14%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $4122.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                    | Venture Global LNG, Inc.                                                             | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      978000 | PA      | $1045263.91   | 0.06%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: —       |
| Virgin Media Secured Finance PLC                                            | Virgin Media Secured Finance PLC                                                     | CUSIP: 92769XAP0<br>LEI: 213800X3RLP4NOTPY579 | Long             | DBT              | CORP              | GB        |     1344000 | PA      | $1320541.29   | 0.08%             | 2029-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Entergy Corp.                                                               | Entergy Corp.                                                                        | CUSIP: 29364GAQ6<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | DBT              | CORP              | US        |     6143000 | PA      | $6474801.86   | 0.38%             | 2054-12-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7060000 | NC      | $1236516.64   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| General Motors Co.                                                          | General Motors Co.                                                                   | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |     8383000 | PA      | $8740586.09   | 0.52%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: —       |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31395MTC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       12863 | PA      | $803.39       | 0.00%             | 2035-02-15      | 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      | $-138338.89   | -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      | $195929.16    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1340.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                                 | DaVita Inc.                                                                          | CUSIP: 23918KAW8<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      285000 | PA      | $295547.85    | 0.02%             | 2032-09-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-200512.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                         | Petroleos Mexicanos                                                                  | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     6400000 | PA      | $6910508.80   | 0.41%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392EXR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       20080 | PA      | $20076.37     | 0.00%             | 2032-10-18      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2025-6, Class A3                                    | CUSIP: 034937AC6<br>LEI: 254900GRN1I3WMM1H095 | Long             | ABS-MBS          | CORP              | US        |     2655950 | PA      | $2679743.50   | 0.16%             | 2070-04-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                                 | Sunoco L.P.                                                                          | CUSIP: 86765KAD1<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      474000 | PA      | $484596.74    | 0.03%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DaVita Inc.                                                                 | DaVita Inc.                                                                          | CUSIP: 23918KAY4<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |      305000 | PA      | $316499.11    | 0.02%             | 2033-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Republic of South Africa Government Bond                                    | Republic of South Africa Government Bond, Series 2032                                | CUSIP: EJ7500097<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   427800000 | PA      | $24604116.24  | 1.46%             | 2032-03-31      | Fixed         | 8.25%                 | 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      | $-411152.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                                                          | Vodafone Group PLC                                                                   | CUSIP: 92857WBW9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |     1348000 | PA      | $1271819.40   | 0.08%             | 2081-06-04      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -49030000 | NC      | $-786931.50   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31393FG91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       19439 | PA      | $1153.99      | 0.00%             | 2029-06-15      | Floating      | 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      | $-492924.44   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 3140XKNH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    14284124 | PA      | $14530859.62  | 0.86%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      136439 | PA      | $15575.22     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $578966.17    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Telecommunications Co. Telekom Srbija Akcionarsko drustvo, Belgrade         | Telecommunications Co. Telekom Srbija Akcionarsko drustvo, Belgrade                  | CUSIP: 87945BAA8<br>LEI: 254900OVY0XI1DFYC092 | Long             | DBT              | CORP              | RS        |     1877000 | PA      | $1889332.06   | 0.11%             | 2029-10-28      | 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      | $57536.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc.                   | Directv Financing LLC / Directv Financing Co-Obligor Inc.                            | CUSIP: 25461LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      125000 | PA      | $125084.00    | 0.01%             | 2027-08-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Mexican Udibonos                                                            | Mexican Udibonos, Series S                                                           | CUSIP: YQ3788144<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   360004344 | PA      | $19314707.32  | 1.14%             | 2029-08-30      | 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      | $43186.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Auburn 15 PLC                                                               | Auburn 15 PLC, Series E                                                              | CUSIP: BCC3FPSY8<br>LEI: 635400AVCSC2I7SWKL40 | Long             | ABS-MBS          | CORP              | GB        |     1401000 | PA      | $1806409.12   | 0.11%             | 2045-07-20      | Floating      | 5.98%                 | 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        |     4190000 | PA      | $4168649.86   | 0.25%             | 2048-04-25      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392AZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        1300 | PA      | $131.76       | 0.00%             | 2031-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                           | Lamar Media Corp.                                                                    | CUSIP: 513075CA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      595000 | PA      | $589799.28    | 0.03%             | 2033-11-01      | 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      | $1534883.51   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Seagate Data Storage Technology Pte. Ltd.                                   | Seagate Data Storage Technology Pte. Ltd.                                            | CUSIP: 81180LAR6<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |     1512800 | PA      | $1726200.11   | 0.10%             | 2032-12-01      | Fixed         | 9.62%                 | 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      | $11660.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCHZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       38507 | PA      | $5210.11      | 0.00%             | 2034-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Vail Resorts, Inc.                                                          | Vail Resorts, Inc.                                                                   | CUSIP: 91879QAQ2<br>LEI: 529900PSZHRNU9HKH870 | Long             | DBT              | CORP              | US        |      625000 | PA      | $634246.88    | 0.04%             | 2030-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31403NNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        9079 | PA      | $9489.40      | 0.00%             | 2033-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208DUE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         160 | PA      | $162.43       | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YB40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        5616 | PA      | $177.48       | 0.00%             | 2027-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| 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        |      216401 | PA      | $215708.21    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Frontier Mortgage Funding 2025-1 PLC                                        | Frontier Mortgage Funding 2025-1 PLC, Series 2025-1, Class F                         | CUSIP: BCC3PDXL6<br>LEI: 213800LC7EZKPEODCU70 | Long             | ABS-MBS          | CORP              | GB        |     1000000 | PA      | $1315322.07   | 0.08%             | 2066-12-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                      | Sequoia Mortgage Trust, Series 2025-8, Class A4                                      | CUSIP: 81749WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4198445 | PA      | $4223491.82   | 0.25%             | 2055-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BU0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      720000 | PA      | $740473.20    | 0.04%             | 2029-03-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Tidewater Inc.                                                              | Tidewater Inc.                                                                       | CUSIP: 88642RAE9<br>LEI: 2549000JA5GRUPLMUH98 | Long             | DBT              | CORP              | US        |      584000 | PA      | $623801.35    | 0.04%             | 2030-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-1213655.30  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31394KL51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      126610 | PA      | $8732.83      | 0.00%             | 2033-10-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     1800000 | NC      | $246002.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                                                  | WarnerMedia Holdings, Inc.                                                           | CUSIP: 55903VBU6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      194000 | PA      | $147925.00    | 0.01%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $445103.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Muthoot Finance Ltd.                                                        | Muthoot Finance Ltd.                                                                 | CUSIP: 62828L2D4<br>LEI: 335800HAMJMBFL4RRF02 | Long             | DBT              | CORP              | IN        |     7200000 | PA      | $7310275.85   | 0.43%             | 2029-04-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392MW99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       27353 | PA      | $27636.29     | 0.00%             | 2032-02-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2023-HQA2, Class M1                                              | CUSIP: 35564K2F5<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |      775527 | PA      | $777394.61    | 0.05%             | 2043-06-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208FZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3823 | PA      | $3856.55      | 0.00%             | 2028-07-15      | Fixed         | 7.00%                 | 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        |      500000 | PA      | $486257.70    | 0.03%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCP6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      681000 | PA      | $572597.44    | 0.03%             | 2034-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| Reinsurance Group of America, Inc.                                          | Reinsurance Group of America, Inc.                                                   | CUSIP: 759351AT6<br>LEI: LORM1GNEU1DKEW527V90 | Long             | DBT              | CORP              | US        |      723000 | PA      | $755419.32    | 0.04%             | 2055-09-15      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| Freeport-McMoRan Inc.                                                       | Freeport-McMoRan Inc.                                                                | CUSIP: 35671DCH6<br>LEI: 549300IRDTHJQ1PVET45 | Long             | DBT              | CORP              | US        |     6660000 | PA      | $6678950.90   | 0.40%             | 2030-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                                     | MGM China Holdings Ltd.                                                              | CUSIP: 55300RAG6<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     2960000 | PA      | $2951979.88   | 0.17%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Telefonica Europe, B.V.                                                     | Telefonica Europe, B.V.                                                              | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | DBT              | CORP              | NL        |     3600000 | PA      | $4668525.28   | 0.28%             | N/A             | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs Inc.                                                       | Cleveland-Cliffs Inc.                                                                | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |      459000 | PA      | $469897.98    | 0.03%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $178427.63    | 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      | $4710.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Aircraft Leasing Co., Ltd.                                           | Global Aircraft Leasing Co., Ltd.                                                    | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      868000 | PA      | $894725.72    | 0.05%             | 2027-09-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31393JC55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        3246 | PA      | $3243.19      | 0.00%             | 2033-01-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1166203.96   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392EQ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        8835 | PA      | $8926.65      | 0.00%             | 2032-04-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG, LLC                                         | Venture Global Plaquemines LNG, LLC                                                  | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |      238000 | PA      | $249444.94    | 0.01%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5400000 | NC      | $118924.14    | 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      | $-72091.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 3136BUPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |    40557336 | PA      | $2244357.79   | 0.13%             | 2055-01-25      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-141346.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      817000 | PA      | $817776.15    | 0.05%             | 2027-02-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-9506.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Enterprise Stone & Lime Co, Inc.                                        | New Enterprise Stone & Lime Co, Inc.                                                 | CUSIP: 644274AH5<br>LEI: 549300O5DQ5Y61B8VF38 | Long             | DBT              | CORP              | US        |      599000 | PA      | $596763.99    | 0.04%             | 2028-07-15      | 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      | $753.76       | 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      | $-86434.18    | -0.01%            |  |  |  | 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        |     1231671 | PA      | $1231249.96   | 0.07%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                         | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class M1                       | CUSIP: 36272NAB0<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |      710000 | PA      | $712217.90    | 0.04%             | 2055-10-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $79293.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    51200000 | NC      | $1188124.38   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC | Ardagh Metal Packaging Finance USA LLC / Ardagh Metal Packaging Finance PLC          | CUSIP: 03969YAC2<br>LEI: 635400YUJMWFYRBL5293 | Long             | DBT              | CORP              | US        |      575000 | PA      | $576844.60    | 0.03%             | 2027-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -69300000 | NC      | $-1771831.45  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| Directv Financing LLC / Directv Financing Co-Obligor Inc.                   | Directv Financing LLC / Directv Financing Co-Obligor Inc.                            | CUSIP: 25461LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       81000 | PA      | $80766.58     | 0.00%             | 2031-02-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                           | Genesis Energy L.P./ Genesis Energy Finance Corp.                                    | CUSIP: 37185LAR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      427000 | PA      | $441453.95    | 0.03%             | 2033-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -36000000 | NC      | $-80748.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                       | Dominican Republic International Bond                                                | CUSIP: ZP6620006<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |      720000 | PA      | $705420.00    | 0.04%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-68825.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                         | RCKT Mortgage Trust, Series 2025-CES5, Class A1A                                     | CUSIP: 74942CAA7<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-MBS          | CORP              | US        |      744834 | PA      | $753992.42    | 0.04%             | 2055-05-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -144470000 | NC      | $-1034727.24  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                         | Petroleos Mexicanos                                                                  | CUSIP: 706451BG5<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      310000 | PA      | $297736.56    | 0.02%             | 2035-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Windstream Services, LLC, Wrts.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |         399 | NS      | $8229.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Forvia SE                                                                   | Forvia SE                                                                            | CUSIP: 31209DAA3<br>LEI: 969500F0VMZLK2IULV85 | Long             | DBT              | CORP              | FR        |      644000 | PA      | $684886.30    | 0.04%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: —       |
| India Government Bond                                                       | India Government Bond                                                                | CUSIP: YW7593752<br>LEI: 335800IV7VCDQGIOI391 | Long             | DBT              | NUSS              | IN        |   675000000 | PA      | $7475194.67   | 0.44%             | 2054-08-05      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       21820 | PA      | $2118.61      | 0.00%             | 2029-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2006-2X, Class D1A                                              | CUSIP: BCC0T5HN9<br>LEI: 213800PBNX9J895VX562 | Long             | ABS-MBS          | CORP              | GB        |     6300000 | PA      | $6768531.85   | 0.40%             | 2044-12-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                                 | Sunoco L.P.                                                                          | CUSIP: 86765KAF6<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |       86000 | PA      | $86109.22     | 0.01%             | 2031-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1702791.62  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley & Co. LLC                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   137760000 | NC      | $1093983.66   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                                | Vistra Corp.                                                                         | CUSIP: 92840MAB8<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |      296000 | PA      | $304396.63    | 0.02%             | N/A             | Variable      | 8.00%                 | No            |                  2 | On Loan: —       |
| Wynn Macau, Ltd.                                                            | Wynn Macau, Ltd.                                                                     | CUSIP: 98313RAL0<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |     1260000 | PA      | $1270625.58   | 0.08%             | 2034-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Hilton Domestic Operating Co. Inc.                                          | Hilton Domestic Operating Co. Inc.                                                   | CUSIP: 432833AR2<br>LEI: 5493003EG7H0N1E4XV50 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1200161.24   | 0.07%             | 2033-03-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     8830000 | NC      | $75125.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Raiffeisen Bank International AG                                            | Raiffeisen Bank International AG                                                     | CUSIP: AQ8048367<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |     3600000 | PA      | $4164872.76   | 0.25%             | N/A             | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   244800000 | NC      | $650764.08    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       24246 | PA      | $24567.86     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R08, Class 1M2                 | CUSIP: 20755CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      655000 | PA      | $671423.34    | 0.04%             | 2043-10-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| Select Medical Corp.                                                        | Select Medical Corp.                                                                 | CUSIP: 816196AV1<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      580000 | PA      | $588945.34    | 0.03%             | 2032-12-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3133TTX30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       15379 | PA      | $16003.06     | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Carvana Co.                                                                 | Carvana Co.                                                                          | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |      574590 | PA      | $640055.34    | 0.04%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| International Finance Corp.                                                 | International Finance Corp.                                                          | CUSIP: AM4724424<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | CORP              | US        |    10300000 | PA      | $95742.72     | 0.01%             | 2029-02-15      | 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      | $-116247.97   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -71940000 | NC      | $-190819.63   | -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      | $-59902.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MGM China Holdings Ltd.                                                     | MGM China Holdings Ltd.                                                              | CUSIP: 55300RAB7<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     4250000 | PA      | $4260884.25   | 0.25%             | 2026-05-15      | 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      | $745.73       | 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      | $-159153.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| M&G PLC                                                                     | M&G PLC                                                                              | CUSIP: AU5739902<br>LEI: 254900TWUJUQ44TQJY84 | Long             | DBT              | CORP              | GB        |      925000 | PA      | $965188.48    | 0.06%             | 2048-10-20      | Variable      | 6.50%                 | 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       |        2235 | NC      | $310564.43    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| HUB International Ltd.                                                      | HUB International Ltd.                                                               | CUSIP: 44332PAH4<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |      853000 | PA      | $891165.78    | 0.05%             | 2030-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership L.P./ MPT Finance Corp.                           | MPT Operating Partnership L.P./ MPT Finance Corp.                                    | CUSIP: 55342UAQ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      113000 | PA      | $118498.35    | 0.01%             | 2032-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    14130000 | NC      | $253470.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -86400000 | NC      | $-251879.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TransCanada Trust                                                           | TransCanada Trust, Series 16-A                                                       | CUSIP: 89356BAB4<br>LEI: 549300Y0MFCAXLBWUV51 | Long             | DBT              | CORP              | CA        |     3609000 | PA      | $3614117.56   | 0.21%             | 2076-08-15      | Variable      | 5.88%                 | 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        |     1655000 | PA      | $1597605.10   | 0.09%             | 2047-11-15      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Global Partners L.P./ GLP Finance Corp.                                     | Global Partners L.P./ GLP Finance Corp.                                              | CUSIP: 37954FAL8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      615000 | PA      | $624376.29    | 0.04%             | 2033-07-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $361775.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Sempra                                                                      | Sempra                                                                               | CUSIP: 816851BM0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    10842000 | PA      | $10601412.77  | 0.63%             | 2052-04-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Beazley Insurance DAC                                                       | Beazley Insurance DAC                                                                | CUSIP: ZR4409044<br>LEI: 549300WWULDAFCPEU084 | Long             | DBT              | CORP              | IE        |     2880000 | PA      | $2930632.59   | 0.17%             | 2029-09-10      | 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      | $-148322.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                          | Southern Co. (The), Series 21-A                                                      | CUSIP: 842587DJ3<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     5367000 | PA      | $5313373.47   | 0.31%             | 2051-09-15      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                                              | Element Fleet Management Corp.                                                       | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |     7037000 | PA      | $7168180.52   | 0.42%             | 2027-03-13      | Fixed         | 5.64%                 | No            |                  2 | On Loan: —       |
| Taylor Morrison Communities, Inc.                                           | Taylor Morrison Communities, Inc.                                                    | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |      633000 | PA      | $632715.66    | 0.04%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-82186.43    | -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      | $-185750.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-2383801.82  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                                   | Hera Financing 2024-1 DAC, Series 2024-1A, Class B                                   | CUSIP: BCC3H4L95<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |     3216594 | PA      | $4234161.84   | 0.25%             | 2034-11-17      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                   | OBX Trust, Series 2025-HE2, Class A1                                                 | CUSIP: 67121YAA6<br>LEI: 2549004JS8G77DOXE933 | Long             | ABS-MBS          | CORP              | US        |     4441331 | PA      | $4461567.12   | 0.26%             | 2055-08-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Energy Transfer L.P.                                                        | Energy Transfer L.P.                                                                 | CUSIP: 29273VBC3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    10852000 | PA      | $11225525.84  | 0.66%             | 2054-10-01      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Mcdermott International, Ltd.                                               | Mcdermott International, Ltd.                                                        | CUSIP: N/A<br>LEI: 54930004RAXI4B3L4752       | Long             | EC               | CORP              | BM        |         750 | NS      | $14619.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Hilton Grand Vacations Trust                                                | Hilton Grand Vacations Trust, Series 2025-2A, Class A                                | CUSIP: 43285JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1248417 | PA      | $1253515.54   | 0.07%             | 2044-05-25      | Fixed         | 4.54%                 | 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        |     3064000 | PA      | $2684403.80   | 0.16%             | 2031-06-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392EG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        5243 | PA      | $49.92        | 0.00%             | 2026-06-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2024-8, Class A3                                    | CUSIP: 03465QAC8<br>LEI: 254900BM1HTLL3SKQ481 | Long             | ABS-MBS          | CORP              | US        |     2216838 | PA      | $2223964.47   | 0.13%             | 2069-05-27      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati                     | Navoiy Kon-Metallurgiya Kombinati Aksiyadorlik Jamiyati                              | CUSIP: 63890CAC8<br>LEI: 213800YLNAGERZ4C3M60 | Long             | DBT              | CORP              | UZ        |     2388000 | PA      | $2520720.48   | 0.15%             | 2030-05-14      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 31364JZP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       15168 | PA      | $1072.93      | 0.00%             | 2029-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -839890000 | NC      | $-2637506.57  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-327977.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137AEH57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       38309 | PA      | $36885.12     | 0.00%             | 2038-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $168554.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II, LLC                                            | LCM Investments Holdings II, LLC                                                     | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |      311000 | PA      | $303027.79    | 0.02%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NCL Corp. Ltd.                                                              | NCL Corp. Ltd.                                                                       | CUSIP: 62886HBY6<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      260000 | PA      | $260039.42    | 0.02%             | 2031-01-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31397TEH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |      131924 | PA      | $10928.33     | 0.00%             | 2038-05-15      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-1241722.47  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                              | Opal Bidco SAS                                                                       | CUSIP: 68348BAA1<br>LEI: 969500R96XT7XY2UJ564 | Long             | DBT              | CORP              | FR        |      585000 | PA      | $603017.18    | 0.04%             | 2032-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                                                 | Freddie Mac, Series 2022-HQA3, Class M2                                              | CUSIP: 35564KE70<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |     3745000 | PA      | $4013989.49   | 0.24%             | 2042-08-25      | Floating      | 9.53%                 | No            |                  2 | On Loan: No      |
| Sabine Oil & Gas Holdings, Inc.                                             | Sabine Oil & Gas Holdings, Inc.                                                      | CUSIP: 78532M104<br>LEI: 2MNR4Q42DBL85U7RD221 | Long             | EC               | CORP              | US        |        2510 | NS      | $175.70       | 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      | $-1143345.22  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Univision Communications Inc.                                               | Univision Communications Inc.                                                        | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |      330000 | PA      | $339954.12    | 0.02%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392RNB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       27975 | PA      | $28263.93     | 0.00%             | 2032-02-15      | Floating      | 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      | $777472.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GC Treasury Center Co., Ltd.                                                | GC Treasury Center Co., Ltd.                                                         | CUSIP: 36830AAB3<br>LEI: 549300LUFQBC2EQNAR40 | Long             | DBT              | CORP              | TH        |     1461000 | PA      | $1480136.08   | 0.09%             | N/A             | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -307290000 | NC      | $-2428826.31  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $514905.51    | 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      | $7738.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                         | GS Mortgage-Backed Securities Trust, Series 2025-NQM4, Class A2                      | CUSIP: 36272UAB4<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-MBS          | CORP              | US        |     2092689 | PA      | $2091511.91   | 0.12%             | 2065-10-25      | Variable      | 5.31%                 | No            |                  2 | On Loan: No      |
| Sunoco L.P.                                                                 | Sunoco L.P.                                                                          | CUSIP: 86765KAE9<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |      121000 | PA      | $122968.07    | 0.01%             | N/A             | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                              | Ecopetrol S.A.                                                                       | CUSIP: 279158AT6<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     4600000 | PA      | $4965608.00   | 0.29%             | 2029-01-19      | Fixed         | 8.62%                 | 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      | $-208755.55   | -0.01%            |  |  |  | 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        |     1683115 | PA      | $1316.70      | 0.00%             | 2026-02-25      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa Government Bond                                    | Republic of South Africa Government Bond, Series 2040                                | CUSIP: EK7733067<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   315000000 | PA      | $17092209.78  | 1.01%             | 2040-01-31      | Fixed         | 9.00%                 | 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      | $4012.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HC5W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    27600344 | PA      | $1559193.11   | 0.09%             | 2054-04-25      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| Iliad Holding                                                               | Iliad Holding                                                                        | CUSIP: 449691AG9<br>LEI: 9695009BGMXB527HV965 | Long             | DBT              | CORP              | FR        |       82000 | PA      | $84019.00     | 0.00%             | 2032-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Repsol E&P Capital Markets US LLC                                           | Repsol E&P Capital Markets US LLC                                                    | CUSIP: 76026AAC1<br>LEI: 894500D0J12FRZ3Q0M15 | Long             | DBT              | CORP              | US        |      900000 | PA      | $916207.94    | 0.05%             | 2035-09-16      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    23230000 | NC      | $204649.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | UBS AG                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    36010000 | NC      | $336078.98    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | CME Group Inc.                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $319281.51    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Clarios Global L.P./ Clarios US Finance Co.                                 | Clarios Global L.P./ Clarios US Finance Co.                                          | CUSIP: 18060TAE5<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |      118000 | PA      | $120826.34    | 0.01%             | 2032-09-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Barclays Bank PLC                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   960280000 | NC      | $4455257.47   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-3251.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $125959.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                        | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class D                       | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $703360.14    | 0.04%             | 2031-09-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| South Bow Canadian infrastructure Holdings Ltd.                             | South Bow Canadian infrastructure Holdings Ltd.                                      | CUSIP: 836720AG7<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |     3819000 | PA      | $3979355.99   | 0.24%             | 2055-03-01      | Variable      | 7.62%                 | 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      | $-4581.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                                     | Hyundai Capital America                                                              | CUSIP: 44891ADV6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     7133000 | PA      | $7239383.92   | 0.43%             | 2028-06-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Jefferies Finance LLC / JFIN Co-Issuer Corp.                                | Jefferies Finance LLC / JFIN Co-Issuer Corp.                                         | CUSIP: 47232MAF9<br>LEI: 549300SKVB18YSSIDT75 | Long             | DBT              | CORP              | US        |      300000 | PA      | $284270.14    | 0.02%             | 2028-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-451488.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31392FJ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        5953 | PA      | $6016.03      | 0.00%             | 2032-12-25      | Floating      | 5.30%                 | 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        |      640469 | PA      | $639777.44    | 0.04%             | 2062-08-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $668215.51    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Consumo 8 Fondo de Titulizacion                                   | Santander Consumo 8 Fondo de Titulizacion, Series 8E                                 | CUSIP: BCC3M1R32<br>LEI: 529900MNYVA8N0FZJK96 | Long             | ABS-O            | CORP              | ES        |     4500000 | PA      | $5198092.71   | 0.31%             | 2040-01-21      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                            | NRG Energy, Inc.                                                                     | CUSIP: 629377DD1<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      961000 | PA      | $978161.31    | 0.06%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Invesco Government & Agency Portfolio                                       | Invesco Government & Agency Portfolio, Institutional Class                           | CUSIP: 825252885<br>LEI: 5493007T1J7WZ5QI1A47 | Long             | STIV             | RF                | US        |    17724155 | NS      | $17724155.30  | 1.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Energy Transfer L.P.                                                        | Energy Transfer L.P.                                                                 | CUSIP: 29273VAX8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     2105000 | PA      | $2249114.62   | 0.13%             | 2054-05-15      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                      | Credit Suisse Group AG                                                               | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     7385000 | PA      | $2102878.75   | 0.12%             | N/A             | Fixed         | 6.25%                 | 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      | $497519.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    34860000 | NC      | $39112.92     | 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      | $2728741.83   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                  | J.P. Morgan Mortgage Trust, Series 2007-A1, Class 5A1                                | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21234 | PA      | $21161.28     | 0.00%             | 2035-07-25      | Variable      | 5.04%                 | 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      | $932485.50    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                       | Federal National Mortgage Association                                                | CUSIP: 31402QYV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       14182 | PA      | $14591.23     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ESAB Corp.                                                                  | ESAB Corp.                                                                           | CUSIP: 29605JAA4<br>LEI: 549300ZNV0SWBXEIWT04 | Long             | DBT              | CORP              | US        |      867000 | PA      | $888340.34    | 0.05%             | 2029-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| EZCORP, Inc.                                                                | EZCORP, Inc.                                                                         | CUSIP: 302301AJ5<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |     1378000 | PA      | $1458954.74   | 0.09%             | 2032-04-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Genesis Energy L.P./ Genesis Energy Finance Corp.                           | Genesis Energy L.P./ Genesis Energy Finance Corp.                                    | CUSIP: 37185LAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      438000 | PA      | $451471.86    | 0.03%             | 2032-05-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1                    | Morgan Stanley Residential Mortgage Loan Trust 2024-NQM1, Series 2024-NQM1, Class A2 | CUSIP: 61775UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1763649 | PA      | $1781698.25   | 0.11%             | 2068-12-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $100589.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings, LLC/CCO Holdings Capital Corp.                                | CCO Holdings, LLC/CCO Holdings Capital Corp.                                         | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      670000 | PA      | $607126.77    | 0.04%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Prairie Acquiror L.P.                                                       | Prairie Acquiror L.P.                                                                | CUSIP: 73943NAA4<br>LEI: 254900Q6KU2LVSIISH22 | Long             | DBT              | CORP              | US        |      173000 | PA      | $178215.26    | 0.01%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      154871 | PA      | $7401.00      | 0.00%             | 2035-05-25      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $428437.14    | 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      | $47570.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIBERCOP S.p.A.                                                             | FIBERCOP S.p.A.                                                                      | CUSIP: 683879AF7<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |      600000 | PA      | $609294.00    | 0.04%             | 2036-07-18      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| Akbank Turk A.S.                                                            | Akbank Turk A.S.                                                                     | CUSIP: YR8399135<br>LEI: 789000TUMN63Z28TJ497 | Long             | DBT              | CORP              | TR        |     1800000 | PA      | $1836272.29   | 0.11%             | 2035-09-04      | Variable      | 7.88%                 | No            |                  2 | On Loan: No      |
| Medline Borrower, L.P.                                                      | Medline Borrower, L.P.                                                               | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |      617000 | PA      | $615056.20    | 0.04%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Electricite de France                                                       | Electricite de France                                                                | CUSIP: YV7034577<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     3700000 | PA      | $4972420.83   | 0.29%             | N/A             | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| New Gold Inc.                                                               | New Gold Inc.                                                                        | CUSIP: 644535AJ5<br>LEI: 5493005G0GNCHP0H6L96 | Long             | DBT              | CORP              | CA        |     1433000 | PA      | $1499582.91   | 0.09%             | 2032-04-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Vistra Corp.                                                                | Vistra Corp., Series C                                                               | CUSIP: 92840MAD4<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |      915000 | PA      | $1006812.93   | 0.06%             | N/A             | Variable      | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-476887.03   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -72000000 | NC      | $-238466.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     8710000 | NC      | $8.71         | 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      | $-3426325.60  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    18010000 | NC      | $405477.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 3136A1QW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       80215 | PA      | $6961.14      | 0.00%             | 2041-10-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       67399 | PA      | $7231.29      | 0.00%             | 2037-12-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FAYU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      233495 | PA      | $28599.71     | 0.00%             | 2033-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Obx 2024-Nqm18 Trust                                                        | Obx 2024-Nqm18 Trust, Series 2024-NQM18, Class A3                                    | CUSIP: 673913AC3<br>LEI: 254900NK9PNLY9I00149 | Long             | ABS-MBS          | CORP              | US        |     2183083 | PA      | $2198124.20   | 0.13%             | 2064-10-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Newell Brands Inc.                                                          | Newell Brands Inc.                                                                   | CUSIP: 651229BF2<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |      635000 | PA      | $604837.50    | 0.04%             | 2030-05-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 31397T4E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       38326 | PA      | $3462.78      | 0.00%             | 2038-04-15      | Floating      | 1.65%                 | 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      | $-2946.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31339GRA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |        2780 | PA      | $2900.79      | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Bills                                                         | U.S. Treasury Bills                                                                  | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    97254000 | PA      | $95380498.94  | 5.65%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Interest STRIPS                                                  | Fannie Mae Interest STRIPS, IO                                                       | CUSIP: 3136FCQG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       24521 | PA      | $3472.16      | 0.00%             | 2035-02-25      | 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       |   -17325000 | NC      | $-417809.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HMLK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    44759779 | PA      | $1662897.40   | 0.10%             | 2055-08-25      | Floating      | 0.92%                 | No            |                  2 | On Loan: No      |
| Ludgate Funding PLC                                                         | Ludgate Funding PLC, Series 2006-1X, Class A2A                                       | CUSIP: BCC0U5WJ9<br>LEI: 213800LADM2GPWI3P269 | Long             | ABS-MBS          | CORP              | GB        |     4837481 | PA      | $6283738.28   | 0.37%             | 2060-12-01      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7220000 | NC      | $528179.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Hera Financing 2024-1 DAC                                                   | Hera Financing 2024-1 DAC, Series 2024-1A, Class C                                   | CUSIP: BCC3H4LB0<br>LEI: 635400VJTRWYKL9GM761 | Long             | ABS-MBS          | CORP              | IE        |     1838054 | PA      | $2414537.22   | 0.14%             | 2034-11-17      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley & Co. International PLC                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -31540000 | NC      | $-542682.67   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail-UK NC PLC                                                          | Eurosail-UK NC PLC, Series 2007-1X, Class D1C                                        | CUSIP: BCC0VXRF1<br>LEI: 213800HEU63KH3XHB844 | Long             | ABS-MBS          | CORP              | GB        |     1750000 | PA      | $2007547.20   | 0.12%             | 2045-03-13      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CHS/Community Health Systems, Inc.                                          | CHS/Community Health Systems, Inc.                                                   | CUSIP: 12543DBK5<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      354000 | PA      | $316368.50    | 0.02%             | 2031-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                             | TransDigm, Inc.                                                                      | CUSIP: 893647BZ9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |      600000 | PA      | $620537.40    | 0.04%             | 2034-01-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-210312.22   | -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      | $-1403475.90  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                         | Rate Mortgage Trust, Series 2025-J2, Class A5                                        | CUSIP: 75409YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4673358 | PA      | $4690550.40   | 0.28%             | 2055-07-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Invesco Private Government Fund                                             | Invesco Private Government Fund                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | PF                | US        |    20114749 | NS      | $20114749.02  | 1.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     9030000 | NC      | $532162.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase & Co.                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -23546000 | NC      | $-143183.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     5400000 | NC      | $875243.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    96260000 | NC      | $2488236.29   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 3136A5AX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      440966 | PA      | $34019.36     | 0.00%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Compania de Minas Buenaventura S.A.A.                                       | Compania de Minas Buenaventura S.A.A.                                                | CUSIP: 204448AB0<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |     1990000 | PA      | $2074575.00   | 0.12%             | 2032-02-04      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                    | Angel Oak Mortgage Trust, Series 2024-12, Class A2                                   | CUSIP: 034932AB9<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |      697047 | PA      | $702277.75    | 0.04%             | 2069-10-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| RB Global Holdings Inc.                                                     | RB Global Holdings Inc.                                                              | CUSIP: 76774LAC1<br>LEI: 254900LH3N0EGB1LQ203 | Long             | DBT              | CORP              | US        |      318000 | PA      | $332271.52    | 0.02%             | 2031-03-15      | 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      | $-65739.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $10004.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA Auto Receivables Trust 2025-SF1                                        | SBNA Auto Receivables Trust 2025-SF1, Series 2025-SF1, Class B                       | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      333855 | PA      | $334161.90    | 0.02%             | 2031-03-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $765917.71    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -18240000 | NC      | $-1080561.99  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| 1261229 B.C. Ltd.                                                           | 1261229 B.C. Ltd.                                                                    | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      420000 | PA      | $439435.30    | 0.03%             | 2032-04-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Electricite de France                                                       | Electricite de France                                                                | CUSIP: 28504KAA5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     2334000 | PA      | $2705265.79   | 0.16%             | N/A             | Variable      | 9.12%                 | No            |                  2 | On Loan: —       |
| GCAT Trust                                                                  | GCAT Trust, Series 2025-NQM2, Class A1                                               | CUSIP: 36171HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2205196 | PA      | $2224791.87   | 0.13%             | 2070-04-25      | Variable      | 5.60%                 | No            |                  2 | On Loan: No      |
| TrueNoord Capital DAC                                                       | TrueNoord Capital DAC                                                                | CUSIP: 89785GAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      577000 | PA      | $608295.33    | 0.04%             | 2030-03-01      | Fixed         | 8.75%                 | 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      | $-52176.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                         | GS Mortgage-Backed Securities Trust, Series 2025-HE1, Class A1                       | CUSIP: 36272NAA2<br>LEI: 254900RIVK2GCJ08H839 | Long             | ABS-MBS          | CORP              | US        |     1290752 | PA      | $1295288.49   | 0.08%             | 2055-10-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Danaos Corp.                                                                | Danaos Corp.                                                                         | CUSIP: 23585WAC8<br>LEI: 734IM3DNDNT36T7YTD24 | Long             | DBT              | CORP              | MH        |      642000 | PA      | $631871.79    | 0.04%             | 2032-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -121950000 | NC      | $-745359.62   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs, IO                                                               | CUSIP: 3133TEPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |           4 | PA      | $0.02         | 0.00%             | 2028-07-17      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac STRIPS                                                          | Freddie Mac STRIPS, IO                                                               | CUSIP: 31282YCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       36001 | PA      | $3153.20      | 0.00%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7220000 | NC      | $382585.12    | 0.02%             |  |  |  | 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        |       16573 | PA      | $14972.41     | 0.00%             | 2036-11-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                         | GS Mortgage-Backed Securities Trust, Series 2025-NQM4, Class A3                      | CUSIP: 36272UAC2<br>LEI: 25490076N7JFR2Y3CU63 | Long             | ABS-MBS          | CORP              | US        |     2092689 | PA      | $2091509.61   | 0.12%             | 2065-10-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36210APC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        3774 | PA      | $3802.34      | 0.00%             | 2028-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R03, Class 2M1                 | CUSIP: 20753ACJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5901770 | PA      | $5975830.76   | 0.35%             | 2043-04-25      | Floating      | 6.68%                 | 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        |     4570000 | PA      | $5267979.50   | 0.31%             | 2039-06-18      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-345592.49   | -0.02%            |  |  |  | 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        |     5582404 | PA      | $83928.10     | 0.00%             | 2050-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392F6J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       13261 | PA      | $762.42       | 0.00%             | 2032-12-18      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| Transocean International Ltd.                                               | Transocean International Ltd.                                                        | CUSIP: 893814AA1<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | BM        |      639000 | PA      | $658687.07    | 0.04%             | 2032-10-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding 2024 - Granite 7 PLC                            | Towd Point Mortgage Funding 2024 - Granite 7 PLC, Series 2024-GR7X, Class E          | CUSIP: BCC3JPGS0<br>LEI: 635400RLWW2GUXIMK345 | Long             | ABS-MBS          | CORP              | GB        |     1555000 | PA      | $2046179.72   | 0.12%             | 2051-04-20      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $2753391.21   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -21010000 | NC      | $-584944.37   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SGUS LLC                                                                    | SGUS LLC                                                                             | CUSIP: 81880AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      165280 | PA      | $143382.05    | 0.01%             | 2029-12-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     7200000 | NC      | $1568.53      | 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      | $988336.72    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Hilcorp Energy I, L.P.                                                      | Hilcorp Energy I, L.P.                                                               | CUSIP: 431318BC7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |      585000 | PA      | $605725.38    | 0.04%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394DQF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |      293406 | PA      | $25965.09     | 0.00%             | 2035-05-25      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Ecopetrol S.A.                                                              | Ecopetrol S.A.                                                                       | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     1930000 | PA      | $1996449.90   | 0.12%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Mortgage Funding 2008-1 PLC                                                 | Mortgage Funding 2008-1 PLC, Series 2008-1, Class B2                                 | CUSIP: BCC1318Z7<br>LEI: 213800AHT9AB4TA6OJ88 | Long             | ABS-MBS          | CORP              | GB        |    14462095 | PA      | $17577887.81  | 1.04%             | 2046-03-13      | Floating      | 7.31%                 | No            |                  2 | On Loan: No      |
| U.S. Treasury Notes/Bonds                                                   | U.S. Treasury Notes/Bonds                                                            | CUSIP: 912810FE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    75540000 | PA      | $79402572.47  | 4.70%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 38381NB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |    71291267 | PA      | $971350.64    | 0.06%             | 2055-07-20      | Floating      | 0.27%                 | No            |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)                                    | PNC Financial Services Group, Inc. (The)                                             | CUSIP: 693475BT1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |     5593000 | PA      | $5719616.57   | 0.34%             | 2027-10-20      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $399.54       | 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      | $1771817.70   | 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      | $-21969.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Airlines Inc./AAdvantage Loyalty IP Ltd.                           | American Airlines Inc./AAdvantage Loyalty IP Ltd.                                    | CUSIP: 00253XAB7<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     1501000 | PA      | $1515367.57   | 0.09%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| CoreWeave, Inc.                                                             | CoreWeave, Inc.                                                                      | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      200000 | PA      | $200835.00    | 0.01%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Bausch and Lomb, Inc.                                                       | Bausch and Lomb, Inc., Term Loan                                                     | CUSIP: C0787FAJ1<br>LEI: 549300NY6OZM39SO6475 | Long             | LON              | CORP              | CA        |      623438 | PA      | $628113.28    | 0.04%             | 2031-01-30      | Floating      | 8.21%                 | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AA8<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      149000 | PA      | $138703.91    | 0.01%             | 2030-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $52925.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |  -144000000 | NC      | $-126362.88   | -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       |   -23350000 | NC      | $-789449.06   | -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      | $-1288579.29  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurosail PLC                                                                | Eurosail PLC, Series 2007-2X, Class D1A                                              | CUSIP: BCC0WM139<br>LEI: 213800NEJVUXH4MS6Y78 | Long             | ABS-MBS          | CORP              | GB        |     8400000 | PA      | $8560386.64   | 0.51%             | 2045-03-13      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| Electricite de France                                                       | Electricite de France                                                                | CUSIP: ZN7006218<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     5000000 | PA      | $6333515.78   | 0.38%             | N/A             | Variable      | 7.50%                 | 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      | $3694780.82   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31394V7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       90728 | PA      | $108210.26    | 0.01%             | 2036-03-25      | Floating      | 8.81%                 | No            |                  2 | On Loan: No      |
| Group 1 Automotive, Inc.                                                    | Group 1 Automotive, Inc.                                                             | CUSIP: 398905AN9<br>LEI: 549300US8QAZJLWYAF63 | Long             | DBT              | CORP              | US        |      632000 | PA      | $613617.58    | 0.04%             | 2028-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -30240000 | NC      | $-1248243.95  | -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      | $384241.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                      | Tenet Healthcare Corp.                                                               | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      883000 | PA      | $916858.64    | 0.05%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Last Mile Logistics Pan Euro Finance DAC                                    | Last Mile Logistics Pan Euro Finance DAC, Series E                                   | CUSIP: BCC316NC8<br>LEI: 635400NOPX1IKIAX7N90 | Long             | ABS-MBS          | CORP              | IE        |     5386463 | PA      | $6202138.55   | 0.37%             | 2033-08-17      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BB Blue Financing DAC                                                       | BB Blue Financing DAC, Series A1                                                     | CUSIP: BZ1196758<br>LEI: 635400ZEZBP91CFF7965 | Long             | DBT              | CORP              | IE        |     1750000 | PA      | $1719259.01   | 0.10%             | 2037-09-20      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $70131.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brookfield Infrastructure Finance ULC                                       | Brookfield Infrastructure Finance ULC                                                | CUSIP: 11276BAA7<br>LEI: 984500CDDWC47U7DBA74 | Long             | DBT              | CORP              | CA        |     2008000 | PA      | $2053356.70   | 0.12%             | 2055-03-15      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31394CKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |        5114 | PA      | $260.41       | 0.00%             | 2035-03-25      | Floating      | 2.45%                 | 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      | $1363349.17   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Deutsche Bank Aktiengesellschaft                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     8710000 | NC      | $14084.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings Inc.                                           | Nationstar Mortgage Holdings Inc.                                                    | CUSIP: 63861CAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      576000 | PA      | $602694.72    | 0.04%             | 2032-02-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| Energuate Trust 2 0                                                         | Energuate Trust 2 0                                                                  | CUSIP: 29277RAB1<br>LEI: 2549000ZL9MU01FZK194 | Long             | DBT              | CORP              | KY        |     1440000 | PA      | $1446302.88   | 0.09%             | 2035-09-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -46700000 | NC      | $-639603.20   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Jupiter Mortgage No.1 PLC                                                   | Jupiter Mortgage No.1 PLC, Series 1A, Class FR                                       | CUSIP: BCC3D7YR8<br>LEI: 6354009QIELPOGEAFS09 | Long             | ABS-MBS          | CORP              | GB        |     1897000 | PA      | $2495111.15   | 0.15%             | 2055-07-20      | Floating      | 8.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    26400000 | NC      | $483152.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-590024.39   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HKLF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    58269164 | PA      | $2428215.89   | 0.14%             | 2055-03-25      | Floating      | 0.97%                 | 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      | $2111303.32   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-185049.18   | -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      | $-141270.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $23373.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Finance Corp.                                                       | OneMain Finance Corp.                                                                | CUSIP: 682691AJ9<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |      525000 | PA      | $533436.23    | 0.03%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 3137HKW67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |    78618871 | PA      | $4079902.71   | 0.24%             | 2055-04-25      | Floating      | 1.77%                 | 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      | $160642.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association, IO                                         | CUSIP: 38375JSQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-APCP         | USGA              | US        |      228914 | PA      | $12646.17     | 0.00%             | 2037-04-16      | Floating      | 2.40%                 | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                     | Level 3 Financing, Inc.                                                              | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      652000 | PA      | $668353.46    | 0.04%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| AAdvantage Loyality IP Ltd. (American Airlines, Inc.)                       | AAdvantage Loyality IP Ltd. (American Airlines, Inc.), Term Loan B                   | CUSIP: 02376CBT1<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |      363175 | PA      | $364990.88    | 0.02%             | 2032-05-07      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R06, Class 1B1                 | CUSIP: 20754EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1310000 | PA      | $1384179.54   | 0.08%             | 2043-07-25      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| Fideicomiso Dorrego y Libertador                                            | Fideicomiso Dorrego y Libertador                                                     | CUSIP: BCC39CJN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | AR        |     7698968 | PA      | $7314019.60   | 0.43%             | 2043-12-31      | Fixed         | 2.00%                 | No            |                  3 | On Loan: No      |
| Air Lease Corp.                                                             | Air Lease Corp., Series B                                                            | CUSIP: 00912XBJ2<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      912000 | PA      | $903272.98    | 0.05%             | N/A             | Variable      | 4.65%                 | 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      | $567927.57    | 0.03%             |  |  |  | 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        |     1120000 | PA      | $1099875.28   | 0.07%             | 2028-04-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Re-REMIC Trust                                               | Morgan Stanley Re-REMIC Trust, Series 2012-R3, Class 1B                              | CUSIP: 61761KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4770144 | PA      | $4257758.49   | 0.25%             | 2036-11-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| CHC Group LLC                                                               | CHC Group LLC                                                                        | CUSIP: 12550EAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      292000 | PA      | $272870.20    | 0.02%             | 2030-09-01      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |  -933960000 | NC      | $-2205509.18  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                              | PMT Loan Trust, Series 2025-INV1, Class A7                                           | CUSIP: 693967AG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      881475 | PA      | $895741.12    | 0.05%             | 2060-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -72000000 | NC      | $-289974.02   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |    96260000 | NC      | $5608475.31   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -16010000 | NC      | $-367722.74   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |   -72000000 | NC      | $-106483.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Goldman Sachs International                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -50540000 | NC      | $-1180766.02  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31397NP41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       48674 | PA      | $49205.93     | 0.00%             | 2037-06-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | BNPP Securities Corp                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -42840000 | NC      | $-267933.78   | -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      | $-862637.90   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SS&C Technologies, Inc.                                                     | SS&C Technologies, Inc.                                                              | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |      608000 | PA      | $608746.02    | 0.04%             | 2027-09-30      | 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      | $-76843.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PennyMac Financial Services, Inc.                                           | PennyMac Financial Services, Inc.                                                    | CUSIP: 70932MAB3<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |      310000 | PA      | $301230.32    | 0.02%             | 2029-02-15      | Fixed         | 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      | $130175.15    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    36000000 | NC      | $693396.00    | 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      | $-1064665.72  | -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      | $-29738.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2023-R02, Class 1M1                 | CUSIP: 20755AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      811050 | PA      | $828180.30    | 0.05%             | 2043-01-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                 | Freddie Mac, Series 2024-HQA2, Class M2                                              | CUSIP: 35564NEC3<br>LEI: 5299002OYNAPMJKK2A73 | Long             | ABS-MBS          | USGSE             | US        |     3450000 | PA      | $3478459.74   | 0.21%             | 2044-08-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| Cerdia Finanz GmbH                                                          | Cerdia Finanz GmbH                                                                   | CUSIP: 15679GAC6<br>LEI: 391200KURNDJSX9GX570 | Long             | DBT              | CORP              | DE        |      579000 | PA      | $606105.06    | 0.04%             | 2031-10-03      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Forward Foreign Currency Contract                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |           1 | NC      | $-2125219.14  | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | Morgan Stanley Capital Services LLC                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |   -98390000 | NC      | $-1547186.68  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| Greystar Real Estate Partners, LLC                                          | Greystar Real Estate Partners, LLC, Term Loan                                        | CUSIP: 39806LAJ6<br>LEI: 254900HGC806SXAS4M46 | Long             | LON              | CORP              | US        |      350887 | PA      | $352641.29    | 0.02%             | 2030-08-21      | Floating      | 6.48%                 | No            |                  3 | On Loan: No      |
| NCL Corp. Ltd.                                                              | NCL Corp. Ltd.                                                                       | CUSIP: 62886HBZ3<br>LEI: UNZWILHE4KMRP9K2L524 | Long             | DBT              | CORP              | BM        |      372000 | PA      | $376480.37    | 0.02%             | 2033-09-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: —       |
| Vistra Operations Co. LLC                                                   | Vistra Operations Co. LLC                                                            | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      233000 | PA      | $233271.68    | 0.01%             | 2027-07-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | S&P 500 Index Option                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |          60 | NC      | $148500.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                         | Intercontinental Exchange, Inc.                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | N/A       |           1 | NC      | $-321111.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392DAG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       14387 | PA      | $1545.75      | 0.00%             | 2032-04-25      | Floating      | 3.50%                 | 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        |     1850000 | PA      | $1984350.70   | 0.12%             | N/A             | Variable      | 8.38%                 | 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             | DBT              | CORP              | AR        |      272189 | PA      | $253416.69    | 0.02%             | 2026-07-08      | Fixed         | 12.00%                | No            |                  3 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $1025966.69   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Bell Canada                                                                 | Bell Canada                                                                          | CUSIP: 0778FPAP4<br>LEI: 5493000G3EFX9S7TDE29 | Long             | DBT              | CORP              | CA        |     2369000 | PA      | $2475391.79   | 0.15%             | 2055-09-15      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| Brink's Co. (The)                                                           | Brink's Co. (The)                                                                    | CUSIP: 109696AD6<br>LEI: XFP140TFNOQMIVFTVQ13 | Long             | DBT              | CORP              | US        |     1203000 | PA      | $1250324.82   | 0.07%             | 2032-06-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae Grantor Trust                                                    | Fannie Mae Grantor Trust, IO                                                         | CUSIP: 3139216D5<br>LEI: N/A                  | Long             | ABS-APCP         | USGSE             | US        |     8350998 | PA      | $53844.73     | 0.00%             | 2041-12-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| Newday Funding Master Issuer PLC - Series 2024-3                            | Newday Funding Master Issuer PLC - Series 2024-3, Series 2024-3X, Class E            | CUSIP: BCC3HZWF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     2475000 | PA      | $3292771.04   | 0.20%             | 2032-11-15      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac REMICs                                                          | Freddie Mac REMICs                                                                   | CUSIP: 31392MJE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-APCP         | USGSE             | US        |       11110 | PA      | $11543.99     | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RLJ LODGING TRUST, L.P.                                                     | RLJ LODGING TRUST, L.P.                                                              | CUSIP: 74965LAB7<br>LEI: 549300RX5I8Z6I6LDZ74 | Long             | DBT              | CORP              | US        |      651000 | PA      | $615230.28    | 0.04%             | 2029-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2024-R03, Class 2M2                 | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7070000 | PA      | $7124663.12   | 0.42%             | 2044-03-25      | Floating      | 6.13%                 | 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      | $-2090229.67  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-157660.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Carriage Services, Inc.                                                     | Carriage Services, Inc.                                                              | CUSIP: 143905AP2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      959000 | PA      | $907861.33    | 0.05%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |     3610000 | NC      | $404963.33    | 0.02%             |  |  |  | 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        |     3150000 | PA      | $3281237.19   | 0.19%             | 2042-07-25      | Floating      | 7.78%                 | No            |                  2 | On Loan: No      |
| Telecomunicaciones Digitales, S.A.                                          | Telecomunicaciones Digitales, S.A.                                                   | CUSIP: ZQ3057432<br>LEI: 5299008Q5GONPYNF9J32 | Long             | DBT              | CORP              | PA        |     1750000 | PA      | $1673924.35   | 0.10%             | 2030-01-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CenterPoint Energy, Inc.                                                    | CenterPoint Energy, Inc.                                                             | CUSIP: 15189TBP1<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |     7773000 | PA      | $8067962.03   | 0.48%             | 2055-05-15      | Variable      | 6.70%                 | No            |                  2 | On Loan: No      |
| Cousins Properties L.P.                                                     | Cousins Properties L.P.                                                              | CUSIP: 222793AC5<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              | CORP              | US        |     4045000 | PA      | $4135381.68   | 0.24%             | 2030-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FIBERCOP S.p.A.                                                             | FIBERCOP S.p.A.                                                                      | CUSIP: 683879AD2<br>LEI: 8156007022402E114A31 | Long             | DBT              | CORP              | IT        |      625000 | PA      | $591754.75    | 0.04%             | 2034-09-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $493089.94    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31393T4V5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       17933 | PA      | $17887.26     | 0.00%             | 2033-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Southern Co. (The)                                                          | Southern Co. (The), Series B                                                         | CUSIP: 842587DF1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |     8245000 | PA      | $8227360.65   | 0.49%             | 2051-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392ATX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |         953 | PA      | $50.03        | 0.00%             | 2031-12-18      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| YPF S.A.                                                                    | YPF S.A., Class D                                                                    | CUSIP: N/A<br>LEI: 5493003N7447U18U5U53       | Long             | EC               | CORP              | AR        |      244870 | NS      | $9278355.88   | 0.55%             |  |  |  | No            |                  1 | 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        |      736000 | PA      | $655172.26    | 0.04%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Arcos Dorados B.V.                                                          | Arcos Dorados B.V.                                                                   | CUSIP: 03965TAC7<br>LEI: 549300T91OYP6I7P8G39 | Long             | DBT              | CORP              | NL        |     3145000 | PA      | $3338574.75   | 0.20%             | 2032-01-29      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BBVA Bancomer S.A.                                                          | BBVA Bancomer S.A.                                                                   | CUSIP: YR2963183<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |     1750000 | PA      | $1857695.00   | 0.11%             | 2035-02-11      | Variable      | 7.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                    | Government National Mortgage Association                                             | CUSIP: 36208VZJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         404 | PA      | $407.30       | 0.00%             | 2028-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |    -8760000 | NC      | $-58543.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                         | JPMorgan Chase Bank, National Association                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -18000000 | NC      | $-439110.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-NQM12 Trust                                                        | OBX 2024-NQM12 Trust, Series 2024-NQM12, Class A1                                    | CUSIP: 67448PAA1<br>LEI: 254900MY906NOBBPOA44 | Long             | ABS-MBS          | CORP              | US        |      468074 | PA      | $470165.09    | 0.03%             | 2064-07-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31393BGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       73780 | PA      | $11447.40     | 0.00%             | 2033-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | Bank of America, National Association                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |   -52950000 | NC      | $-717154.80   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs                                                                    | CUSIP: 31395D7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       87821 | PA      | $97922.51     | 0.01%             | 2036-06-25      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| Queensland Treasury Corp.                                                   | Queensland Treasury Corp.                                                            | CUSIP: YL0100484<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | NUSS              | AU        |    11300000 | PA      | $7398839.01   | 0.44%             | 2038-08-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | LCH CLEARNET (US) LLC                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | N/A       |           1 | NC      | $-230373.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae REMICs                                                           | Fannie Mae REMICs, IO                                                                | CUSIP: 31392BMY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-APCP         | USGSE             | US        |       15939 | PA      | $1423.38      | 0.00%             | 2032-01-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae Connecticut Avenue Securities                                    | Fannie Mae Connecticut Avenue Securities, Series 2024-R02, Class 1M2                 | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6900000 | PA      | $6957356.25   | 0.41%             | 2044-02-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                         | S&P 500 Index Option                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | N/A       |          60 | NC      | $271800.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bayer US Finance LLC                                                        | Bayer US Finance LLC                                                                 | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |     4573000 | PA      | $4651299.09   | 0.28%             | 2026-11-21      | 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      | $-57139.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                         | RCKT Mortgage Trust, Series 2025-CES5, Class A1B                                     | CUSIP: 74942CAB5<br>LEI: 2549008EA2IHW9G2TZ48 | Long             | ABS-MBS          | CORP              | US        |     1955188 | PA      | $1980799.35   | 0.12%             | 2055-05-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower L.P.                                                         | EMRLD Borrower L.P., Incremental Term Loan B                                         | CUSIP: 26872NAD1<br>LEI: 5493000GJYE7GAQCUC61 | Long             | LON              | CORP              | US        |      898212 | PA      | $896205.00    | 0.05%             | 2031-08-04      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Dominican Republic International Bond                                       | Dominican Republic International Bond                                                | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     1200000 | PA      | $1152660.00   | 0.07%             | 2032-09-23      | 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      | $4883.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-30

**Name of Applicant:** AIM Investment Funds (Invesco Investment Funds)

**Signature:** Adrien Deberghes

**Name of Signer:** Adrien Deberghes

**Title:** Principal Financial Officer and Treasurer