# EDGAR Filing Document

**Accession Number:** 0000832808
**File Stem:** 0001752724-23-047114
**Filing Date:** 2023-2
**Character Count:** 647685
**Document Hash:** f792646c24b362a75ccb6c38e1d0761c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-047114.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-047114

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BERNSTEIN SANFORD C FUND INC
- **CENTRAL INDEX KEY:** 0000832808
- **IRS NUMBER:** 133464161
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05555
- **FILM NUMBER:** 23683887

**BUSINESS ADDRESS:**
- **STREET 1:** ALLIANCEBERNSTEIN LP
- **STREET 2:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10105
- **BUSINESS PHONE:** 2129691000

**MAIL ADDRESS:**
- **STREET 1:** ALLIANCEBERNSTEIN LP
- **STREET 2:** 1345 AVENUE OF THE AMERICAS
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10153

## Series and Classes Contracts Data

### Overlay B Portfolio (Series ID: S000027649)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000083498 | Class 1      | SBOOX           |
| C000083499 | Class 2      | SBOTX           |

## Nport-Ex

**Sanford C. Bernstein Fund, Inc.** 

**Schedule of Investments** 

**Overlay B Portfolio** 

**December 31, 2022 (unaudited)** 

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **GOVERNMENTS - TREASURIES – 30.1%** |  |  |  |
|  **Australia – 0.6%** |  |  |  |
|  Australia Government Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 136<br>4.75%, 04/21/2027<sup>(a)</sup> | AUD | 4320 | $3070688 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 145<br>2.75%, 06/21/2035<sup>(a)</sup> |  | 518 | 303436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 148<br>2.75%, 11/21/2027<sup>(a)</sup> |  | 1590 | 1037745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 150<br>3.00%, 03/21/2047<sup>(a)</sup> |  | 1043 | 563322 |
|  |  |  | 4975191 |
|  **Austria – 0.6%** |  |  |  |
|  Republic of Austria Government Bond<br>0.00%, 02/20/2030<sup>(a)</sup> | EUR | 405 | 348681 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.90%, 02/20/2032<sup>(a)</sup> |  | 5412 | 4761723 |
|  |  |  | 5110404 |
|  **Belgium – 0.3%** |  |  |  |
|  Kingdom of Belgium Government Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 84<br>1.45%, 06/22/2037<sup>(a)</sup> |  | 1242 | 1036184 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 96<br>2.75%, 04/22/2039<sup>(a)</sup> |  | 1442 | 1406610 |
|  |  |  | 2442794 |
|  **Canada – 0.7%** |  |  |  |
|  Canadian Government Bond<br>2.25%, 12/01/2029 | CAD | 808 | 561005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/01/2027 |  | 7188 | 5161133 |
|  |  |  | 5722138 |
|  **China – 0.9%** |  |  |  |
|  China Government Bond<br>Series INBK<br>2.80%, 03/24/2029 | CNY | 13960 | 2008262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.01%, 05/13/2028 |  | 19890 | 2903541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.81%, 09/14/2050 |  | 18950 | 2980908 |
|  |  |  | 7892711 |
|  **Germany – 1.8%** |  |  |  |
|  Bundesrepublik Deutschland Bundesanleihe<br>0.00%, 02/15/2032<sup>(a)</sup> | EUR | 2702 | 2303592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 02/15/2029<sup>(a)</sup> |  | 950 | 889434 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.70%, 08/15/2032<sup>(a)</sup> |  | 7802 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7748992 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 07/04/2042<sup>(a)</sup> |  | 3091 | 3637518 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series<br>3 4.75%, 07/04/2034<sup>(a)</sup> |  | 634 | 823146 |
|  |  |  | 15402682 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Indonesia – 0.1%** |  |  |  |
|  Indonesia Treasury Bond <br>Series FR87 <br>6.50%, 02/15/2031 | IDR | 19486000 | $1218540 |
|  |  |  | 1218540 |
|  **Italy – 0.1%** |  |  |  |
|  Italy Buoni Poliennali Del Tesoro <br>Series 13Y <br>4.00%, 04/30/2035<sup>(a)</sup> | EUR | 835 | 826520 |
|  **Japan – 1.5%** |  |  |  |
|  Japan Government Five Year Bond <br>Series 138 <br>0.10%, 12/20/2023 | JPY | 288900 | 2203732 |
|  Japan Government Forty Year Bond <br>Series 15 <br>1.00%, 03/20/2062 |  | 333150 | 2037967 |
|  Japan Government Ten Year Bond <br>Series 332 <br>0.60%, 12/20/2023 |  | 362650 | 2779672 |
|  Japan Government Thirty Year Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 65<br>0.40%, 12/20/2049 |  | 188950 | 1094942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 68<br>0.60%, 09/20/2050 |  | 285650 | 1714488 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 74<br>1.00%, 03/20/2052 |  | 86000 | 568515 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 76<br>1.40%, 09/20/2052 |  | 222450 | 1625068 |
|  Japan Government Twenty Year Bond <br>Series 171 <br>0.30%, 12/20/2039 |  | 112650 | 744525 |
|  |  |  | 12768909 |
|  **Malaysia – 0.1%** |  |  |  |
|  Malaysia Government Bond <br>Series 0310 <br>4.498%, 04/15/2030 | MYR | 4736 | 1104999 |
|  **New Zealand – 0.4%** |  |  |  |
|  New Zealand Government Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 433<br>3.50%, 04/14/2033<sup>(a)</sup> | NZD | 3930 | 2293324 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 532<br>2.00%, 05/15/2032 |  | 2074 | 1069912 |
|  |  |  | 3363236 |
|  **Peru – 0.2%** |  |  |  |
|  Peru Government Bond <br>6.15%, 08/12/2032 | PEN | 8607 | 1992558 |
|  **South Korea – 2.0%** |  |  |  |
|  Korea Treasury Bond |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2506<br>3.125%, 06/10/2025 | KRW | 15958420 | 12423564 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2703<br>2.375%, 03/10/2027 | KRW | 6846450 | 5111720 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17535284 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **United Kingdom – 0.7%** |  |  |  |
|  United Kingdom Gilt<br>0.875%, 01/31/2046<sup>(a)</sup> | GBP | 2808 | $1801448 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 10/22/2041<sup>(a)</sup> |  | 2095 | 1611918 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 07/31/2051<sup>(a)</sup> |  | 201 | 131492 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 07/31/2053<sup>(a)</sup> |  | 1097 | 760708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 09/07/2037<sup>(a)</sup> |  | 945 | 861815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 01/29/2038<sup>(a)</sup> |  | 647 | 757430 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5924811 |
|  **United States – 20.1%** |  |  |  |
|  U.S. Treasury Bonds<br>1.125%, 08/15/2040<sup>(b) (c)</sup> | U.S.$| 8875 | 5557969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 08/15/2041 |  | 6975 | 4809618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 02/15/2051 |  | 10463 | 6710777 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 11/15/2041 |  | 2643 | 1901433 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 02/15/2050 |  | 215 | 143311 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/2051 |  | 6238 | 4121177 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/15/2046 |  | 854 | 609276 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 08/15/2049 |  | 590 | 418347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 02/15/2052 |  | 139 | 97415 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 02/15/2042 |  | 1485 | 1141286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.375%, 11/15/2049 |  | 450 | 328500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 05/15/2049 |  | 905 | 733616 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 05/15/2052 |  | 1035 | 836733 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 11/15/2045 |  | 169 | 139900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/15/2052 |  | 321 | 267166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/15/2042 |  | 2114 | 1865781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 08/15/2042 |  | 1464 | 1316783 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 11/15/2048 |  | 495 | 439854 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 08/15/2043 |  | 1873 | 1732740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2042 |  | 788 | 776919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/2052 |  | 868 | 877055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 11/15/2039<sup>(c)</sup> |  | 5290 | 5545408 |
|  U.S. Treasury Notes<br>0.25%, 05/31/2025 |  | 1309 | 1188508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 04/15/2024 |  | 4229 | 4002070 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 01/31/2026<sup>(b)</sup> |  | 5434 | 4838136 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.625%, 07/31/2026 |  | 1865 | 1649068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 09/30/2026<sup>(b)</sup> |  | 6397 | 5685889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 11/30/2026<sup>(b)</sup> |  | 8434 | 7573648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 12/31/2026 |  | 1505 | 1349091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 08/15/2031 |  | 3470 | 2825800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.375%, 11/15/2031 |  | 4369 | 3568163 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 09/30/2024 |  | 15926 | 15124438 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/15/2030<sup>(c)</sup> |  | 3867 | 3302660 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.625%, 05/15/2026<sup>(b)</sup> |  | 6600 | 6081189 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.125%, 05/31/2026 |  | 5545 | 5191506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 02/15/2027<sup>(c)</sup> |  | 12993 | 12099731 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/30/2024 |  | 7142 | 6938899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 07/31/2027 |  | 7319 | 6933135 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 08/15/2032 | U.S.$| 5636 | $5146555 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 09/30/2023 |  | 5987 | 5910292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/31/2024 |  | 2868 | 2797294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.125%, 08/31/2027 |  | 598 | 575850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/31/2024 |  | 14275 | 13983200 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 11/30/2027 |  | 12989 | 12935933 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 12/31/2027 |  | 1175 | 1169729 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 09/30/2027 |  | 1748 | 1756740 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 11/15/2032 |  | 969 | 991756 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;173990344 |
|  Total Governments - Treasuries <br>(cost $284,621,392) |  |  | 260271121 |
|  **CORPORATES - INVESTMENT GRADE – 18.8%** |  |  |  |
|  **Industrial – 9.4%** |  |  |  |
|  **Basic – 0.4%** |  |  |  |
|  Anglo American Capital PLC <br>3.875%, 03/16/2029<sup>(a)</sup> |  | 634 | 570204 |
|  Celanese US Holdings LLC <br>5.90%, 07/05/2024 |  | 1039 | 1038449 |
|  Freeport Indonesia PT <br>4.763%, 04/14/2027<sup>(a)</sup> |  | 585 | 560934 |
|  Glencore Capital Finance DAC <br>1.125%, 03/10/2028<sup>(a)</sup> | EUR | 260 | 229211 |
|  LyondellBasell Industries NV <br>5.75%, 04/15/2024 | U.S.$| 277 | 277573 |
|  Nucor Corp. <br>4.30%, 05/23/2027 |  | 180 | 175156 |
|  Suzano Austria GmbH <br>3.75%, 01/15/2031 |  | 252 | 210388 |
|  WRKCo., Inc. <br>4.00%, 03/15/2028 |  | 519 | 484118 |
|  |  |  | 3546033 |
|  **Capital Goods – 0.4%** |  |  |  |
|  CNH Industrial Capital LLC <br>3.95%, 05/23/2025 |  | 815 | 790037 |
|  Flowserve Corp. <br>2.80%, 01/15/2032 |  | 530 | 396042 |
|  Parker-Hannifin Corp.<br>3.25%, 06/14/2029 |  | 223 | 199346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/15/2029 |  | 667 | 641441 |
|  Raytheon Technologies Corp. <br>4.125%, 11/16/2028 |  | 671 | 643039 |
|  Westinghouse Air Brake Technologies Corp.<br>3.20%, 06/15/2025 |  | 162 | 152385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/2024 |  | 343 | 337389 |
|  |  |  | 3159679 |
|  **Communications - Media – 1.0%** |  |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital<br>4.80%, 03/01/2050 |  | 66 | 48294 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.125%, 07/01/2049 |  | 100 | 76307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 05/01/2047 |  | 140 | 110313 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Discovery Communications LLC<br>4.125%, 05/15/2029 | U.S.$| 156 | $135286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 05/15/2050 |  | 115 | 79080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 09/20/2047 |  | 599 | 447531 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/15/2049 |  | 262 | 198585 |
|  Fox Corp.<br>4.709%, 01/25/2029 |  | 210 | 203270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.576%, 01/25/2049 |  | 346 | 310158 |
|  Interpublic Group of Cos., Inc. (The) <br>4.65%, 10/01/2028 |  | 725 | 693992 |
|  Netflix, Inc.<br>3.625%, 05/15/2027 | EUR | 275 | 282207 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 05/15/2029 |  | 260 | 272283 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 11/15/2028 | U.S.$| 615 | 624040 |
|  Paramount Global <br>4.20%, 05/19/2032 |  | 109 | 89115 |
|  Prosus NV<br>3.257%, 01/19/2027<sup>(a)</sup> |  | 604 | 542091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.68%, 01/21/2030<sup>(a)</sup> |  | 786 | 651545 |
|  Tencent Holdings Ltd. <br>3.24%, 06/03/2050<sup>(a)</sup> |  | 525 | 329700 |
|  Time Warner Cable LLC <br>4.50%, 09/15/2042 |  | 494 | 363095 |
|  Warnermedia Holdings, Inc.<br>3.755%, 03/15/2027<sup>(a)</sup> |  | 206 | 185923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.279%, 03/15/2032<sup>(a)</sup> |  | 947 | 780820 |
|  Weibo Corp. <br>3.375%, 07/08/2030 |  | 2373 | 1808374 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8232009 |
|  **Communications - Telecommunications – 0.4%** |  |  |  |
|  Bell Telephone Co. of Canada or Bell Canada (The)<br>3.00%, 03/17/2031 | CAD | 107 | 68157 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 11/10/2032 |  | 422 | 327062 |
|  British Telecommunications PLC <br>9.625%, 12/15/2030 | U.S.$| 247 | 294839 |
|  CK Hutchison Group Telecom Finance SA <br>1.125%, 10/17/2028<sup>(a)</sup> | EUR | 940 | 833756 |
|  Deutsche Telekom International Finance BV <br>8.875%, 11/27/2028 | GBP | 248 | 357529 |
|  T-Mobile USA, Inc.<br>2.55%, 02/15/2031 | U.S.$| 557 | 453916 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.625%, 02/15/2029 |  | 76 | 64506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 02/15/2031 |  | 230 | 189888 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 04/15/2029 |  | 45 | 39649 |
|  TELUS Corp. <br>5.25%, 11/15/2032 | CAD | 542 | 398294 |
|  Verizon Communications, Inc. <br>4.25%, 10/31/2030 | EUR | 669 | 722762 |
|  Vodafone Group PLC <br>4.20%, 12/13/2027<sup>(a)</sup> | AUD | 30 | 19185 |
|  |  |  | 3769543 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Consumer Cyclical - Automotive – 0.5%** |  |  |  |
|  General Motors Co.<br>6.125%, 10/01/2025 | U.S.$| 169 | $172289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 10/01/2027 |  | 100 | 103842 |
|  General Motors Financial Co., Inc. <br>5.25%, 03/01/2026 |  | 206 | 202865 |
|  Harley-Davidson Financial Services, Inc. <br>3.05%, 02/14/2027<sup>(a)</sup> |  | 1711 | 1529018 |
|  Lear Corp. <br>3.50%, 05/30/2030 |  | 43 | 36327 |
|  Nissan Motor Acceptance Co. LLC <br>1.85%, 09/16/2026<sup>(a)</sup> |  | 104 | 86974 |
|  Nissan Motor Co., Ltd. <br>4.345%, 09/17/2027<sup>(a)</sup> |  | 1550 | 1404780 |
|  Volkswagen International Finance NV<br>0.875%, 09/22/2028<sup>(a)</sup> | EUR | 700 | 606773 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 06/17/2025<sup>(a) (d)</sup> |  | 300 | 297156 |
|  |  |  | 4440024 |
|  **Consumer Cyclical - Other – 0.2%** |  |  |  |
|  Las Vegas Sands Corp. <br>3.90%, 08/08/2029 | U.S.$| 1282 | 1085610 |
|  Marriott International, Inc./MD <br>Series EE <br>5.75%, 05/01/2025 |  | 77 | 77815 |
|  MDC Holdings, Inc. <br>6.00%, 01/15/2043 |  | 1027 | 840363 |
|  |  |  | 2003788 |
|  **Consumer Cyclical - Retailers – 0.4%** |  |  |  |
|  Advance Auto Parts, Inc.<br>3.50%, 03/15/2032 |  | 16 | 13080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 04/15/2030 |  | 1234 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1084254 |
|  AutoNation, Inc.<br>3.80%, 11/15/2027 |  | 274 | 248951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 03/01/2032 |  | 22 | 17585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 06/01/2030 |  | 65 | 58166 |
|  Lowe's Cos., Inc. <br>5.80%, 09/15/2062 |  | 406 | 391486 |
|  PVH Corp. <br>3.125%, 12/15/2027<sup>(a)</sup> | EUR | 385 | 374768 |
|  Ross Stores, Inc. <br>4.70%, 04/15/2027 | U.S.$| 1097 | 1079437 |
|  |  |  | 3267727 |
|  **Consumer Non-Cyclical – 0.9%** |  |  |  |
|  Altria Group, Inc.<br>3.125%, 06/15/2031 | EUR | 768 | 678919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/06/2030 | U.S.$| 985 | 840836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/14/2029 |  | 200 | 191760 |
|  Amgen, Inc. <br>3.35%, 02/22/2032 |  | 170 | 148342 |
|  Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. <br>4.70%, 02/01/2036 |  | 431 | 406334 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  BAT Capital Corp.<br>2.259%, 03/25/2028 | U.S.$| 1614 | $1343316 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 04/02/2027 |  | 245 | 235320 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.906%, 04/02/2030 |  | 292 | 267624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 10/19/2032 |  | 125 | 134504 |
|  British American Tobacco PLC <br>Series 5.25 <br>3.00%, 09/27/2026<sup>(a) (d)</sup> | EUR | 528 | 437497 |
|  Cargill, Inc. <br>5.125%, 10/11/2032<sup>(a)</sup> | U.S.$| 446 | 447227 |
|  Cigna Corp. <br>4.375%, 10/15/2028 |  | 416 | 401282 |
|  CVS Health Corp. <br>4.30%, 03/25/2028 |  | 32 | 30952 |
|  Imperial Brands Finance Netherlands BV <br>1.75%, 03/18/2033<sup>(a)</sup> | EUR | 176 | 131685 |
|  Ochsner LSU Health System of North Louisiana <br>Series 2021 <br>2.51%, 05/15/2031 | U.S.$| 810 | 585298 |
|  Philip Morris International, Inc.<br>5.00%, 11/17/2025 |  | 390 | 391993 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.625%, 11/17/2029 |  | 138 | 140546 |
|  Takeda Pharmaceutical Co., Ltd. <br>4.40%, 11/26/2023 |  | 225 | 223181 |
|  Zoetis, Inc. <br>5.40%, 11/14/2025 |  | 646 | 658958 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7695574 |
|  **Energy – 2.0%** |  |  |  |
|  BP Capital Markets America, Inc. <br>2.939%, 06/04/2051 |  | 1736 | 1146159 |
|  BP Capital Markets PLC<br>3.25%, 03/22/2026<sup>(a) (d)</sup> | EUR | 218 | 214349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 03/22/2029<sup>(a) (d)</sup> |  | 578 | 531227 |
|  Continental Resources, Inc./OK<br>2.875%, 04/01/2032<sup>(a)</sup> | U.S.$| 1225 | 909575 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 01/15/2031<sup>(a)</sup> |  | 905 | 843243 |
|  Devon Energy Corp. <br>5.60%, 07/15/2041 |  | 896 | 837115 |
|  Diamondback Energy, Inc. <br>6.25%, 03/15/2033 |  | 273 | 277259 |
|  Ecopetrol SA<br>5.875%, 11/02/2051 |  | 459 | 308677 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.875%, 04/29/2030 |  | 80 | 72400 |
|  Enbridge Energy Partners LP <br>7.375%, 10/15/2045 |  | 1151 | 1287554 |
|  Enbridge Pipelines, Inc. <br>2.82%, 05/12/2031 | CAD | 192 | 118927 |
|  Enbridge, Inc. <br>6.10%, 11/09/2032 |  | 186 | 144536 |
|  Energy Transfer LP <br>3.90%, 07/15/2026 | U.S.$| 407 | 384851 |
|  Eni SpA<br>4.25%, 05/09/2029<sup>(a)</sup> |  | 350 | 324159 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series NC9<br>3.375%, 07/13/2029<sup>(a) (d)</sup> | EUR | 590 | 523820 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  EQT Corp. <br>5.70%, 04/01/2028 | U.S.$| 388 | $385835 |
|  Kinder Morgan Energy Partners LP <br>7.30%, 08/15/2033 |  | 500 | 540915 |
|  Marathon Oil Corp. <br>4.40%, 07/15/2027 |  | 100 | 95493 |
|  Marathon Petroleum Corp.<br>5.125%, 12/15/2026 |  | 269 | 267948 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 03/01/2041 |  | 240 | 247627 |
|  Oleoducto Central SA <br>4.00%, 07/14/2027<sup>(a)</sup> |  | 1046 | 918388 |
|  ONEOK Partners LP <br>6.125%, 02/01/2041 |  | 96 | 91116 |
|  ONEOK, Inc.<br>3.40%, 09/01/2029 |  | 37 | 31989 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/13/2027 |  | 263 | 247728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 03/15/2029 |  | 505 | 468287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 11/15/2032 |  | 136 | 136495 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.35%, 01/15/2031 |  | 667 | 679720 |
|  Plains All American Pipeline LP/PAA Finance Corp. <br>3.55%, 12/15/2029 |  | 768 | 667461 |
|  Suncor Energy, Inc.<br>6.50%, 06/15/2038 |  | 166 | 170696 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.80%, 05/15/2038 |  | 436 | 457621 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.85%, 06/01/2039 |  | 281 | 295679 |
|  Tengizchevroil Finance Co. International Ltd. <br>3.25%, 08/15/2030<sup>(a)</sup> |  | 438 | 310651 |
|  TotalEnergies SE<br>2.00%, 01/17/2027<sup>(a) (d)</sup> | EUR | 505 | 461334 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series NC7<br>1.625%, 10/25/2027<sup>(a) (d)</sup> |  | 304 | 263932 |
|  TransCanada PipeLines Ltd.<br>5.33%, 05/12/2032 | CAD | 540 | 397347 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 10/15/2037 | U.S.$| 220 | 224596 |
|  Valero Energy Corp. <br>6.625%, 06/15/2037 |  | 120 | 128290 |
|  Var Energi ASA<br>7.50%, 01/15/2028<sup>(a)</sup> |  | 1430 | 1454954 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/15/2032<sup>(a)</sup> |  | 749 | 772144 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17640097 |
|  **Other Industrial – 0.1%** |  |  |  |
|  Alfa SAB de CV <br>5.25%, 03/25/2024<sup>(a)</sup> |  | 668 | 662072 |
|  **Services – 0.5%** |  |  |  |
|  Amazon.com, Inc. <br>4.55%, 12/01/2027 |  | 1024 | 1021030 |
|  Booking Holdings, Inc.<br>4.50%, 11/15/2031 | EUR | 805 | 869502 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 04/13/2030 | U.S.$| 585 | 566058 |
|  Expedia Group, Inc.<br>4.625%, 08/01/2027 |  | 159 | 152619 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 05/01/2025<sup>(a)</sup> | U.S.$| 33 | $33238 |
|  Global Payments, Inc.<br>3.20%, 08/15/2029 |  | 253 | 215963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/01/2028 |  | 213 | 198169 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 08/15/2029 |  | 281 | 272730 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 08/15/2032 |  | 552 | 526267 |
|  S&P Global, Inc.<br>4.25%, 05/01/2029<sup>(a)</sup> |  | 232 | 221404 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 08/01/2028<sup>(a)</sup> |  | 51 | 50414 |
|  |  |  | 4127394 |
|  **Technology – 2.2%** |  |  |  |
|  Apple, Inc. <br>4.10%, 08/08/2062 |  | 417 | 352056 |
|  Broadcom, Inc.<br>3.137%, 11/15/2035<sup>(a)</sup> |  | 70 | 51356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.187%, 11/15/2036<sup>(a)</sup> |  | 479 | 345713 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/2029<sup>(a)</sup> |  | 83 | 75532 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 11/15/2030 |  | 225 | 201573 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/15/2032<sup>(a)</sup> |  | 753 | 661895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.926%, 05/15/2037<sup>(a)</sup> |  | 518 | 452748 |
|  Dell International LLC/EMC Corp.<br>6.02%, 06/15/2026 |  | 252 | 257264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.35%, 07/15/2046 |  | 93 | 106684 |
|  Entegris Escrow Corp. <br>4.75%, 04/15/2029<sup>(a)</sup> |  | 1249 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1142385 |
|  Fidelity National Information Services, Inc.<br>1.00%, 12/03/2028 | EUR | 691 | 613780 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 05/21/2027 |  | 126 | 120818 |
|  Fiserv, Inc.<br>1.625%, 07/01/2030 |  | 810 | 715302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/01/2029 | U.S.$| 758 | 683057 |
|  Honeywell International, Inc. <br>4.125%, 11/02/2034 | EUR | 2070 | 2169099 |
|  HP, Inc. <br>5.50%, 01/15/2033 | U.S.$| 1631 | 1534167 |
|  Infor, Inc. <br>1.75%, 07/15/2025<sup>(a)</sup> |  | 398 | 359068 |
|  Intel Corp. <br>5.05%, 08/05/2062 |  | 1242 | 1095929 |
|  International Business Machines Corp. <br>4.90%, 07/27/2052 |  | 788 | 720523 |
|  KLA Corp.<br>4.10%, 03/15/2029 |  | 108 | 104501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/15/2062 |  | 524 | 505141 |
|  Kyndryl Holdings, Inc. <br>2.05%, 10/15/2026 |  | 1611 | 1331991 |
|  Micron Technology, Inc. <br>6.75%, 11/01/2029 |  | 1044 | 1062280 |
|  NXP BV/NXP Funding LLC <br>5.55%, 12/01/2028 |  | 445 | 445748 |
|  NXP BV/NXP Funding LLC/NXP USA, Inc. <br>3.40%, 05/01/2030 |  | 261 | 225233 |
|  Oracle Corp.<br>2.875%, 03/25/2031 |  | 441 | 365867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/01/2040 |  | 163 | 120364 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/25/2041 | U.S.$| 91 | $67277 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.375%, 07/15/2040 |  | 141 | 129457 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.90%, 11/09/2052 |  | 477 | 516181 |
|  QUALCOMM, Inc. <br>6.00%, 05/20/2053 |  | 395 | 421990 |
|  SK Hynix, Inc. <br>2.375%, 01/19/2031<sup>(a)</sup> |  | 468 | 343190 |
|  TSMC Arizona Corp. <br>3.875%, 04/22/2027 |  | 504 | 481729 |
|  VeriSign, Inc. <br>2.70%, 06/15/2031 |  | 84 | 68720 |
|  Western Digital Corp.<br>2.85%, 02/01/2029 |  | 313 | 242074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 02/01/2032 |  | 849 | 610499 |
|  Workday, Inc.<br>3.70%, 04/01/2029 |  | 82 | 75219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 04/01/2032 |  | 98 | 86486 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;18862896 |
|  **Transportation - Airlines – 0.1%** |  |  |  |
|  Delta Air Lines, Inc./SkyMiles IP Ltd.<br>4.50%, 10/20/2025<sup>(a)</sup> |  | 488 | 475920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 10/20/2028<sup>(a)</sup> |  | 563 | 530295 |
|  Southwest Airlines Co. <br>2.625%, 02/10/2030 |  | 150 | 124137 |
|  |  |  | 1130352 |
|  **Transportation - Railroads – 0.0%** |  |  |  |
|  Lima Metro Line 2 Finance Ltd. <br>4.35%, 04/05/2036<sup>(a)</sup> |  | 391 | 346989 |
|  **Transportation - Services – 0.3%** |  |  |  |
|  Chicago Parking Meters <br>4.93%, 12/30/2025<sup>(e)</sup> |  | 800 | 775993 |
|  ENA Master Trust <br>4.00%, 05/19/2048<sup>(a)</sup> |  | 1113 | 746406 |
|  FedEx Corp. <br>0.45%, 05/04/2029 | EUR | 423 | 358392 |
|  Heathrow Funding Ltd. <br>6.45%, 12/10/2031<sup>(a)</sup> | GBP | 300 | 373203 |
|  |  |  | 2253994 |
|  |  |  | 81138171 |
|  **Financial Institutions – 8.4%** |  |  |  |
|  **Banking – 6.1%** |  |  |  |
|  AIB Group PLC<br>0.50%, 11/17/2027<sup>(a)</sup> | EUR | 700 | 633995 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.583%, 10/14/2026<sup>(a)</sup> | U.S.$| 1524 | 1550853 |
|  Australia & New Zealand Banking Group Ltd. <br>4.40%, 05/19/2026<sup>(a)</sup> |  | 225 | 215584 |
|  Banco Bilbao Vizcaya Argentaria SA <br>Series 9 <br>6.50%, 03/05/2025<sup>(d)</sup> |  | 400 | 383580 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Banco de Credito del Peru S.A. <br>3.125%, 07/01/2030<sup>(a)</sup> | U.S.$| 1095 | $996997 |
|  Banco Santander SA <br>4.175%, 03/24/2028 |  | 1600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1482864 |
|  Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.559%, 04/23/2027 |  | 369 | 345757 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.376%, 04/27/2028 |  | 1066 | 1019192 |
|  Bank of Ireland Group PLC <br>6.253%, 09/16/2026<sup>(a)</sup> |  | 497 | 494843 |
|  Barclays PLC<br>7.385%, 11/02/2028 |  | 1202 | 1250248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 03/15/2029<sup>(d)</sup> |  | 569 | 535850 |
|  BNP Paribas SA<br>2.871%, 04/19/2032<sup>(a)</sup> |  | 498 | 389690 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.625%, 02/25/2031<sup>(a) (d)</sup> |  | 1869 | 1447148 |
|  CaixaBank SA<br>0.375%, 11/18/2026<sup>(a)</sup> | EUR | 400 | 379881 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 12/03/2026<sup>(a)</sup> | GBP | 400 | 423171 |
|  Capital One Financial Corp.<br>3.273%, 03/01/2030 | U.S.$| 209 | 179094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.927%, 05/10/2028 |  | 180 | 174361 |
|  Citigroup, Inc.<br>2.666%, 01/29/2031 |  | 129 | 105835 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.075%, 04/23/2029 |  | 415 | 382709 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.14%, 05/24/2025 |  | 508 | 500238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 01/30/2023<sup>(d)</sup> |  | 311 | 308767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series P<br>5.95%, 05/15/2025<sup>(d)</sup> |  | 367 | 335519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series W<br>4.00%, 12/10/2025<sup>(d)</sup> |  | 574 | 500683 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series Y<br>4.15%, 11/15/2026<sup>(d)</sup> |  | 340 | 279864 |
|  Citizens Financial Group, Inc. <br>4.30%, 12/03/2025 |  | 502 | 487557 |
|  Commonwealth Bank of Australia <br>3.784%, 03/14/2032<sup>(a)</sup> |  | 311 | 255533 |
|  Cooperatieve Rabobank UA<br>3.25%, 12/29/2026<sup>(a) (d)</sup> | EUR | 200 | 182013 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 06/29/2027<sup>(a) (d)</sup> |  | 400 | 380767 |
|  Credit Suisse Group AG<br>4.194%, 04/01/2031<sup>(a)</sup> | U.S.$| 1262 | 984424 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.373%, 07/15/2026<sup>(a)</sup> |  | 832 | 781165 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 12/11/2023<sup>(a) (d)</sup> |  | 223 | 194951 |
|  Danske Bank A/S<br>0.75%, 06/09/2029<sup>(a)</sup> | EUR | 337 | 293582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 09/12/2023<sup>(a)</sup> | U.S.$| 542 | 534705 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.298%, 04/01/2028<sup>(a)</sup> |  | 920 | 847881 |
|  Deutsche Bank AG/New York NY<br>2.129%, 11/24/2026 |  | 272 | 239934 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.961%, 11/26/2025 |  | 455 | 435048 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.119%, 07/14/2026 |  | 746 | 742158 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Discover Bank <br>4.682%, 08/09/2028 |  | U.S.$| 300 | $288744 |
|  Discover Financial Services <br>6.70%, 11/29/2032 |  |  | 221 | 224896 |
|  Federation Des Caisses Desjard <br>4.55%, 08/23/2027<sup>(a)</sup> |  |  | 810 | 777244 |
|  Fifth Third Bancorp <br>Series L <br>4.50%, 09/30/2025<sup>(d)</sup> |  |  | 354 | 329149 |
|  Goldman Sachs Group, Inc. (The) <br>Series V <br>4.125%, 11/10/2026<sup>(d)</sup> |  |  | 676 | 562446 |
|  HSBC Holdings PLC<br>5.21%, 08/11/2028 |  |  | 483 | 465134 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.402%, 08/11/2033 |  |  | 463 | 430094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.336%, 11/03/2026 |  |  | 2010 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2090500 |
|  ING Groep NV<br>6.50%, 04/16/2025<sup>(d)</sup> |  |  | 201 | 190228 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/16/2024<sup>(a) (d)</sup> |  |  | 281 | 270589 |
|  Intesa Sanpaolo SpA<br>5.017%, 06/26/2024<sup>(a)</sup> |  |  | 400 | 386232 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 11/21/2025<sup>(a)</sup> |  |  | 799 | 816075 |
|  JPMorgan Chase & Co.<br>1.09%, 03/11/2027<sup>(a)</sup> |  | EUR | 427 | 415346 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.58%, 04/22/2032 |  | U.S.$| 749 | 599230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.005%, 04/23/2029 |  |  | 112 | 103748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.565%, 06/14/2030 |  |  | 779 | 735586 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.546%, 12/15/2025 |  |  | 1170 | 1170070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series X<br>6.10%, 10/01/2024<sup>(d)</sup> |  |  | 360 | 350442 |
|  Lloyds Banking Group PLC <br>7.953%, 11/15/2033 |  |  | 1168 | 1237846 |
|  Mizuho Financial Group, Inc. <br>5.414%, 09/13/2028 |  |  | 787 | 786355 |
|  Morgan Stanley<br>0.406%, 10/29/2027 |  | EUR | 1227 | 1133146 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.772%, 01/24/2029 | U.S.$|  | 450 | 411858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.21%, 04/20/2028 |  |  | 516 | 490117 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.813%, 10/25/2028 |  | EUR | 620 | 675744 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.296%, 10/18/2028 | U.S.$|  | 637 | 656620 |
|  Nationwide Building Society <br>2.972%, 02/16/2028<sup>(a)</sup> |  |  | 1007 | 886714 |
|  Natwest Group PLC <br>0.78%, 02/26/2030<sup>(a)</sup> |  | EUR | 750 | 629023 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.472%, 11/10/2026 |  | U.S.$| 900 | 937152 |
|  PNC Financial Services Group, Inc. (The) <br>Series O <br>8.118% (LIBOR 3 Month + 3.68%), 02/01/2023<sup>(d) (f)</sup> |  |  | 56 | 56078 |
|  Santander Holdings USA, Inc.<br>2.49%, 01/06/2028 |  |  | 585 | 503281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.26%, 06/09/2025 |  |  | 158 | 153121 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Santander UK Group Holdings PLC<br>0.603%, 09/13/2029<sup>(a)</sup> | EUR | 151 | $125530 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.469%, 01/11/2028 | U.S.$| 687 | 587571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.833%, 11/21/2026 |  | 1334 | 1352410 |
|  Societe Generale SA<br>2.797%, 01/19/2028<sup>(a)</sup> |  | 1898 | 1657960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 09/29/2025<sup>(a) (d)</sup> |  | 390 | 392149 |
|  Standard Chartered PLC<br>2.608%, 01/12/2028<sup>(a)</sup> |  | 455 | 394844 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.971%, 03/30/2026<sup>(a)</sup> |  | 550 | 522940 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.925% (LIBOR 3 Month + 1.51%),<br>01/30/2027<sup>(a) (d) (f)</sup> |  | 1100 | 847836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 07/26/2025<sup>(a) (d)</sup> |  | 558 | 537800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.776%, 11/16/2025<sup>(a)</sup> |  | 513 | 529170 |
|  Svenska Handelsbanken AB <br>4.75%, 03/01/2031<sup>(a) (d)</sup> |  | 600 | 490878 |
|  Swedbank AB <br>Series NC5 <br>5.625%, 09/17/2024<sup>(a) (d)</sup> |  | 1200 | 1149240 |
|  Truist Financial Corp. <br>Series Q <br>5.10%, 03/01/2030<sup>(d)</sup> |  | 977 | 907311 |
|  UBS Group AG<br>4.488%, 05/12/2026<sup>(a)</sup> |  | 254 | 247863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.531% (SOFR + 1.58%), 05/12/2026<sup>(a) (f)</sup> |  | 845 | 846952 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/19/2025<sup>(a) (d)</sup> |  | 400 | 395480 |
|  UniCredit SpA<br>1.982%, 06/03/2027<sup>(a)</sup> |  | 202 | 172021 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.569%, 09/22/2026<sup>(a)</sup> |  | 860 | 761195 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.127%, 06/03/2032<sup>(a)</sup> |  | 996 | 752847 |
|  US Bancorp <br>Series J <br>5.30%, 04/15/2027<sup>(d)</sup> |  | 423 | 368653 |
|  Wells Fargo & Co.<br>3.584%, 05/22/2028 |  | 168 | 155618 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series BB<br>3.90%, 03/15/2026<sup>(d)</sup> |  | 389 | 341016 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;52976533 |
|  **Brokerage – 0.2%** |  |  |  |
|  Charles Schwab Corp. (The)<br>2.90%, 03/03/2032 |  | 3 | 2549 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series G<br>5.375%, 06/01/2025<sup>(d)</sup> |  | 226 | 221516 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I<br>4.00%, 06/01/2026<sup>(d)</sup> |  | 1742 | 1510575 |
|  |  |  | 1734640 |
|  **Finance – 0.9%** |  |  |  |
|  Air Lease Corp.<br>2.10%, 09/01/2028 |  | 114 | 93046 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 01/15/2026 |  | 104 | 96297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 04/01/2027 |  | 51 | 46509 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Aircastle Ltd.<br>2.85%, 01/26/2028<sup>(a)</sup> | U.S.$| 1604 | $1312521 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 05/01/2024 |  | 215 | 207811 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/15/2026 |  | 278 | 261732 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 08/11/2025<sup>(a)</sup> |  | 849 | 817426 |
|  Aviation Capital Group LLC<br>1.95%, 01/30/2026<sup>(a)</sup> |  | 675 | 588033 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 09/20/2026<sup>(a)</sup> |  | 285 | 240850 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2027<sup>(a)</sup> |  | 267 | 233633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.125%, 08/01/2025<sup>(a)</sup> |  | 12 | 11152 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.375%, 01/30/2024<sup>(a)</sup> |  | 290 | 283010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 10/01/2025<sup>(a)</sup> |  | 271 | 255298 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/15/2024<sup>(a)</sup> |  | 828 | 812318 |
|  CDBL Funding 1 <br>3.50%, 10/24/2027<sup>(a)</sup> |  | 850 | 777767 |
|  Synchrony Financial<br>2.875%, 10/28/2031 |  | 1032 | 769087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/2027 |  | 298 | 266016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/23/2025 |  | 109 | 104754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.875%, 06/13/2025 |  | 109 | 106336 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7283596 |
|  **Insurance – 0.4%** |  |  |  |
|  Alleghany Corp. <br>3.625%, 05/15/2030 |  | 474 | 439412 |
|  Allianz SE<br>2.121%, 07/08/2050<sup>(a)</sup> | EUR | 200 | 172651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.252%, 07/05/2052<sup>(a)</sup> |  | 300 | 294429 |
|  Guardian Life Insurance Co. of America (The) <br>4.85%, 01/24/2077<sup>(a)</sup> | U.S.$| 423 | 348125 |
|  Liberty Mutual Group, Inc. <br>3.625%, 05/23/2059<sup>(a)</sup> | EUR | 365 | 344266 |
|  Nationwide Mutual Insurance Co. <br>9.375%, 08/15/2039<sup>(a)</sup> | U.S.$| 420 | 543799 |
|  Swiss Re Finance Luxembourg SA <br>5.00%, 04/02/2049<sup>(a)</sup> |  | 800 | 739632 |
|  Voya Financial, Inc. <br>5.65%, 05/15/2053 |  | 895 | 879132 |
|  |  |  | 3761446 |
|  **REITs – 0.8%** |  |  |  |
|  American Tower Corp.<br>0.50%, 01/15/2028 | EUR | 720 | 631261 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 05/21/2029 |  | 880 | 748764 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/15/2027 | U.S.$| 413 | 386287 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/2032 |  | 208 | 186022 |
|  Annington Funding PLC <br>3.184%, 07/12/2029<sup>(a)</sup> | GBP | 305 | 306248 |
|  Digital Euro Finco LLC <br>2.50%, 01/16/2026<sup>(a)</sup> | EUR | 820 | 812849 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Essential Properties LP <br>2.95%, 07/15/2031 | U.S.$| 533 | $386505 |
|  GLP Capital LP/GLP Financing II, Inc. <br>3.25%, 01/15/2032 |  | 955 | 764192 |
|  Host Hotels & Resorts LP<br>Series E<br>4.00%, 06/15/2025 |  | 268 | 257602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series I<br>3.50%, 09/15/2030 |  | 189 | 155908 |
|  Office Properties Income Trust <br>3.45%, 10/15/2031 |  | 633 | 426699 |
|  Omega Healthcare Investors, Inc.<br>3.25%, 04/15/2033 |  | 425 | 307398 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.625%, 10/01/2029 |  | 67 | 55069 |
|  SBB Treasury Oyj<br>0.75%, 12/14/2028<sup>(a)</sup> | EUR | 366 | 249817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 11/26/2029<sup>(a)</sup> |  | 111 | 75516 |
|  Vornado Realty LP <br>3.40%, 06/01/2031 | U.S.$| 852 | 632184 |
|  WPC Eurobond BV<br>0.95%, 06/01/2030 | EUR | 277 | 214315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.35%, 04/15/2028 |  | 138 | 122612 |
|  |  |  | 6719248 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;72475463 |
|  **Utility – 1.0%** |  |  |  |
|  **Electric – 0.8%** |  |  |  |
|  Adani Transmission Step-One Ltd. <br>4.00%, 08/03/2026<sup>(a)</sup> | U.S.$| 328 | 291612 |
|  AES Panama Generation Holdings SRL <br>4.375%, 05/31/2030<sup>(a)</sup> |  | 731 | 630395 |
|  Berkshire Hathaway Energy Co. <br>6.125%, 04/01/2036 |  | 209 | 219565 |
|  Cadent Finance PLC <br>0.625%, 03/19/2030<sup>(a)</sup> | EUR | 555 | 465643 |
|  Chile Electricity Pec SpA <br>Zero Coupon 01/25/2028<sup>(a)</sup> | U.S.$| 910 | 650821 |
|  Consolidated Edison Co. of New York, Inc. <br>4.50%, 05/15/2058 |  | 256 | 214134 |
|  Duke Energy Carolinas NC Storm Funding LLC <br>Series A-2 <br>2.617%, 07/01/2041 |  | 542 | 395985 |
|  E.ON International Finance BV <br>6.25%, 06/03/2030<sup>(a)</sup> | GBP | 375 | 471985 |
|  Electricite de France SA<br>2.875%, 12/15/2026<sup>(a) (d)</sup> | EUR | 400 | 350221 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.875%, 07/18/2031 | GBP | 230 | 277653 |
|  Enel Finance International NV <br>7.50%, 10/14/2032<sup>(a)</sup> | U.S.$| 800 | 850160 |
|  Engie Energia Chile SA <br>3.40%, 01/28/2030<sup>(a)</sup> |  | 543 | 440950 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  Entergy Arkansas LLC <br>3.35%, 06/15/2052 | U.S.$| 237 | $| 166085 |
|  Iberdrola International BV <br>Series NC6 <br>1.45%, 11/09/2026<sup>(a) (d)</sup> | EUR | 500 |  | 453769 |
|  Orsted AS <br>4.875%, 01/12/2032<sup>(a)</sup> | GBP | 395 |  | 467445 |
|  Public Service Enterprise Group, Inc. <br>5.85%, 11/15/2027 | U.S.$| 510 |  | 525361 |
|  |  |  |  | 6871784 |
|  **Natural Gas – 0.0%** | **Natural Gas – 0.0%** | **Natural Gas – 0.0%** | **Natural Gas – 0.0%** | **Natural Gas – 0.0%** |
|  Southern Gas Networks PLC <br>Series A7 <br>4.875%, 03/21/2029<sup>(a)</sup> | GBP | 300 |  | 354554 |
|  **Other Utility – 0.2%** | **Other Utility – 0.2%** | **Other Utility – 0.2%** | **Other Utility – 0.2%** | **Other Utility – 0.2%** |
|  American Water Capital Corp. <br>3.45%, 06/01/2029 | U.S.$| 132 |  | 120418 |
|  Anglian Water Services Financing PLC <br>2.75%, 10/26/2029<sup>(a)</sup> | GBP | 400 |  | 418500 |
|  Suez SACA <br>1.875%, 05/24/2027<sup>(a)</sup> | EUR | 600 |  | 581864 |
|  Thames Water Utilities Finance PLC <br>6.75%, 11/16/2028 | GBP | 360 |  | 458637 |
|  |  |  |  | 1579419 |
|  |  |  |  | 8805757 |
|  Total Corporates - Investment Grade <br>(cost $181,125,627) | Total Corporates - Investment Grade <br>(cost $181,125,627) | Total Corporates - Investment Grade <br>(cost $181,125,627) |  | 162419391 |
|  **INFLATION-LINKED SECURITIES – 16.1%** | **INFLATION-LINKED SECURITIES – 16.1%** | **INFLATION-LINKED SECURITIES – 16.1%** | **INFLATION-LINKED SECURITIES – 16.1%** | **INFLATION-LINKED SECURITIES – 16.1%** |
|  **United States – 16.1%** | **United States – 16.1%** | **United States – 16.1%** | **United States – 16.1%** | **United States – 16.1%** |
|  U.S. Treasury Inflation Index<br>0.125%, 07/15/2024 (TIPS) | U.S.$| 9372 |  | 9073675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 07/15/2026 (TIPS) |  | 17387 |  | 16390307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 10/15/2026 (TIPS) |  | 4885 |  | 4585233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.125%, 07/15/2030 (TIPS) |  | 61841 |  | 55473198 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 07/15/2027 (TIPS) |  | 17946 |  | 16936584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/15/2029 (TIPS) |  | 35310 |  | 36822220 |
|  Total Inflation-Linked Securities <br>(cost $142,948,215) |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;139281217 |
|  **MORTGAGE PASS-THROUGHS – 7.0%** |  |  |  |  |
|  **Agency Fixed Rate 30-Year – 6.8%** |  |  |  |  |
|  Federal Home Loan Mortgage Corp.<br>Series 2019<br>3.50%, 09/01/2049 |  | 595 |  | 552071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 10/01/2049 |  | 168 |  | 156068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2049 |  | 223 |  | 207068 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/01/2049 |  | 306 |  | 292967 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020<br>2.50%, 07/01/2050 |  | 453 |  | 391070 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/01/2050 |  | 1175 |  | 1091766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022<br>2.00%, 03/01/2052 |  | 2169 |  | 1778956 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/2052 | U.S.$| 3499 | $2985055 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/2052 |  | 1404 | 1242512 |
|  Federal Home Loan Mortgage Corp. Gold<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br>4.00%, 02/01/2046 |  | 526 | 509268 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017<br>4.00%, 07/01/2044 |  | 347 | 336170 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018<br>4.50%, 03/01/2048 |  | 130 | 128210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 11/01/2048 |  | 401 | 395332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/01/2048 |  | 147 | 147777 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019<br>4.50%, 02/01/2049 |  | 322 | 317932 |
|  Federal National Mortgage Association<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007<br>5.50%, 08/01/2037 |  | 123 | 126600 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2010<br>4.00%, 12/01/2040 |  | 217 | 210177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2012<br>3.50%, 02/01/2042 |  | 210 | 196671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 11/01/2042 |  | 2213 | 2070867 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/01/2043 |  | 371 | 347813 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013<br>3.50%, 03/01/2043 |  | 6 | 5723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/2043 |  | 1268 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1188191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 10/01/2043 |  | 618 | 597501 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014<br>5.50%, 09/01/2041 |  | 342 | 353968 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015<br>3.00%, 05/01/2045 |  | 82 | 74377 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 08/01/2045 |  | 619 | 558540 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018<br>3.50%, 03/01/2048 |  | 1247 | 1159578 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/01/2048 |  | 1093 | 1075291 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019<br>3.50%, 11/01/2049 |  | 466 | 432301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020<br>2.50%, 07/01/2050 |  | 2555 | 2210764 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/01/2050 |  | 1231 | 1142052 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021<br>2.00%, 07/01/2051 |  | 2259 | 1850406 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2052 |  | 1431 | 1221067 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022<br>2.50%, 03/01/2052 |  | 1557 | 1323754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/2052 |  | 1865 | 1587899 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/01/2052 |  | 2114 | 1800836 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/01/2052 |  | 3092 | 2735870 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/2052 |  | 2129 | 1883624 |
|  Government National Mortgage Association<br>4.00%, 01/01/2053, TBA |  | 1107 | 1047966 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br>3.00%, 04/20/2046 |  | 68 | 61267 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/20/2046 |  | 180 | 163397 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023<br>3.00%, 01/01/2053, TBA |  | 309 | 275127 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/01/2053, TBA |  | 1370 | 1329364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/01/2053, TBA |  | 2693 | 2613076 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** | **U.S. $ Value** |
|  Uniform Mortgage-Backed Security<br>Series 2023<br>2.00%, 01/01/2053, TBA | U.S.$| 5012 | $| 4090889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2053, TBA |  | 5697 |  | 4829988 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2053, TBA |  | 4634 |  | 3928763 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/01/2053, TBA |  | 1473 |  | 1294053 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/01/2053, TBA |  | 1462 |  | 1284728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/01/2053, TBA |  | 1056 |  | 927991 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/01/2053, TBA |  | 1113 |  | 1044633 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/01/2053, TBA |  | 1924 |  | 1854556 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59431890 |
|  **Agency Fixed Rate 15-Year – 0.2%** | **Agency Fixed Rate 15-Year – 0.2%** | **Agency Fixed Rate 15-Year – 0.2%** | **Agency Fixed Rate 15-Year – 0.2%** | **Agency Fixed Rate 15-Year – 0.2%** |
|  Federal National Mortgage Association<br>Series 2013<br>2.50%, 03/01/2028 |  | 29 |  | 27352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 06/01/2028 |  | 6 |  | 5729 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014<br>2.50%, 09/01/2029 |  | 88 |  | 83349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016<br>2.50%, 11/01/2031 |  | 19 |  | 18056 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/2031 |  | 1446 |  | 1353712 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 01/01/2032 |  | 33 |  | 30604 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017<br>2.50%, 02/01/2032 |  | 98 |  | 92159 |
|  |  |  |  | 1610961 |
|  Total Mortgage Pass-Throughs <br>(cost $65,514,847) |  |  |  | 61042851 |
|  **COLLATERALIZED MORTGAGE OBLIGATIONS – 4.0%** |  |  |  |  |
|  **Risk Share Floating Rate – 3.6%** |  |  |  |  |
|  Bellemeade Re Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class M1B<br>6.139% (LIBOR 1 Month + 1.75%), 03/25/2029<sup>(a) (f)</sup> |  | 118 |  | 118173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class M1C<br>6.389% (LIBOR 1 Month + 2.00%), 04/25/2029<sup>(a) (f)</sup> |  | 259 |  | 257399 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1B<br>5.989% (LIBOR 1 Month + 1.60%), 07/25/2029<sup>(a) (f)</sup> |  | 132 |  | 131626 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class M1C<br>6.339% (LIBOR 1 Month + 1.95%), 07/25/2029<sup>(a) (f)</sup> |  | 441 |  | 436970 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class M1C<br>6.889% (LIBOR 1 Month + 2.50%), 10/25/2029<sup>(a) (f)</sup> |  | 205 |  | 204691 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class M2<br>7.239% (LIBOR 1 Month + 2.85%), 10/25/2029<sup>(a) (f)</sup> |  | 330 |  | 315319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class M1C<br>6.878% (SOFR + 2.95%), 03/25/2031<sup>(a) (f)</sup> |  | 602 |  | 575258 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class M1B<br>5.428% (SOFR + 1.50%), 06/25/2031<sup>(a) (f)</sup> | U.S.$| 918 | $881168 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A2<br>4.928% (SOFR + 1.00%), 09/25/2031<sup>(a) (f)</sup> |  | 878 | 832043 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M1B<br>6.078% (SOFR + 2.15%), 01/26/2032<sup>(a) (f)</sup> |  | 335 | 318510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class M1A<br>8.012% (SOFR + 4.00%), 09/27/2032<sup>(a) (f)</sup> |  | 1387 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1362157 |
|  Connecticut Avenue Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-R07, Class 1M2<br>6.789% (LIBOR 1 Month + 2.40%), 04/25/2031<sup>(a) (f)</sup> |  | 39 | 39127 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R02, Class 1M2<br>6.689% (LIBOR 1 Month + 2.30%), 08/25/2031<sup>(a) (f)</sup> |  | 24 | 23674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R03, Class 1M2<br>6.539% (LIBOR 1 Month + 2.15%), 09/25/2031<sup>(a) (f)</sup> |  | 18 | 17762 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R06, Class 2M2<br>6.489% (LIBOR 1 Month + 2.10%), 09/25/2039<sup>(a) (f)</sup> |  | 10 | 10011 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-R07, Class 1M2<br>6.489% (LIBOR 1 Month + 2.10%), 10/25/2039<sup>(a) (f)</sup> |  | 91 | 90835 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R01, Class 1M2<br>6.439% (LIBOR 1 Month + 2.05%), 01/25/2040<sup>(a) (f)</sup> |  | 264 | 262359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-R02, Class 2M2<br>6.389% (LIBOR 1 Month + 2.00%), 01/25/2040<sup>(a) (f)</sup> |  | 216 | 212440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1M1<br>4.678% (SOFR + 0.75%), 10/25/2041<sup>(a) (f)</sup> |  | 16 | 15570 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R01, Class 1M2<br>5.478% (SOFR + 1.55%), 10/25/2041<sup>(a) (f)</sup> |  | 48 | 46491 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R03, Class 1M2<br>5.578% (SOFR + 1.65%), 12/25/2041<sup>(a) (f)</sup> |  | 200 | 188638 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R01, Class 1M2<br>5.828% (SOFR + 1.90%), 12/25/2041<sup>(a) (f)</sup> |  | 1987 | 1886613 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M1<br>5.128% (SOFR + 1.20%), 01/25/2042<sup>(a) (f)</sup> |  | 445 | 435613 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R02, Class 2M2<br>6.928% (SOFR + 3.00%), 01/25/2042<sup>(a) (f)</sup> |  | 602 | 567220 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R03, Class 1M2<br>7.428% (SOFR + 3.50%), 03/25/2042<sup>(a) (f)</sup> | U.S.$| 1602 | $1621834 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R04, Class 1M2<br>7.028% (SOFR + 3.10%), 03/25/2042<sup>(a) (f)</sup> |  | 130 | 129062 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R05, Class 2M2<br>6.928% (SOFR + 3.00%), 04/25/2042<sup>(a) (f)</sup> |  | 1234 | 1194391 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R06, Class 1M1<br>6.678% (SOFR + 2.75%), 05/25/2042<sup>(a) (f)</sup> |  | 529 | 535157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-R07, Class 1M1<br>6.894% (SOFR + 2.95%), 06/25/2042<sup>(a) (f)</sup> |  | 715 | 721432 |
|  Eagle Re Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class M1<br>6.089% (LIBOR 1 Month + 1.70%), 11/25/2028<sup>(a) (f)</sup> |  | 208 | 206936 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class M2<br>7.389% (LIBOR 1 Month + 3.00%), 11/25/2028<sup>(a) (f)</sup> |  | 295 | 295369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class M1B<br>5.978% (SOFR + 2.05%), 04/25/2034<sup>(a) (f)</sup> |  | 216 | 210235 |
|  Federal Home Loan Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-DNA4, Class M2<br>6.339% (LIBOR 1 Month + 1.95%), 10/25/2049<sup>(a) (f)</sup> |  | 76 | 76333 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA1, Class M2<br>6.089% (LIBOR 1 Month + 1.70%), 01/25/2050<sup>(a) (f)</sup> |  | 168 | 167324 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DNA5, Class M2<br>6.728% (SOFR + 2.80%), 10/25/2050<sup>(a) (f)</sup> |  | 635 | 639745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA5, Class M2<br>5.578% (SOFR + 1.65%), 01/25/2034<sup>(a) (f)</sup> |  | 485 | 478475 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class M2<br>5.428% (SOFR + 1.50%), 10/25/2041<sup>(a) (f)</sup> |  | 1965 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1866355 |
|  Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes<br>4.678% (SOFR + 0.75%), 10/25/2033<sup>(a) (f)</sup> |  | 216 | 214139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-DN2, Class M2<br>8.639% (LIBOR 1 Month + 4.25%), 11/25/2023<sup>(f)</sup> |  | 137 | 138496 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-DNA1, Class M3<br>7.689% (LIBOR 1 Month + 3.30%), 10/25/2027<sup>(f)</sup> |  | 65 | 65657 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-HQA2, Class M3<br>9.189% (LIBOR 1 Month + 4.80%), 05/25/2028<sup>(f)</sup> | U.S.$| 86 | $88723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-DNA3, Class M2<br>6.439% (LIBOR 1 Month + 2.05%), 07/25/2049<sup>(a) (f)</sup> |  | 37 | 35808 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA6, Class M1<br>4.728% (SOFR + 0.80%), 10/25/2041<sup>(a) (f)</sup> |  | 64 | 63223 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DNA7, Class M2<br>5.728% (SOFR + 1.80%), 11/25/2041<sup>(a) (f)</sup> |  | 2181 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2048152 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HQA4, Class M2<br>6.278% (SOFR + 2.35%), 12/25/2041<sup>(a) (f)</sup> |  | 415 | 366070 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA1, Class M1B<br>5.778% (SOFR + 1.85%), 01/25/2042<sup>(a) (f)</sup> |  | 731 | 693424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA2, Class M1B<br>6.328% (SOFR + 2.40%), 02/25/2042<sup>(a) (f)</sup> |  | 561 | 545440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA3, Class M1A<br>5.928% (SOFR + 2.00%), 04/25/2042<sup>(a) (f)</sup> |  | 353 | 351076 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA3, Class M1B<br>6.828% (SOFR + 2.90%), 04/25/2042<sup>(a) (f)</sup> |  | 239 | 236588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA4, Class M1B<br>7.278% (SOFR + 3.35%), 05/25/2042<sup>(a) (f)</sup> |  | 878 | 882765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA5, Class M1B<br>8.428% (SOFR + 4.50%), 06/25/2042<sup>(a) (f)</sup> |  | 1591 | 1663133 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA6, Class M1A<br>6.078% (SOFR + 2.15%), 09/25/2042<sup>(a) (f)</sup> |  | 564 | 564677 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-DNA7, Class M1A<br>6.428% (SOFR + 2.50%), 03/25/2052<sup>(a) (f)</sup> |  | 1406 | 1410871 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HQA1, Class M1B<br>7.428% (SOFR + 3.50%), 03/25/2042<sup>(a) (f)</sup> |  | 134 | 132792 |
|  Federal National Mortgage Association Connecticut Avenue Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C04, Class 1M2<br>9.289% (LIBOR 1 Month + 4.90%), 11/25/2024<sup>(f)</sup> |  | 204 | 209193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C04, Class 2M2<br>9.389% (LIBOR 1 Month + 5.00%), 11/25/2024<sup>(f)</sup> |  | 26 | 26436 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C01, Class 1M2<br>8.689% (LIBOR 1 Month + 4.30%), 02/25/2025<sup>(f)</sup> | U.S.$| 129 | $131157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C02, Class 1M2<br>8.389% (LIBOR 1 Month + 4.00%), 05/25/2025<sup>(f)</sup> |  | 204 | 205132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C03, Class 1M2<br>9.389% (LIBOR 1 Month + 5.00%), 07/25/2025<sup>(f)</sup> |  | 227 | 230084 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C04, Class 1M2<br>10.089% (LIBOR 1 Month + 5.70%), 04/25/2028<sup>(f)</sup> |  | 328 | 346194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C04, Class 2M2<br>9.939% (LIBOR 1 Month + 5.55%), 04/25/2028<sup>(f)</sup> |  | 180 | 185301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C01, Class 2M2<br>11.339% (LIBOR 1 Month + 6.95%), 08/25/2028<sup>(f)</sup> |  | 55 | 57917 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C02, Class 1M2<br>10.389% (LIBOR 1 Month + 6.00%), 09/25/2028<sup>(f)</sup> |  | 153 | 157769 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C04, Class 2M2<br>7.239% (LIBOR 1 Month + 2.85%), 11/25/2029<sup>(f)</sup> |  | 348 | 350385 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R02, Class 2M2<br>5.928% (SOFR + 2.00%), 11/25/2041<sup>(a) (f)</sup> |  | 630 | 586353 |
|  JPMorgan Madison Avenue Securities Trust <br>Series 2014-CH1, Class M2 <br>8.639% (LIBOR 1 Month + 4.25%), 11/25/2024<sup>(f) (g)</sup> |  | 20 | 19310 |
|  PMT Credit Risk Transfer Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2R, Class A<br>7.137% (LIBOR 1 Month + 2.75%), 05/27/2023<sup>(a) (f)</sup> |  | 607 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;580602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3R, Class A<br>8.087% (LIBOR 1 Month + 3.70%), 11/27/2031<sup>(a) (f)</sup> |  | 66 | 63007 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1R, Class A<br>6.737% (LIBOR 1 Month + 2.35%), 02/27/2023<sup>(f) (g)</sup> |  | 150 | 141791 |
|  Radnor Re Ltd.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M1B<br>6.339% (LIBOR 1 Month + 1.95%), 02/25/2029<sup>(a) (f)</sup> |  | 809 | 799873 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M1B<br>6.139% (LIBOR 1 Month + 1.75%), 06/25/2029<sup>(a) (f)</sup> |  | 124 | 123550 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M1A<br>5.339% (LIBOR 1 Month + 0.95%), 01/25/2030<sup>(a) (f)</sup> |  | 75 | 74535 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Traingle Re Ltd. <br>Series 2021-3, Class M1A <br>5.828% (SOFR + 1.90%), 02/25/2034<sup>(a) (f)</sup> | U.S.$| 296 | $294244 |
|  Wells Fargo Credit Risk Transfer Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-WF1, Class 1M2<br>9.639% (LIBOR 1 Month + 5.25%), 11/25/2025<sup>(f) (g)</sup> |  | 126 | 117291 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-WF1, Class 2M2<br>9.889% (LIBOR 1 Month + 5.50%), 11/25/2025<sup>(f) (g)</sup> |  | 32 | 30028 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31603501 |
|  **Agency Floating Rate – 0.2%** |  |  |  |
|  Federal Home Loan Mortgage Corp. REMICs<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4693, Class SL<br>1.832% (6.15% - LIBOR 1 Month), 06/15/2047<sup>(f) (h)</sup> |  | 1327 | 140951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4719, Class JS<br>1.832% (6.15% - LIBOR 1 Month), 09/15/2047<sup>(f) (h)</sup> |  | 401 | 41539 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4954, Class SL<br>1.661% (6.05% - LIBOR 1 Month), 02/25/2050<sup>(f) (h)</sup> |  | 1367 | 139512 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4981, Class HS<br>1.711% (6.10% - LIBOR 1 Month), 06/25/2050<sup>(f) (h)</sup> |  | 3239 | 312485 |
|  Federal National Mortgage Association REMICs<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-131, Class ST 2.151% (6.54% - LIBOR 1 Month),<br>12/25/2041<sup>(f) (h)</sup> |  | 607 | 77053 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-17, Class SA<br>1.661% (6.05% - LIBOR 1 Month), 04/25/2044<sup>(f) (h)</sup> |  | 1718 | 189932 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-78, Class SE<br>1.711% (6.10% - LIBOR 1 Month), 12/25/2044<sup>(f) (h)</sup> |  | 480 | 45711 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-77, Class DS<br>1.611% (6.00% - LIBOR 1 Month), 10/25/2046<sup>(f) (h)</sup> |  | 1075 | 104486 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-62, Class AS<br>1.761% (6.15% - LIBOR 1 Month), 08/25/2047<sup>(f) (h)</sup> |  | 516 | 57114 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-81, Class SA<br>1.811% (6.20% - LIBOR 1 Month), 10/25/2047<sup>(f) (h)</sup> |  | 520 | 60625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-97, Class LS<br>1.811% (6.20% - LIBOR 1 Month), 12/25/2047<sup>(f) (h)</sup> |  | 1051 | 115572 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-97, Class SW<br>1.811% (6.20% - LIBOR 1 Month), 12/25/2047<sup>(f) (h)</sup> |  | 543 | 56662 |
|  Government National Mortgage Association |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-122, Class SA<br>1.847% (6.20% - LIBOR 1 Month), 08/20/2047<sup>(f) (h)</sup> |  | 509 | 56641 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-134, Class SE<br>1.847% (6.20% - LIBOR 1 Month),<br>09/20/2047<sup>(f) (h)</sup> | U.S.$| 365 | $33900 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-65, Class ST<br>1.797% (6.15% - LIBOR 1 Month),<br>04/20/2047<sup>(f) (h)</sup> |  | 646 | 74413 |
|  |  |  | 1506596 |
|  **Agency Fixed Rate – 0.2%** |  |  |  |
|  Federal Home Loan Mortgage Corp. REMICs <br>Series 5015, Class BI <br>4.00%, 09/25/2050<sup>(i)</sup> |  | 2275 | 425219 |
|  Federal National Mortgage Association REMICs <br>Series 2020-89, Class KI <br>4.00%, 12/25/2050<sup>(i)</sup> |  | 4925 | 919801 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1345020 |
|  **Non-Agency Floating Rate – 0.0%** |  |  |  |
|  JPMorgan Chase Bank, NA <br>Series 2019-CL1, Class M3 <br>6.489% (LIBOR 1 Month + 2.10%), 04/25/2047<sup>(a) (f)</sup> |  | 123 | 118276 |
|  **Total Collateralized Mortgage Obligations** <br> (cost $35,037,096) |  |  | 34573393 |
|  | **Shares** | **Shares** |  |
|  **INVESTMENT COMPANIES – 3.7%** |  |  |  |
|  **Funds and Investment Trusts – 3.7%** |  |  |  |
|  AB All Market Real Return Portfolio - Class Z <br>(cost $34,349,353)<sup>(j) (k)</sup> |  | 3721380 | 31817797 |
|  | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** |  |
|  **ASSET-BACKED SECURITIES – 3.0%** |  |  |  |
|  **Autos - Fixed Rate – 1.6%** |  |  |  |
|  ACM Auto Trust <br>Series 2022-1A, Class A <br>3.23%, 04/20/2029<sup>(a)</sup> | U.S.$| 320 | 319098 |
|  Avis Budget Rental Car Funding AESOP LLC<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class D<br>4.56%, 03/20/2024<sup>(a)</sup> |  | 528 | 526247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A<br>3.70%, 09/20/2024<sup>(a)</sup> |  | 1240 | 1227715 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A<br>4.00%, 03/20/2025<sup>(a)</sup> |  | 500 | 491558 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Carvana Auto Receivables Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N3, Class C<br>1.02%, 06/12/2028 | U.S.$| 430 | $415647 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-N4, Class D<br>2.30%, 09/11/2028 |  | 215 | 195211 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-P4, Class D<br>2.61%, 09/11/2028 |  | 596 | 470144 |
|  CPS Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class D<br>1.69%, 06/15/2027<sup>(a)</sup> |  | 740 | 677859 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class C<br>2.17%, 04/16/2029<sup>(a)</sup> |  | 824 | 769293 |
|  FHF Trust <br>Series 2021-2A, Class A <br>0.83%, 12/15/2026<sup>(a)</sup> |  | 281 | 267479 |
|  First Investors Auto Owner Trust<br>Series 2022-2A, Class A<br>6.26%, 07/15/2027<sup>(a)</sup> |  | 560 | 559248 |
|  Ford Credit Auto Owner Trust <br>Series 2021-1, Class D <br>2.31%, 10/17/2033<sup>(a)</sup> |  | 824 | 716286 |
|  Hertz Vehicle Financing III LLC <br>Series 2022-1A, Class C <br>2.63%, 06/25/2026<sup>(a)</sup> |  | 380 | 337209 |
|  LAD Auto Receivables Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A 1.30%, 08/17/2026<sup>(a)</sup> |  | 407 | 395104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A 5.21%, 06/15/2027<sup>(a)</sup> |  | 860 | 846236 |
|  Prestige Auto Receivables Trust <br>Series 2022-1A, Class A2 <br>5.90%, 07/15/2025<sup>(a)</sup> |  | 681 | 680806 |
|  Research-Driven Pagaya Motor Asset Trust VII <br>Series 2022-3A, Class A <br>5.38%, 11/25/2030<sup>(a)</sup> |  | 1018 | 991901 |
|  Santander Bank Auto Credit-Linked Notes |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B<br>5.281%, 05/15/2032<sup>(a)</sup> |  | 876 | 854817 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class B<br>5.721%, 08/16/2032<sup>(a)</sup> |  | 1209 | 1204877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class B<br>6.451%, 12/15/2032<sup>(a)</sup> |  | 934 | 934516 |
|  Santander Bank NA - SBCLN <br>Series 2021-1A, Class B <br>1.833%, 12/15/2031<sup>(a)</sup> |  | 191 | 183857 |
|  United Auto Credit Securitization Trust <br>Series 2022-2, Class A <br>4.39%, 04/10/2025<sup>(a)</sup> |  | 717 | 713599 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13778707 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Other ABS - Fixed Rate – 1.3%** |  |  |  |
|  AB Issuer LLC <br>Series 2021-1, Class A2 <br>3.734%, 07/30/2051<sup>(a)</sup> | U.S.$| 1143 | $911837 |
|  Affirm Asset Securitization Trust<br>Series 2021-Z1, Class A<br>1.07%, 08/15/2025<sup>(a)</sup> |  | 184 | 178821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-Z2, Class A<br>1.17%, 11/16/2026<sup>(a)</sup> |  | 205 | 196566 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-X1, Class A<br>1.75%, 02/15/2027<sup>(a)</sup> |  | 504 | 490332 |
|  Amur Equipment Finance Receivables XI LLC <br>Series 2022-2A, Class A2 <br>5.30%, 06/21/2028<sup>(a)</sup> |  | 425 | 420309 |
|  Atalaya Equipment Leasing Trust <br>Series 2021-1A, Class B <br>2.08%, 02/15/2027<sup>(a)</sup> |  | 249 | 233434 |
|  BHG Securitization Trust <br>Series 2022-A, Class A <br>1.71%, 02/20/2035<sup>(a)</sup> |  | 77 | 71984 |
|  Cajun Global LLC <br>Series 2021-1, Class A2 <br>3.931%, 11/20/2051<sup>(a)</sup> |  | 240 | 203548 |
|  CNH Equipment Trust <br>Series 2022-C, Class A2 <br>5.42%, 07/15/2026 |  | 336 | 337267 |
|  College Ave Student Loans <br>Series 2021-C, Class B <br>2.72%, 07/26/2055<sup>(a)</sup> |  | 311 | 253989 |
|  Conn's Receivables Funding <br>Series 2021-A, Class A <br>1.05%, 05/15/2026<sup>(a)</sup> |  | 1 | 1193 |
|  Diamond Issuer <br>Series 2021-1A, Class A <br>2.305%, 11/20/2051<sup>(a)</sup> |  | 1139 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;943791 |
|  Domino's Pizza Master Issuer LLC <br>Series 2021-1A, Class A2I <br>2.662%, 04/25/2051<sup>(a)</sup> |  | 623 | 517738 |
|  GCI Funding I LLC <br>Series 2021-1, Class A <br>2.38%, 06/18/2046<sup>(a)</sup> |  | 423 | 359464 |
|  Hardee's Funding LLC<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A23<br>5.71%, 06/20/2048<sup>(a)</sup> |  | 566 | 520584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A2 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.981%, 12/20/2050<sup>(a)</sup> |  | 429 | 367402 |
|  Hpefs Equipment Trust <br>Series 2022-3A, Class A2 <br>5.26%, 08/20/2029<sup>(a)</sup> |  | 297 | 296064 |
|  Marlette Funding Trust <br>Series 2022-2A, Class A <br>4.25%, 08/15/2032<sup>(a)</sup> |  | 237 | 233612 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  MVW LLC <br>Series 2021-2A, Class B <br>1.83%, 05/20/2039<sup>(a)</sup> | U.S.$| 485 | $434438 |
|  Neighborly Issuer <br>Series 2022-1A, Class A2 <br>3.695%, 01/30/2052<sup>(a)</sup> |  | 835 | 661607 |
|  Neighborly Issuer LLC <br>Series 2021-1A, Class A2 <br>3.584%, 04/30/2051<sup>(a)</sup> |  | 445 | 355803 |
|  Nelnet Student Loan Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class B<br>2.68%, 04/20/2062<sup>(a)</sup> |  | 140 | 111219 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class B<br>2.53%, 04/20/2062<sup>(a)</sup> |  | 859 | 668882 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class B<br>2.90%, 04/20/2062<sup>(a)</sup> |  | 457 | 364127 |
|  NMEF Funding LLC <br>Series 2022-B, Class A2 <br>6.07%, 06/15/2029<sup>(a)</sup> |  | 450 | 449270 |
|  SBA Tower Trust <br>Series 2014-2A, Class C <br>3.869%, 10/15/2049<sup>(a)</sup> |  | 774 | 739549 |
|  Upstart Securitization Trust <br>Series 2021-3, Class B <br>1.66%, 07/20/2031<sup>(a)</sup> |  | 750 | 697421 |
|  |  |  | 11020251 |
|  **Credit Cards - Fixed Rate – 0.1%** |  |  |  |
|  Brex Commercial Charge Card Master Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A<br>2.09%, 07/15/2024<sup>(a)</sup> |  | 602 | 595468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A<br>4.63%, 07/15/2025<sup>(a)</sup> |  | 555 | 537378 |
|  Mission Lane Credit Card Master Trust <br>Series 2021-A, Class B <br>2.24%, 09/15/2026<sup>(a)</sup> |  | 244 | 236268 |
|  |  |  | 1369114 |
|  Total Asset-Backed Securities**** <br> (cost $28,362,277) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;26168072 |
|  **COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.3%** |  |  |  |
|  **Non-Agency Floating Rate CMBS – 1.4%** |  |  |  |
|  AREIT Trust <br>Series 2022-CRE6, Class A <br>5.076% (SOFR + 1.25%), 01/16/2037<sup>(a) (f)</sup> |  | 1813 | 1731287 |
|  Ashford Hospitality Trust <br>Series 2018-KEYS, Class A <br>5.318% (LIBOR 1 Month + 1.00%), 06/15/2035<sup>(a) (f)</sup> |  | 600 | 577602 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2017-SCH, Class AF <br>5.318% (LIBOR 1 Month + 1.00%), 11/15/2033<sup>(a) (f)</sup> | U.S.$| 1935 | $1822663 |
|  BBCMS Mortgage Trust <br>Series 2020-BID, Class A <br>6.458% (LIBOR 1 Month + 2.14%), 10/15/2037<sup>(a) (f)</sup> |  | 1089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1050991 |
|  BFLD Trust <br>Series 2021-FPM, Class A <br>5.918% (LIBOR 1 Month + 1.60%), 06/15/2038<sup>(a) (f)</sup> |  | 1653 | 1576635 |
|  BHMS <br>Series 2018-ATLS, Class A <br>5.568% (LIBOR 1 Month + 1.25%), 07/15/2035<sup>(a) (f)</sup> |  | 612 | 587492 |
|  BHP Trust <br>Series 2019-BXHP, Class C <br>5.84% (LIBOR 1 Month + 1.52%), 08/15/2036<sup>(a) (f)</sup> |  | 235 | 224455 |
|  BX Commercial Mortgage Trust <br>Series 2019-IMC, Class E <br>6.468% (LIBOR 1 Month + 2.15%), 04/15/2034<sup>(a) (f)</sup> |  | 430 | 402262 |
|  CLNY Trust <br>Series 2019-IKPR, Class D <br>6.343% (LIBOR 1 Month + 2.02%), 11/15/2038<sup>(a) (f)</sup> |  | 915 | 846191 |
|  DBWF Mortgage Trust <br>Series 2018-GLKS, Class A <br>5.469% (LIBOR 1 Month + 1.03%), 12/19/2030<sup>(a) (f)</sup> |  | 766 | 742537 |
|  Federal Home Loan Mortgage Corp. <br>Series 2021-MN1, Class M1 <br>5.928% (SOFR + 2.00%), 01/25/2051<sup>(a) (f)</sup> |  | 108 | 101400 |
|  GS Mortgage Securities Corp. Trust <br>Series 2019-SMP, Class D <br>6.268% (LIBOR 1 Month + 1.95%), 08/15/2032<sup>(a) (f)</sup> |  | 230 | 217158 |
|  HFX Funding <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035<sup>(g)</sup> |  | 1230 | 1140013 |
|  Invitation Homes Trust <br>Series 2018-SFR4, Class A <br>5.439% (LIBOR 1 Month + 1.10%), 01/17/2038<sup>(a) (f)</sup> |  | 816 | 810182 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Natixis Commercial Mortgage Securities Trust <br>Series 2019-MILE, Class A <br>5.818% (SOFR + 1.50%), 07/15/2036<sup>(a) (f)</sup> | U.S.$| 372 | $356067 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12186935 |
|  **Non-Agency Fixed Rate CMBS – 0.9%** |  |  |  |
|  BAMLL Commercial Mortgage Securities Trust <br>Series 2013-WBRK, Class D <br>3.534%, 03/10/2037<sup>(a)</sup> |  | 500 | 311409 |
|  Banc of America Commercial Mortgage Trust <br>Series 2015-UBS7, Class AS <br>3.989%, 09/15/2048 |  | 85 | 78796 |
|  Commercial Mortgage Trust <br>Series 2010-C1, Class D <br>5.792%, 07/10/2046<sup>(a)</sup> |  | 969 | 938932 |
|  GS Mortgage Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-GC5, Class AS<br>5.154%, 08/10/2044<sup>(a)</sup> |  | 410 | 402743 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-GC5, Class D<br>5.154%, 08/10/2044<sup>(a)</sup> |  | 114 | 47402 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-G1, Class A2<br>3.557%, 04/10/2031<sup>(a)</sup> |  | 573 | 568931 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-GC12, Class B<br>3.777%, 06/10/2046 |  | 465 | 458162 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC18, Class D<br>5.055%, 01/10/2047<sup>(a)</sup> |  | 40 | 16202 |
|  GSF<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A1<br>1.433%, 08/15/2026<sup>(g) (l)</sup> |  | 412 | 382895 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A2<br>2.435%, 08/15/2026<sup>(g) (l)</sup> |  | 1071 | 1007673 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class AS<br>2.638%, 08/15/2026<sup>(g) (l)</sup> |  | 39 | 35384 |
|  JPMBB Commercial Mortgage Securities Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C21, Class B<br>4.341%, 08/15/2047 |  | 150 | 139572 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C22, Class XA<br>0.799%, 09/15/2047<sup>(i)</sup> |  | 12852 | 120576 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C26, Class AS<br>3.80%, 01/15/2048 |  | 770 | 725360 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C33, Class AS<br>4.023%, 12/15/2048 |  | 440 | 412212 |
|  JPMorgan Chase Commercial Mortgage Securities Trust <br>Series 2012-C6, Class E <br>4.964%, 05/15/2045<sup>(a)</sup> |  | 375 | 303294 |
|  LB-UBS Commercial Mortgage Trust <br>Series 2006-C6, Class AJ <br>5.452%, 09/15/2039 |  | 117 | 51130 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  LSTAR Commercial Mortgage Trust <br>Series 2016-4, Class A2 <br>2.579%, 03/10/2049<sup>(a)</sup> | U.S.$| 375 | $373979 |
|  Morgan Stanley Capital I Trust <br>Series 2011-C3, Class C <br>5.083%, 07/15/2049<sup>(a)</sup> |  | 61 | 59852 |
|  UBS Commercial Mortgage Trust <br>Series 2019-C17, Class AS <br>3.203%, 10/15/2052 |  | 364 | 302515 |
|  Wells Fargo Commercial Mortgage Trust<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-LC25, Class C<br>4.342%, 12/15/2059 |  | 125 | 106539 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NXS6, Class C<br>4.386%, 11/15/2049 |  | 750 | 652975 |
|  WF-RBS Commercial Mortgage Trust <br>Series 2014-C24, Class AS <br>3.931%, 11/15/2047 |  | 143 | 136082 |
|  |  |  | 7632615 |
|  Total Commercial Mortgage-Backed Securities <br>(cost $21,417,717) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19819550 |
|  **COLLATERALIZED LOAN OBLIGATIONS – 2.0%** |  |  |  |
|  **CLO - Floating Rate – 2.0%** |  |  |  |
|  AGL CLO 10 Ltd. <br>Series 2021-10A, Class A <br>5.209% (LIBOR 3 Month + 1.13%), 04/15/2034<sup>(a) (f)</sup> |  | 330 | 320851 |
|  AGL CLO 12 Ltd. <br>Series 2021-12A, Class D <br>7.093% (LIBOR 3 Month + 2.85%), 07/20/2034<sup>(a) (f)</sup> |  | 350 | 316168 |
|  AGL CLO 16 Ltd. <br>Series 2021-16A, Class A <br>5.373% (LIBOR 3 Month + 1.13%), 01/20/2035<sup>(a) (f)</sup> |  | 1028 | 995800 |
|  Balboa Bay Loan Funding Ltd.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class DR<br>7.393% (LIBOR 3 Month + 3.15%), 01/20/2032<sup>(a) (f)</sup> |  | 700 | 627633 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A<br>5.443% (LIBOR 3 Month + 1.20%), 07/20/2034<sup>(a) (f)</sup> |  | 816 | 795739 |
|  Ballyrock CLO 15 Ltd. <br>Series 2021-1A, Class C <br>7.179% (LIBOR 3 Month + 3.10%), 04/15/2034<sup>(a) (f)</sup> |  | 375 | 344970 |
|  Ballyrock CLO 17 Ltd. <br>Series 2021-17A, Class A1A <br>5.393% (LIBOR 3 Month + 1.15%), 10/20/2034<sup>(a) (f)</sup> |  | 250 | 243637 |
|  Dryden 78 CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-78A, Class C<br>6.029% (LIBOR 3 Month + 1.95%), 04/17/2033<sup>(a) (f)</sup> |  | 830 | 781362 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-78A, Class D<br>7.079% (LIBOR 3 Month + 3.00%), 04/17/2033<sup>(a) (f)</sup> | U.S.$| 250 | $229445 |
|  Elevation CLO Ltd. <br>Series 2020-11A, Class C <br>6.279% (LIBOR 3 Month + 2.20%), 04/15/2033<sup>(a) (f)</sup> |  | 670 | 610148 |
|  Elmwood CLO IX Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A<br>5.373% (LIBOR 3 Month + 1.13%), 07/20/2034<sup>(a) (f)</sup> |  | 452 | 441029 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D<br>7.193% (LIBOR 3 Month + 2.95%), 07/20/2034<sup>(a) (f)</sup> |  | 368 | 344650 |
|  Flatiron CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1<br>5.337% (LIBOR 3 Month + 1.11%), 07/19/2034<sup>(a) (f)</sup> |  | 340 | 331686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D<br>7.127% (LIBOR 3 Month + 2.90%), 07/19/2034<sup>(a) (f)</sup> |  | 390 | 359313 |
|  Goldentree Loan Management US CLO 7 Ltd. <br>Series 2020-7A, Class AR <br>5.313% (LIBOR 3 Month + 1.07%), 04/20/2034<sup>(a) (f)</sup> |  | 883 | 857370 |
|  ICG US CLO Ltd. <br>Series 2015-1A, Class A1R <br>5.367% (LIBOR 3 Month + 1.14%), 10/19/2028<sup>(a) (f)</sup> |  | 385 | 380668 |
|  Kings Park CLO Ltd. <br>Series 2021-1A, Class A <br>5.408% (LIBOR 3 Month + 1.13%), 01/21/2035<sup>(a) (f)</sup> |  | 250 | 242726 |
|  Magnetite XXVI Ltd. <br>Series 2020-26A, Class A1R <br>5.478% (LIBOR 3 Month + 1.12%), 07/25/2034<sup>(a) (f)</sup> |  | 1576 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1535766 |
|  Marble Point CLO XI Ltd. <br>Series 2017-2A, Class A <br>5.374% (LIBOR 3 Month + 1.18%), 12/18/2030<sup>(a) (f)</sup> |  | 678 | 666640 |
|  Neuberger Berman Loan Advisers CLO 42 Ltd. <br>Series 2021-42A, Class D <br>6.879% (LIBOR 3 Month + 2.80%), 07/16/2035<sup>(a) (f)</sup> |  | 455 | 421613 |
|  Neuberger Berman Loan Advisers CLO 43 Ltd. <br>Series 2021-43A, Class A <br>5.209% (LIBOR 3 Month + 1.13%), 07/17/2035<sup>(a) (f)</sup> |  | 965 | 943082 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Neuberger Berman Loan Advisers CLO Ltd. <br>Series 2021-42A, Class A <br>5.179% (LIBOR 3 Month + 1.10%), 07/16/2035<sup>(a) (f)</sup> | U.S.$| 197 | $192004 |
|  OCP CLO Ltd. <br>Series 2020-18A, Class AR <br>5.333% (LIBOR 3 Month + 1.09%), 07/20/2032<sup>(a) (f)</sup> |  | 1156 | 1130374 |
|  Octagon Loan Funding Ltd. <br>Series 2014-1A, Class ARR <br>5.854% (LIBOR 3 Month + 1.18%), 11/18/2031<sup>(a) (f)</sup> |  | 461 | 453181 |
|  OZLM XVIII Ltd. <br>Series 2018-18A, Class A <br>5.099% (LIBOR 3 Month + 1.02%), 04/15/2031<sup>(a) (f)</sup> |  | 745 | 728556 |
|  Peace Park CLO Ltd. <br>Series 2021-1A, Class A <br>5.373% (LIBOR 3 Month + 1.13%), 10/20/2034<sup>(a) (f)</sup> |  | 287 | 279445 |
|  Pikes Peak CLO 8 <br>Series 2021-8A, Class A <br>5.413% (LIBOR 3 Month + 1.17%), 07/20/2034<sup>(a) (f)</sup> |  | 1046 | 1021887 |
|  Rad CLO 7 Ltd. <br>Series 2020-7A, Class C <br>6.079% (LIBOR 3 Month + 2.00%), 04/17/2033<sup>(a) (f)</sup> |  | 250 | 237185 |
|  Regatta XIX Funding Ltd. <br>Series 2022-1A, Class A1 <br>5.283% (SOFR + 1.32%), 04/20/2035<sup>(a) (f)</sup> |  | 250 | 241360 |
|  Regatta XXIV Funding Ltd. <br>Series 2021-5A, Class A1 <br>5.393% (LIBOR 3 Month + 1.15%), 01/20/2035<sup>(a) (f)</sup> |  | 250 | 242993 |
|  Rockford Tower CLO Ltd.<br>Series 2021-1A, Class D<br>7.243% (LIBOR 3 Month + 3.00%), 07/20/2034<sup>(a) (f)</sup> |  | 600 | 551965 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D<br>7.493% (LIBOR 3 Month + 3.25%), 07/20/2034<sup>(a) (f)</sup> |  | 449 | 392643 |
|  Voya CLO Ltd. <br>Series 2019-1A, Class DR <br>6.929% (LIBOR 3 Month + 2.85%), 04/15/2031<sup>(a) (f)</sup> |  | 340 | 294966 |
|  Total Collateralized Loan Obligations <br>(cost $18,328,781) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;17556855 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **CORPORATES - NON-INVESTMENT GRADE – 1.8%** | **CORPORATES - NON-INVESTMENT GRADE – 1.8%** | **CORPORATES - NON-INVESTMENT GRADE – 1.8%** | **CORPORATES - NON-INVESTMENT GRADE – 1.8%** |
|  **Industrial – 1.2%** | **Industrial – 1.2%** | **Industrial – 1.2%** | **Industrial – 1.2%** |
|  **Basic – 0.1%** | **Basic – 0.1%** | **Basic – 0.1%** | **Basic – 0.1%** |
|  INEOS Quattro Finance 2 PLC <br>2.50%, 01/15/2026<sup>(a)</sup> | EUR | 603 | $547955 |
|  Rimini Bidco SpA <br>7.296% (EURIBOR 3 Month + 5.25%), 12/14/2026<sup>(a) (f)</sup> |  | 410 | 392508 |
|  |  |  | 940463 |
|  **Capital Goods – 0.0%** |  |  |  |
|  TK Elevator Midco GmbH <br>4.375%, 07/15/2027<sup>(a)</sup> |  | 320 | 303644 |
|  **Communications - Media – 0.4%** |  |  |  |
|  Altice Financing SA <br>3.00%, 01/15/2028<sup>(a)</sup> |  | 320 | 270069 |
|  CCO Holdings LLC/CCO Holdings Capital Corp.<br>4.50%, 08/15/2030<sup>(a)</sup> | U.S.$| 153 | 126687 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/2033<sup>(a)</sup> |  | 539 | 415073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/2032<sup>(a)</sup> |  | 655 | 531015 |
|  DISH DBS Corp.<br>5.25%, 12/01/2026<sup>(a)</sup> |  | 1260 | 1062848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 12/01/2028<sup>(a)</sup> |  | 875 | 698923 |
|  Summer BC Holdco B SARL <br>5.75%, 10/31/2026<sup>(a)</sup> | EUR | 320 | 292183 |
|  VZ Vendor Financing II BV <br>2.875%, 01/15/2029<sup>(a)</sup> |  | 320 | 263615 |
|  |  |  | 3660413 |
|  **Communications - Telecommunications – 0.1%** |  |  |  |
|  Altice France SA/France <br>3.375%, 01/15/2028<sup>(a)</sup> |  | 320 | 257812 |
|  Lorca Telecom Bondco SA <br>4.00%, 09/18/2027<sup>(a)</sup> |  | 320 | 306190 |
|  |  |  | 564002 |
|  **Consumer Cyclical - Automotive – 0.1%** |  |  |  |
|  Ford Motor Co. <br>6.10%, 08/19/2032 | U.S.$| 532 | 492877 |
|  ZF Finance GmbH <br>2.00%, 05/06/2027<sup>(a)</sup> | EUR | 500 | 436904 |
|  |  |  | 929781 |
|  **Consumer Cyclical - Entertainment – 0.2%** |  |  |  |
|  Carnival Corp. <br>4.00%, 08/01/2028<sup>(a)</sup> | U.S.$| 1057 | 861128 |
|  Carnival PLC <br>1.00%, 10/28/2029 | EUR | 490 | 214377 |
|  Royal Caribbean Cruises Ltd. <br>8.25%, 01/15/2029<sup>(a)</sup> | U.S.$| 628 | 631579 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1707084 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Consumer Cyclical - Other – 0.1%** | **Consumer Cyclical - Other – 0.1%** | **Consumer Cyclical - Other – 0.1%** | **Consumer Cyclical - Other – 0.1%** |
|  Allwyn Entertainment Financing UK PLC <br>5.887% (EURIBOR 3 Month + 4.12%), 02/15/2028<sup>(a) (f)</sup> | EUR | 199 | $207161 |
|  NH Hotel Group SA <br>4.00%, 07/02/2026<sup>(a)</sup> |  | 320 | 314555 |
|  |  |  | 521716 |
|  **Consumer Cyclical - Restaurants – 0.0%** |  |  |  |
|  Stonegate Pub Co. Financing 2019 PLC <br>8.25%, 07/31/2025<sup>(a)</sup> | GBP | 230 | 251340 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC<br>3.50%, 02/15/2023<sup>(a)</sup> | U.S.$| 236 | 234617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/2029<sup>(a)</sup> |  | 307 | 257432 |
|  Grifols SA <br>1.625%, 02/15/2025<sup>(a)</sup> | EUR | 128 | 129423 |
|  IQVIA, Inc. <br>2.25%, 03/15/2029<sup>(a)</sup> |  | 200 | 179938 |
|  Organon & Co./Organon Foreign Debt Co-Issuer BV <br>2.875%, 04/30/2028<sup>(a)</sup> |  | 200 | 187114 |
|  |  |  | 988524 |
|  **Services – 0.1%** |  |  |  |
|  APCOA Parking Holdings GmbH <br>4.625%, 01/15/2027<sup>(a)</sup> |  | 320 | 293765 |
|  Verisure Holding AB <br>3.25%, 02/15/2027<sup>(a)</sup> |  | 395 | 366930 |
|  |  |  | 660695 |
|  **Technology – 0.0%** |  |  |  |
|  Cedacri Mergeco SpA <br>6.387% (EURIBOR 3 Month + 4.62%), 05/15/2028<sup>(a) (f)</sup> |  | 130 | 129569 |
|  Playtech PLC <br>4.25%, 03/07/2026<sup>(a)</sup> |  | 200 | 201396 |
|  |  |  | 330965 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;10858627 |
|  **Financial Institutions – 0.5%** |  |  |  |
|  **Banking – 0.4%** |  |  |  |
|  Credit Suisse Group AG<br>7.50%, 07/17/2023<sup>(a) (d)</sup> | U.S.$| 1016 | 817921 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.50%, 12/11/2023<sup>(a) (d)</sup> |  | 750 | 655665 |
|  Discover Financial Services <br>Series D <br>6.125%, 06/23/2025<sup>(d)</sup> |  | 922 | 896912 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Societe Generale SA <br>7.875%, 12/18/2023<sup>(a) (d)</sup> | U.S.$| 695 | $689148 |
|  |  |  | 3059646 |
|  **Finance – 0.0%** |  |  |  |
|  SLM Corp. <br>4.20%, 10/29/2025 |  | 311 | 283225 |
|  **Other Finance – 0.0%** |  |  |  |
|  Motion Finco Sarl <br>7.00%, 05/15/2025<sup>(a)</sup> | EUR | 255 | 271706 |
|  **REITs – 0.1%** |  |  |  |
|  Vivion Investments SARL <br>3.00%, 08/08/2024<sup>(a)</sup> |  | 600 | 501009 |
|  |  |  | 4115586 |
|  **Utility – 0.1%** |  |  |  |
|  **Electric – 0.1%** |  |  |  |
|  EDP - Energias de Portugal SA <br>Series NC5. <br>1.50%, 03/14/2082<sup>(a)</sup> |  | 300 | 261841 |
|  Vistra Corp. <br>7.00%, 12/15/2026<sup>(a) (d)</sup> | U.S.$| 384 | 350058 |
|  |  |  | 611899 |
|  Total Corporates - Non-Investment Grade <br>(cost $18,787,773) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;15586112 |
|  | **Notional<br>Amount** | **Notional<br>Amount** |  |
|  **OPTIONS PURCHASED - PUTS – 0.7%** |  |  |  |
|  **Options on Equity Indices – 0.7%** |  |  |  |
|  Euro STOXX 50 Index <br>Expiration: Nov 2023; Contracts: 5,790; Exercise Price: EUR 3,000.00; <br>Counterparty: UBS AG<sup>(m)</sup> | EUR | 17370000 | 537054 |
|  FTSE 100 Index <br>Expiration: Dec 2023; Contracts: 1,220; Exercise Price: GBP 6,200.00; <br>Counterparty: UBS AG<sup>(m)</sup> | GBP | 7564000 | 209735 |
|  Nikkei 225 Index <br>Expiration: Dec 2023; Contracts: 76,000; Exercise Price: JPY 21,750.00; <br>Counterparty: UBS AG<sup>(m)</sup> | JPY | 1653000000 | 458301 |
|  S&P 500 Index <br>Expiration: Nov 2023; Contracts: 44,300; Exercise Price: USD 3,200.00; <br>Counterparty: UBS AG<sup>(m)</sup> | USD | 141760000 | 4805489 |
|  Total Options Purchased - Puts <br>(premiums paid $6,100,074) |  |  | 6010579 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **COVERED BONDS – 0.7%** |  |  |  |
|  Bank of Montreal <br>0.125%, 01/26/2027<sup>(a)</sup> | EUR | 815 | $763329 |
|  Bank of Nova Scotia (The) <br>0.00%, 01/14/2027<sup>(a)</sup> |  | 537 | 500667 |
|  Commonwealth Bank of Australia <br>0.125%, 10/15/2029<sup>(a)</sup> |  | 850 | 724066 |
|  DNB Boligkreditt AS <br>0.625%, 06/19/2025<sup>(a)</sup> |  | 336 | 336868 |
|  National Australia Bank Ltd. <br>0.00%, 01/06/2029<sup>(a)</sup> |  | 850 | 738997 |
|  Nationwide Building Society <br>0.625%, 03/25/2027<sup>(a)</sup> |  | 1655 | 1578331 |
|  Royal Bank of Canada <br>0.125%, 04/26/2027<sup>(a)</sup> |  | 1105 | 1027539 |
|  Total Covered Bonds <br>(cost $6,436,994) |  |  | 5669797 |
|  **GOVERNMENTS - SOVEREIGN BONDS – 0.6%** |  |  |  |
|  **Colombia – 0.1%** |  |  |  |
|  Colombia Government International Bond <br>3.875%, 04/25/2027 | U.S.$| 775 | 684083 |
|  **France – 0.1%** |  |  |  |
|  Dexia Credit Local SA<br>0.00%, 01/21/2028<sup>(a)</sup> | EUR | 1300 | 1181789 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 01/22/2027<sup>(a)</sup> |  | 200 | 188091 |
|  |  |  | 1369880 |
|  **Germany – 0.3%** |  |  |  |
|  Kreditanstalt fuer Wiederaufbau <br>4.10%, 02/20/2026 | AUD | 1999 | 1359155 |
|  Landwirtschaftliche Rentenbank <br>0.00%, 11/27/2029<sup>(a)</sup> | EUR | 1199 | 1041791 |
|  |  |  | 2400946 |
|  **Indonesia – 0.1%** |  |  |  |
|  Indonesia Government International Bond<br>1.00%, 07/28/2029 |  | 225 | 193328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.375%, 07/30/2025<sup>(a)</sup> |  | 470 | 498175 |
|  |  |  | 691503 |
|  **Panama – 0.0%** |  |  |  |
|  Panama Government International Bond <br>6.40%, 02/14/2035 | U.S.$| 426 | 432070 |
|  Total Governments - Sovereign Bonds <br>(cost $5,841,404) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5578482 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **EMERGING MARKETS - CORPORATE BONDS – 0.6%** |  |  |  |
|  **Industrial – 0.6%** |  |  |  |
|  **Basic – 0.1%** |  |  |  |
|  Braskem Idesa SAPI <br>6.99%, 02/20/2032<sup>(a)</sup> | U.S.$| 305 | $217313 |
|  Cia de Minas Buenaventura SAA <br>5.50%, 07/23/2026<sup>(a)</sup> |  | 228 | 195054 |
|  Vedanta Resources Finance II PLC <br>13.875%, 01/21/2024<sup>(a)</sup> |  | 661 | 573128 |
|  Volcan Cia Minera SAA <br>4.375%, 02/11/2026<sup>(a)</sup> |  | 152 | 130701 |
|  |  |  | 1116196 |
|  **Capital Goods – 0.2%** |  |  |  |
|  Embraer Netherlands Finance BV<br>5.40%, 02/01/2027 |  | 725 | 694324 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 01/17/2028<sup>(a)</sup> |  | 652 | 649677 |
|  Odebrecht Holdco Finance Ltd. <br>Zero Coupon 09/10/2058<sup>(a)</sup> |  | 639 | 767 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1344768 |
|  **Communications - Media – 0.1%** |  |  |  |
|  Globo Comunicacao e Participacoes SA <br>4.875%, 01/22/2030<sup>(a)</sup> |  | 1127 | 939847 |
|  **Consumer Cyclical - Other – 0.1%** |  |  |  |
|  Wynn Macau Ltd. <br>5.625%, 08/26/2028<sup>(a)</sup> |  | 587 | 495950 |
|  **Consumer Non-Cyclical – 0.1%** |  |  |  |
|  Natura & Co. Luxembourg Holdings SARL <br>6.00%, 04/19/2029<sup>(a)</sup> |  | 202 | 176283 |
|  Natura & Co., Luxembourg Holdings SARL <br>6.00%, 04/19/2029<sup>(a)</sup> |  | 340 | 296714 |
|  Natura Cosmeticos SA <br>4.125%, 05/03/2028<sup>(a)</sup> |  | 606 | 493814 |
|  |  |  | 966811 |
|  **Energy – 0.0%** |  |  |  |
|  Greenko Solar Mauritius Ltd. <br>5.95%, 07/29/2026<sup>(a)</sup> |  | 200 | 181250 |
|  Leviathan Bond Ltd. <br>6.125%, 06/30/2025<sup>(a)</sup> |  | 196 | 191284 |
|  |  |  | 372534 |
|  |  |  | 5236106 |
|  **Utility – 0.0%** |  |  |  |
|  **Electric – 0.0%** |  |  |  |
|  JSW Hydro Energy Ltd. <br>4.125%, 05/18/2031<sup>(a)</sup> |  | 177 | 147275 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  Terraform Global Operating LP <br>6.125%, 03/01/2026<sup>(g)</sup> | U.S.$| 133 | $123843 |
|  |  |  | 271118 |
|  **Financial Institutions – 0.0%** |  |  |  |
|  **Other Finance – 0.0%** |  |  |  |
|  OEC Finance Ltd.<br>5.25%, 12/27/2033<sup>(a) (n)</sup> |  | 130 | 2592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.125%, 12/26/2046<sup>(a) (n)</sup> |  | 503 | 13866 |
|  |  |  | 16458 |
|  Total Emerging Markets - Corporate Bonds <br>(cost $6,825,199) |  |  | 5523682 |
|  **SUPRANATIONALS – 0.4%** |  |  |  |
|  **Supranationals – 0.4%** |  |  |  |
|  European Investment Bank<br>0.75%, 07/15/2027 | AUD | 690 | 400216 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 01/19/2027 |  | 905 | 558946 |
|  Inter-American Development Bank<br>2.50%, 04/14/2027<sup>(a)</sup> |  | 155 | 97662 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/11/2026 |  | 662 | 450461 |
|  International Bank for Reconstruction & Development<br>0.00%, 01/15/2027 | EUR | 871 | 823415 |
|  Series GDIF<br>0.00%, 04/24/2028 |  | 318 | 288781 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/19/2026 | AUD | 375 | 244248 |
|  International Finance Corp. <br>4.45%, 05/14/2027 |  | 977 | 667506 |
|  Total Supranationals <br>(cost $3,828,745) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3531235 |
|  **LOCAL GOVERNMENTS - US MUNICIPAL BONDS – 0.3%** |  |  |  |
|  **United States – 0.3%** |  |  |  |
|  City of New York NY <br>Series 2021-D <br>1.923%, 08/01/2031 | U.S.$| 885 | 684470 |
|  Port Authority of New York & New Jersey <br>Series 2020-A <br>1.086%, 07/01/2023 |  | 745 | 731769 |
|  State Board of Administration Finance Corp. <br>Series 2020-A <br>1.705%, 07/01/2027 |  | 652 | 567675 |
|  Tobacco Settlement Finance Authority <br>Series 2020 <br>3.00%, 06/01/2035 |  | 298 | 267557 |
|  University of California <br>Series 2021-B <br>3.071%, 05/15/2051 |  | 1130 | 756028 |
|  Total Local Governments - US Municipal Bonds <br>(cost $3,699,351) |  |  | 3007499 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **QUASI-SOVEREIGNS – 0.3%** |  |  |  |
|  **Quasi-Sovereign Bonds – 0.3%** |  |  |  |
|  **Indonesia – 0.1%** |  |  |  |
|  Perusahaan Perseroan Persero PT Perusahaan Listrik Negara <br>5.45%, 05/21/2028<sup>(a)</sup> | U.S.$| 618 | $606915 |
|  **Mexico – 0.2%** |  |  |  |
|  Comision Federal de Electricidad<br>3.348%, 02/09/2031<sup>(a)</sup> |  | 1177 | 916809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.688%, 05/15/2029<sup>(a)</sup> |  | 1121 | 986340 |
|  |  |  | 1903149 |
|  Total Quasi-Sovereigns <br>(cost $2,891,592) |  |  | 2510064 |
|  **GOVERNMENTS - SOVEREIGN AGENCIES – 0.3%** |  |  |  |
|  **Japan – 0.1%** |  |  |  |
|  Development Bank of Japan, Inc. <br>Series G <br>0.01%, 10/15/2024<sup>(a)</sup> | EUR | 776 | 781094 |
|  **Netherlands – 0.2%** |  |  |  |
|  BNG Bank NV<br>0.75%, 01/24/2029<sup>(a)</sup> |  | 306 | 284504 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 07/19/2027 | AUD | 2100 | 1366274 |
|  |  |  | 1650778 |
|  Total Governments - Sovereign Agencies <br>(cost $2,586,550) |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2431872 |
|  **LOCAL GOVERNMENTS - PROVINCIAL BONDS – 0.3%** |  |  |  |
|  **Canada – 0.3%** |  |  |  |
|  Province of Ontario Canada <br>2.70%, 06/02/2029 | CAD | 1295 | 892507 |
|  Province of Quebec Canada<br>3.65%, 05/20/2032 |  | 494 | 355392 |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.875%, 05/04/2027<sup>(a)</sup> | EUR | 988 | 954689 |
|  Total Local Governments - Provincial Bonds <br>(cost $2,409,070) |  |  | 2202588 |
|  **EMERGING MARKETS - TREASURIES – 0.2%** |  |  |  |
|  **Brazil – 0.2%** |  |  |  |
|  Brazil Notas do Tesouro Nacional Serie F <br>Series NTNF <br>10.00%, 01/01/2029 <br>(cost $2,019,203) | BRL | 12369 | 2094433 |
|  **EMERGING MARKETS - SOVEREIGNS – 0.2%** |  |  |  |
|  **Dominican Republic – 0.1%** |  |  |  |
|  Dominican Republic International Bond <br>4.875%, 09/23/2032<sup>(a)</sup> | U.S.$| 1307 | 1080562 |

---

------

---

| | | | |
|:---|:---|:---|:---|
| | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** | **U.S. $ Value** |
|  **Egypt – 0.1%** |  |  |  |
|  Egypt Government International Bond <br>5.875%, 02/16/2031<sup>(a)</sup> | U.S.$| 580 | $401034 |
|  Total Emerging Markets - Sovereigns <br>(cost $1,871,416) |  |  | 1481596 |
|  **LOCAL GOVERNMENTS - REGIONAL BONDS – 0.2%** |  |  |  |
|  **Japan – 0.2%** |  |  |  |
|  Japan Finance Organization for Municipalities <br>Series G <br>0.05%, 02/12/2027<sup>(a)</sup><br>(cost $1,641,497) | EUR | 1481 | 1379987 |
|  **AGENCIES – 0.1%** |  |  |  |
|  **Agency Debentures – 0.1%** |  |  |  |
|  Federal Home Loan Banks <br>2.50%, 02/13/2024<br>(cost $584,518) | U.S.$| 585 | 570510 |
|  | **Shares** | **Shares** |  |
|  **SHORT-TERM INVESTMENTS – 9.5%** |  |  |  |
|  **Investment Companies – 8.4%** |  |  |  |
|  AB Fixed Income Shares, Inc. - Government<br>Money Market Portfolio - Class AB, 4.12%<sup>(j) (k) (o)</sup> <br>(cost $72,554,357) |  | 72554357 | 72554357 |
|  | **Principal<br>Amount<br>(000)** | **Principal<br>Amount<br>(000)** |  |
|  **Governments - Treasuries – 0.6%** |  |  |  |
|  **Japan – 0.6%** |  |  |  |
|  Japan Treasury Discount Bill <br>Series 1123 <br>Zero Coupon, 03/06/2023<br>(cost $5,288,617) | JPY | 727900 | 5548047 |
|  **U.S. Treasury Bills – 0.5%** |  |  |  |
|  U.S. Treasury Bill<br>Zero Coupon, 03/16/2023 | U.S.$| 1394 | 1382007 |
| &nbsp;&nbsp;&nbsp;&nbsp; Zero Coupon, 04/06/2023 |  | 3020 | 2986804 |
|  Total U.S. Treasury Bills <br>(cost $4,371,751) |  |  | 4368811 |
|  Total Short-Term Investments <br>(cost $82,214,725) |  |  | 82471215 |
|  **Total Investments – 103.2%** <br> (cost $959,443,416)<sup>(p)</sup> |  |  | 892999898 |
|  Other assets less liabilities – (3.2)% |  |  | (27644506) |
|  **Net Assets – 100.0%** |  |  | $**865355392** |

---

------

**FUTURES** 

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Description** | **Number<br>of<br>Contracts** | **Expiration**<br> **Month** | **Current<br>Notional** | **Value and<br>Unrealized<br>Appreciation<br>(Depreciation)** |
| **Purchased Contracts** |  |  |  |  |
| 10 Yr Australian Bond Futures | 129 | March 2023 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10160263 | $(558772) |
| 10 Yr Japan Bond (OSE) Futures | 3 | March 2023 | 3325053 | (65962) |
| Euro STOXX 50 Index Futures | 610 | March 2023 | 24715073 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1014894) |
| Euro-Bund Futures | 12 | March 2023 | 1707538 | (7024) |
| FTSE 100 Index Futures | 166 | March 2023 | 14983196 | (65939) |
| Hang Seng Index Futures | 24 | January 2023 | 3061707 | 30046 |
| MSCI Emerging Markets Futures | 962 | March 2023 | 46147140 | (799165) |
| Nikkei 225 (OSE) Futures | 15 | March 2023 | 2980798 | (146832) |
| OMXS 30 Index Futures | 266 | January 2023 | 5205365 | (147459) |
| Russell 2000 E-Mini Futures | 75 | March 2023 | 6640875 | (250303) |
| S&P 500 E-Mini Futures | 529 | March 2023 | 102123450 | (3891619) |
| S&P Mid 400 E-Mini Futures | 19 | March 2023 | 4640940 | (140866) |
| TOPIX Index Futures | 67 | March 2023 | 9656393 | (348366) |
| U.S. 10 Yr Ultra Futures | 84 | March 2023 | 9935625 | 29684 |
| U.S. Long Bond (CBT) Futures | 49 | March 2023 | 6141844 | (104506) |
| U.S. T-Note 2 Yr (CBT) Futures | 222 | March 2023 | 45527344 | 43377 |
| U.S. T-Note 5 Yr (CBT) Futures | 134 | March 2023 | 14462578 | (128400) |
| U.S. Ultra Bond (CBT) Futures | 52 | March 2023 | 6984250 | (147075) |
| **Sold Contracts** |  |  |  |  |
| 10 Yr Canadian Bond Futures | 97 | March 2023 | 8779431 | 171082 |
| 10 Yr Japan Bond (OSE) Futures | 21 | March 2023 | 23275373 | 459095 |
| Euro Buxl 30 Yr Bond Futures | 12 | March 2023 | 1737211 | 361050 |
| Euro-BOBL Futures | 52 | March 2023 | 6443036 | 210567 |
| Euro-BTP Futures | 17 | March 2023 | 1982087 | 161406 |
| Euro-Bund Futures | 87 | March 2023 | 12379652 | 748506 |
| Euro-OAT Futures | 16 | March 2023 | 2180292 | 148990 |
| Long Gilt Futures | 79 | March 2023 | 9541155 | 464224 |
| MSCI Singapore IX ETS Futures | 102 | January 2023 | 2212640 | 20739 |
| S&P/TSX 60 Index Futures | 43 | March 2023 | 7430679 | 230261 |
| SPI 200 Futures | 20 | March 2023 | 2380252 | 45212 |
| U.S. T-Note 2 Yr (CBT) Futures | 65 | March 2023 | 13330078 | 11145 |
| U.S. T-Note 10 Yr (CBT) Futures | 146 | March 2023 | 16395344 | 178080 |
| U.S. Ultra Bond (CBT) Futures | 62 | March 2023 | 8327375 | 290536 |
|  |  |  |  | $(4213182) |

---

**FORWARD CURRENCY EXCHANGE CONTRACTS** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to<br>Deliver<br>(000)** | **Contracts to<br>Deliver<br>(000)** | **In Exchange<br>For<br>(000)** | **In Exchange<br>For<br>(000)** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| Australia and New Zealand Banking Group Ltd. | USD | 2802 | AUD | 4176 | 01/19/2023 | $43242 |
| Bank of America, NA | GBP | 2924 | USD | 3545 | 01/18/2023 | 8145 |
| Bank of America, NA | GBP | 6989 | USD | 8324 | 01/18/2023 | (129083) |
| Bank of America, NA | AUD | 4400 | USD | 2986 | 01/19/2023 | (11182) |
| Bank of America, NA | CAD | 3813 | USD | 2796 | 01/19/2023 | (20517) |
| Bank of America, NA | CLP | 4979949 | USD | 5293 | 01/19/2023 | (570317) |
| Bank of America, NA | MXN | 51809 | USD | 2636 | 01/19/2023 | (15336) |
| Bank of America, NA | USD | 4043 | AUD | 5895 | 01/19/2023 | (26921) |
| Bank of America, NA | USD | 2690 | CLP | 2513346 | 01/19/2023 | 269370 |
| Bank of America, NA | USD | 2686 | MXN | 52435 | 01/19/2023 | (2659) |
| Bank of America, NA | KRW | 18328674 | USD | 12824 | 01/30/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1736829) |
| Bank of America, NA | USD | 2674 | KRW | 3596818 | 01/30/2023 | 183113 |
| Bank of America, NA | NZD | 8803 | USD | 5518 | 02/02/2023 | (73702) |
| Bank of America, NA | USD | 2777 | NZD | 4344 | 02/02/2023 | (17878) |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to<br>Deliver<br>(000)** | **Contracts to<br>Deliver<br>(000)** | **In Exchange<br>For<br>(000)** | **In Exchange<br>For<br>(000)** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| Bank of America, NA | SEK | 29025 | USD | 2770 | 02/03/2023 | $(16653) |
| Bank of America, NA | USD | 5475 | NOK | 54460 | 02/03/2023 | 90256 |
| Bank of America, NA | USD | 2790 | SEK | 28769 | 02/03/2023 | (28676) |
| Bank of America, NA | JPY | 219240 | USD | 1619 | 02/09/2023 | (59234) |
| Bank of America, NA | USD | 1334 | EUR | 1250 | 02/27/2023 | 8992 |
| Bank of America, NA | USD | 2640 | INR | 219365 | 03/16/2023 | (731) |
| Barclays Bank PLC | EUR | 1752 | USD | 1856 | 02/27/2023 | (26452) |
| Barclays Bank PLC | SGD | 3707 | USD | 2739 | 03/02/2023 | (31732) |
| BNP Paribas SA | CAD | 7380 | USD | 5485 | 01/19/2023 | 33826 |
| BNP Paribas SA | CAD | 3813 | USD | 2791 | 01/19/2023 | (24762) |
| BNP Paribas SA | CLP | 2424512 | USD | 2711 | 01/19/2023 | (143214) |
| BNP Paribas SA | MXN | 54664 | USD | 2745 | 01/19/2023 | (52879) |
| BNP Paribas SA | USD | 4710 | AUD | 6978 | 01/19/2023 | 44315 |
| BNP Paribas SA | USD | 2705 | CAD | 3664 | 01/19/2023 | 895 |
| BNP Paribas SA | USD | 2416 | CAD | 3205 | 01/19/2023 | (49408) |
| BNP Paribas SA | USD | 2742 | CLP | 2429869 | 01/19/2023 | 119173 |
| BNP Paribas SA | IDR | 19062780 | USD | 1222 | 01/26/2023 | (5965) |
| BNP Paribas SA | KRW | 1397244 | USD | 1046 | 01/30/2023 | (63542) |
| BNP Paribas SA | NOK | 54467 | USD | 5486 | 02/03/2023 | (80310) |
| BNP Paribas SA | USD | 4777 | JPY | 642243 | 02/09/2023 | 139411 |
| BNP Paribas SA | CNH | 93172 | USD | 13034 | 02/16/2023 | (473181) |
| Citibank, NA | GBP | 9951 | USD | 11847 | 01/18/2023 | (186247) |
| Citibank, NA | AUD | 15164 | USD | 9622 | 01/19/2023 | (709276) |
| Citibank, NA | CAD | 3554 | USD | 2676 | 01/19/2023 | 51599 |
| Citibank, NA | CAD | 21191 | USD | 15583 | 01/19/2023 | (68673) |
| Citibank, NA | CLP | 2349995 | USD | 2590 | 01/19/2023 | (176566) |
| Citibank, NA | USD | 16324 | AUD | 25728 | 01/19/2023 | 1203353 |
| Citibank, NA | USD | 8858 | CAD | 11808 | 01/19/2023 | (136029) |
| Citibank, NA | USD | 2741 | MXN | 53015 | 01/19/2023 | (28171) |
| Citibank, NA | KRW | 10681244 | USD | 7977 | 01/30/2023 | (508056) |
| Citibank, NA | USD | 2257 | NOK | 22313 | 02/03/2023 | 23362 |
| Citibank, NA | JPY | 2743448 | USD | 19860 | 02/09/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1140716) |
| Citibank, NA | USD | 21940 | JPY | 3029195 | 02/09/2023 | 1247173 |
| Citibank, NA | USD | 4865 | EUR | 4533 | 02/27/2023 | 4595 |
| Citibank, NA | SGD | 3755 | USD | 2786 | 03/02/2023 | (19916) |
| Citibank, NA | INR | 438537 | USD | 5275 | 03/16/2023 | (1033) |
| Citibank, NA | USD | 2645 | INR | 219365 | 03/16/2023 | (5884) |
| Credit Suisse International | USD | 2566 | AUD | 3830 | 01/19/2023 | 42685 |
| Credit Suisse International | USD | 2801 | SEK | 28848 | 02/03/2023 | (31312) |
| Deutsche Bank AG | USD | 22052 | CAD | 29825 | 01/19/2023 | (22725) |
| Goldman Sachs Bank USA | AUD | 4286 | USD | 2741 | 01/19/2023 | (178846) |
| Goldman Sachs Bank USA | NZD | 4039 | USD | 2513 | 02/02/2023 | (52122) |
| HSBC Bank USA | GBP | 1234 | USD | 1483 | 01/18/2023 | (9578) |
| HSBC Bank USA | USD | 7496 | GBP | 6036 | 01/18/2023 | (196521) |
| HSBC Bank USA | AUD | 11448 | USD | 7621 | 01/19/2023 | (178525) |
| HSBC Bank USA | CAD | 2811 | USD | 2061 | 01/19/2023 | (15357) |
| HSBC Bank USA | KRW | 2594882 | USD | 1944 | 01/30/2023 | (117186) |
| HSBC Bank USA | USD | 5398 | PLN | 24483 | 01/30/2023 | 178500 |
| HSBC Bank USA | NZD | 1350 | USD | 871 | 02/02/2023 | 13639 |
| HSBC Bank USA | JPY | 228442 | USD | 1742 | 02/09/2023 | (6541) |
| HSBC Bank USA | USD | 2782 | JPY | 378165 | 02/09/2023 | 112756 |
| HSBC Bank USA | USD | 5741 | CNH | 40440 | 02/16/2023 | 121623 |
| HSBC Bank USA | USD | 19869 | EUR | 18823 | 02/27/2023 | 354157 |
| HSBC Bank USA | USD | 1827 | CHF | 1675 | 03/01/2023 | (4686) |
| HSBC Bank USA | USD | 8300 | SGD | 11227 | 03/02/2023 | 89858 |
| JPMorgan Chase Bank, NA | BRL | 11243 | USD | 2106 | 01/04/2023 | (23301) |
| JPMorgan Chase Bank, NA | USD | 2155 | BRL | 11243 | 01/04/2023 | (25323) |
| JPMorgan Chase Bank, NA | GBP | 2322 | USD | 2764 | 01/18/2023 | (44294) |
| JPMorgan Chase Bank, NA | USD | 990 | GBP | 831 | 01/18/2023 | 15537 |
| JPMorgan Chase Bank, NA | CAD | 1849 | USD | 1368 | 01/19/2023 | 2295 |
| JPMorgan Chase Bank, NA | CAD | 976 | USD | 719 | 01/19/2023 | (1641) |
| JPMorgan Chase Bank, NA | MXN | 50774 | USD | 2549 | 01/19/2023 | (49184) |
| JPMorgan Chase Bank, NA | USD | 5402 | AUD | 8549 | 01/19/2023 | 422230 |
| JPMorgan Chase Bank, NA | USD | 2596 | CAD | 3499 | 01/19/2023 | (11647) |
| JPMorgan Chase Bank, NA | USD | 2679 | MXN | 52205 | 01/19/2023 | (7409) |
| JPMorgan Chase Bank, NA | PLN | 12132 | USD | 2707 | 01/30/2023 | (56350) |
| JPMorgan Chase Bank, NA | NZD | 1697 | USD | 1074 | 02/02/2023 | (3933) |
| JPMorgan Chase Bank, NA | USD | 4095 | NZD | 6640 | 02/02/2023 | 121834 |
| JPMorgan Chase Bank, NA | USD | 2796 | NZD | 4369 | 02/02/2023 | (21149) |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to<br>Deliver<br>(000)** | **Contracts to<br>Deliver<br>(000)** | **In Exchange<br>For<br>(000)** | **In Exchange<br>For<br>(000)** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| JPMorgan Chase Bank, NA | NOK | 18066 | USD | 1803 | 02/03/2023 | $(42771) |
| JPMorgan Chase Bank, NA | EUR | 547 | USD | 576 | 02/27/2023 | (10978) |
| JPMorgan Chase Bank, NA | USD | 1001 | EUR | 944 | 02/27/2023 | 13974 |
| JPMorgan Chase Bank, NA | SGD | 3757 | USD | 2774 | 03/02/2023 | (33540) |
| Morgan Stanley Capital Services, Inc. | BRL | 15815 | USD | 3027 | 01/04/2023 | 31851 |
| Morgan Stanley Capital Services, Inc. | USD | 2494 | BRL | 13529 | 01/04/2023 | 68424 |
| Morgan Stanley Capital Services, Inc. | USD | 438 | BRL | 2286 | 01/04/2023 | (5150) |
| Morgan Stanley Capital Services, Inc. | GBP | 636 | USD | 791 | 01/18/2023 | 21511 |
| Morgan Stanley Capital Services, Inc. | AUD | 4111 | USD | 2660 | 01/19/2023 | (140787) |
| Morgan Stanley Capital Services, Inc. | CAD | 8735 | USD | 6500 | 01/19/2023 | 47973 |
| Morgan Stanley Capital Services, Inc. | USD | 5487 | AUD | 8265 | 01/19/2023 | 144055 |
| Morgan Stanley Capital Services, Inc. | USD | 8308 | CAD | 11281 | 01/19/2023 | 24114 |
| Morgan Stanley Capital Services, Inc. | PLN | 12132 | USD | 2713 | 01/30/2023 | (50465) |
| Morgan Stanley Capital Services, Inc. | USD | 2781 | KRW | 3786731 | 01/30/2023 | 227516 |
| Morgan Stanley Capital Services, Inc. | NZD | 11778 | USD | 7265 | 02/02/2023 | (216086) |
| Morgan Stanley Capital Services, Inc. | USD | 432 | BRL | 2286 | 02/02/2023 | (1361) |
| Morgan Stanley Capital Services, Inc. | USD | 4371 | NZD | 7086 | 02/02/2023 | 129994 |
| Morgan Stanley Capital Services, Inc. | SEK | 21672 | USD | 2066 | 02/03/2023 | (13983) |
| Morgan Stanley Capital Services, Inc. | JPY | 580536 | USD | 4276 | 02/09/2023 | (167333) |
| Morgan Stanley Capital Services, Inc. | CNH | 3033 | USD | 427 | 02/16/2023 | (13136) |
| Morgan Stanley Capital Services, Inc. | EUR | 7697 | USD | 8197 | 02/27/2023 | (71747) |
| Morgan Stanley Capital Services, Inc. | CHF | 11383 | USD | 12268 | 03/01/2023 | (117946) |
| Morgan Stanley Capital Services, Inc. | MYR | 5519 | USD | 1264 | 03/16/2023 | (1733) |
| Natwest Markets PLC | USD | 5821 | GBP | 4749 | 01/18/2023 | (77167) |
| Natwest Markets PLC | USD | 2752 | CAD | 3727 | 01/19/2023 | 325 |
| Natwest Markets PLC | USD | 2767 | JPY | 373773 | 02/09/2023 | 94255 |
| Standard Chartered Bank | USD | 3988 | CAD | 5438 | 01/19/2023 | 28438 |
| Standard Chartered Bank | KRW | 7835840 | USD | 5738 | 01/30/2023 | (487405) |
| Standard Chartered Bank | USD | 8226 | KRW | 11057312 | 01/30/2023 | 558462 |
| Standard Chartered Bank | EUR | 19588 | USD | 20664 | 02/27/2023 | (380727) |
| State Street Bank & Trust Co. | GBP | 311 | USD | 374 | 01/18/2023 | (1847) |
| State Street Bank & Trust Co. | AUD | 12747 | USD | 8209 | 01/19/2023 | &nbsp;&nbsp;&nbsp;&nbsp;(476036) |
| State Street Bank & Trust Co. | CAD | 861 | USD | 639 | 01/19/2023 | 3086 |
| State Street Bank & Trust Co. | CAD | 183 | USD | 135 | 01/19/2023 | (102) |
| State Street Bank & Trust Co. | USD | 174 | AUD | 270 | 01/19/2023 | 10118 |
| State Street Bank & Trust Co. | USD | 213 | CAD | 290 | 01/19/2023 | 1971 |
| State Street Bank & Trust Co. | NZD | 394 | USD | 251 | 02/02/2023 | 817 |
| State Street Bank & Trust Co. | SEK | 3720 | USD | 355 | 02/03/2023 | (2491) |
| State Street Bank & Trust Co. | USD | 188 | DKK | 1342 | 02/03/2023 | 5557 |
| State Street Bank & Trust Co. | USD | 277 | JPY | 38013 | 02/09/2023 | 13542 |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Contracts to<br>Deliver<br>(000)** | **Contracts to<br>Deliver<br>(000)** | **In Exchange<br>For<br>(000)** | **In Exchange<br>For<br>(000)** | **Settlement<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| State Street Bank & Trust Co. | USD | 727 | EUR | 681 | 02/27/2023 | $5313 |
| UBS AG | USD | 5318 | CLP | &nbsp;&nbsp;&nbsp;&nbsp;4793692 | 01/19/2023 | 325590 |
| UBS AG | SEK | 28774 | USD | 2789 | 02/03/2023 | 26666 |
| UBS AG | EUR | 19215 | USD | 20517 | 02/09/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(101160) |
| UBS AG | EUR | &nbsp;&nbsp;&nbsp;&nbsp;22356 | USD | 23858 | 02/27/2023 | (160535) |
| UBS AG | USD | 2809 | CHF | 2600 | 03/01/2023 | 20421 |
|  |  |  |  |  |  | $(3523939) |

---

**CENTRALLY CLEARED CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums**<br> **Paid/**<br> **(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** | **Buy Contracts** |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-NAHY Series 39, 5 Year Index, 12/20/2027\* | 5.00% | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;4.85% | USD | 1557 | $(11487) | $56799 | $(68286) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-NAIG Series 39, 5 Year Index, 12/20/2027\* | 1.00 | Quarterly | 0.82 | USD | 17330 | (144062) | (19728) | (124334) |
| &nbsp;&nbsp;&nbsp;&nbsp; iTraxx Xover Series 38, 5 Year Index, 12/20/2027\* | 5.00 | Quarterly | 4.74 | EUR | 1330 | (16407) | 13610 | (30017) |
| &nbsp;&nbsp;&nbsp;&nbsp; Malaysia, 12/20/2027\* | 1.00 | Quarterly | 0.79 | USD | 26220 | (251878) | (157263) | (94615) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(423834) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(106582) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(317252) |

---

*\** *Termination date* 

**CENTRALLY CLEARED INFLATION (CPI) SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Rate Type** | **Rate Type** | | | | |
| **Notional**<br> **Amount**<br> **(000)** | **Notional**<br> **Amount**<br> **(000)** | <br>**Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | <br>**Payment<br>Frequency<br>Paid/<br>Received** |<br>**Market<br>Value** |<br>**Upfront<br>Premiums<br>Paid/<br>(Received)** |<br>**Unrealized<br>Appreciation<br>(Depreciation)** |
| USD | 44410 | 07/15/2024 | 3.440% | CPI# | Maturity | $(90400) | $— | $(90400) |
| USD | 10370 | 07/15/2024 | 3.360% | CPI# | Maturity | (5141) |  | (5141) |
| USD | 28500 | 02/26/2025 | 1.589% | CPI# | Maturity | 3479371 |  | 3479371 |
| USD | 17150 | 02/28/2025 | 1.527% | CPI# | Maturity | 2144553 |  | 2144553 |
| USD | 12590 | 05/13/2027 | 3.263% | CPI# | Maturity | (121525) |  | (121525) |
| USD | 6245 | 07/08/2027 | 2.770% | CPI# | Maturity | 33963 |  | 33963 |
| USD | 6245 | 07/08/2027 | 2.778% | CPI# | Maturity | 31758 |  | 31758 |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5472579 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5472579 |

---

*#* *Variable interest rate based on the rate of inflation as determined by the Consumer Price Index (CPI).* 

------

**CENTRALLY CLEARED INTEREST RATE SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | | | **Rate Type** | **Rate Type** | | | | |
| **Notional**<br> **Amount**<br> **(000)** | **Notional**<br> **Amount**<br> **(000)** | <br>**Termination<br>Date** | **Payments<br>made<br>by the<br>Fund** | **Payments<br>received<br>by the<br>Fund** | <br>**Payment<br>Frequency<br>Paid/<br>Received** |<br>**Market<br>Value** |<br>**Upfront<br>Premiums<br>Paid/<br>(Received)** |<br>**Unrealized<br>Appreciation<br>(Depreciation)** |
| NZD | 1981 | 11/01/2024 | 3 Month<br>BKBM | 2.580% | Quarterly/<br>Semi-Annual | $(64877) | $— | $(64877) |
| NZD | 5299 | 11/02/2024 | 3 Month<br>BKBM | 2.503% | Quarterly/<br>Semi-Annual | (178894) |  | (178894) |
| USD | 610 | 04/21/2025 | 1.972% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 37542 |  | 37542 |
| USD | 370 | 06/09/2025 | 2.470% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 18152 |  | 18152 |
| USD | 484 | 08/04/2025 | 2.285% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 24769 |  | 24769 |
| USD | 1990 | 04/27/2026 | 1.773% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 161407 |  | 161407 |
| USD | 840 | 10/04/2026 | 1.459% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 83469 | 25406 | 58063 |
| USD | 420 | 11/08/2026 | 1.657% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 39026 |  | 39026 |
| USD | 420 | 11/09/2026 | 1.672% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 38755 |  | 38755 |
| USD | 1040 | 04/04/2027 | 2.436% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 70573 | (6137) | 76710 |
| USD | 580 | 04/26/2027 | 2.287% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 43438 | 12 | 43426 |
| EUR | 3459 | 05/12/2027 | 6 Month<br>EURIBOR | 1.494% | Semi-Annual/<br>Annual | (234234) |  | (234234) |
| EUR | 2641 | 05/13/2027 | 6 Month<br>EURIBOR | 1.464% | Semi-Annual/<br>Annual | (185725) |  | (185725) |
| USD | 10260 | 06/05/2027 | 0.558% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 1486238 |  | 1486238 |
| USD | 6030 | 07/20/2027 | 2.227% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 448574 | 17683 | 430891 |
| USD | 1360 | 09/27/2029 | 1.593% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 181505 |  | 181505 |
| USD | 1830 | 12/13/2029 | 1.764% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 241111 |  | 241111 |
| USD | 15740 | 05/21/2031 | 1.617% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 2572533 |  | 2572533 |
| EUR | 1930 | 08/18/2032 | 6 Month<br>EURIBOR | 1.800% | Semi-Annual/<br>Annual | (227620) |  | (227620) |
| AUD | 2475 | 11/14/2032 | 4.355% | 6 Month<br>BBSW | Semi-Annual | 20497 | 22355 | (1858) |
| AUD | 2475 | 11/14/2032 | 6 Month<br>BBSW | 4.355% | Semi-Annual | (22671) |  | (22671) |
| USD | 1010 | 11/10/2035 | 2.613% | 3 Month<br>LIBOR | Semi-Annual/<br>Quarterly | 127537 |  | 127537 |
| EUR | 2300 | 09/30/2050 | 0.122% | 6 Month<br>EURIBOR | Annual/<br>Semi-Annual | 1179085 |  | 1179085 |
| EUR | 2300 | 09/30/2050 | 6 Month<br>EURIBOR | (0.017)% | Semi-Annual/<br>Annual | (1245089) |  | (1245089) |
| EUR | 2310 | 11/10/2050 | 0.023% | 6 Month<br>EURIBOR | Annual/<br>Semi-Annual | 1222034 |  | 1222034 |
| EUR | 2310 | 11/10/2050 | 6 Month<br>EURIBOR | (0.043)% | Semi-Annual/<br>Annual | (1263277) |  | (1263277) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4573858 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;59319 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4514539 |

---

------

**CREDIT DEFAULT SWAPS** 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid/<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** | **Sale Contracts** |
| Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. | Citigroup Global Markets, Inc. |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | &nbsp;&nbsp;&nbsp;&nbsp;7.50% | USD | 3 | $(620) | $(379) | $(241) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 3 | (620) | (303) | (317) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 3 | (620) | (239) | (381) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1395) | (702) | (693) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 7 | (1705) | (781) | (924) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 11 | (2635) | (1360) | (1275) |
| Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International | Credit Suisse International |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 34 | (8215) | (2157) | (6058) |
| Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1395) | (621) | (774) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1550) | (338) | (1212) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 36 | (8835) | (4227) | (4608) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 41 | (10075) | (4376) | (5699) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 41 | (10075) | (4374) | (5701) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 163 | (39831) | (10612) | (29219) |
| Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International | Goldman Sachs International |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1395) | (404) | (991) |

---

------

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Swap Counterparty & <br>Referenced Obligation** | **Fixed<br>Rate<br>(Pay)<br>Receive** | **Payment<br>Frequency** | **Implied<br>Credit<br>Spread at<br>December 31,<br>2022** | **Notional<br>Amount<br>(000)** | **Notional<br>Amount<br>(000)** | **Market<br>Value** | **Upfront<br>Premiums<br>Paid/<br>(Received)** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00% | Monthly | 7.50% | USD | 11 | $(2789) | $(950) | $(1839) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 22 | (5425) | (2037) | (3388) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 22 | (5425) | (1882) | (3543) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 35 | (8524) | (2797) | (5727) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 40 | (9765) | (3950) | (5815) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 44 | (10694) | (4389) | (6305) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 59 | (14414) | (7449) | (6965) |
| JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC | JPMorgan Securities, LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1395) | (517) | (878) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 6 | (1550) | (574) | (976) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 186 | (45412) | (21161) | (24251) |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 660 | (161439) | (51555) | (109884) |
| Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; CDX-CMBX.NA.BBB- Series 6, 05/11/2063\* | 3.00 | Monthly | 7.50 | USD | 47 | (11469) | (3071) | (8398) |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(367267) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(131205) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(236062) |

---

*\** *Termination date* 

------

**TOTAL RETURN SWAPS** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty & <br>Referenced Obligation** | **Rate Paid/<br>Received** | **Payment<br>Frequency** | **Current<br>Notional<br>(000)** | **Current<br>Notional<br>(000)** | **Maturity<br>Date** | **Unrealized<br>Appreciation<br>(Depreciation)** |
| **Pay Total Return on Reference Obligation** | **Pay Total Return on Reference Obligation** | **Pay Total Return on Reference Obligation** | **Pay Total Return on Reference Obligation** | **Pay Total Return on Reference Obligation** | **Pay Total Return on Reference Obligation** | **Pay Total Return on Reference Obligation** |
| JPMorgan Chase Bank, NA | JPMorgan Chase Bank, NA | JPMorgan Chase Bank, NA | JPMorgan Chase Bank, NA | JPMorgan Chase Bank, NA | JPMorgan Chase Bank, NA | JPMorgan Chase Bank, NA |
| &nbsp;&nbsp;&nbsp;&nbsp; iBoxx $ Liquid High Yield Index | 1 Day SOFR | Maturity | USD | 101 | 03/20/2023 | $202687 |
| **Receive Total Return on Reference Obligation** | **Receive Total Return on Reference Obligation** | **Receive Total Return on Reference Obligation** | **Receive Total Return on Reference Obligation** | **Receive Total Return on Reference Obligation** | **Receive Total Return on Reference Obligation** | **Receive Total Return on Reference Obligation** |
| Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC |
| &nbsp;&nbsp;&nbsp;&nbsp; Swiss Market Index Futures | 0.00% | Maturity | CHF | 4369 | 03/17/2023 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(166832) |
|  |  |  |  |  |  | $35855 |

---

*(a)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities are considered restricted, but liquid and may be resold in transactions exempt from registration. At December 31, 2022, the aggregate market value of these securities amounted to $222,105,659 or 25.7% of net assets.* 

*(b)* *Position, or a portion thereof, has been segregated to collateralize OTC derivatives outstanding.* 

*(c)* *Position, or a portion thereof, has been segregated to collateralize margin requirements for open futures contracts.* 

*(d)* *Securities are perpetual and, thus, do not have a predetermined maturity date. The date shown, if applicable, reflects the next call date.* 

*(e)* *Fair valued by the Adviser.* 

*(f)* *Floating Rate Security. Stated interest/floor/ceiling rate was in effect at December 31, 2022.* 

*(g)* *Security is exempt from registration under Rule 144A or Regulation S of the Securities Act of 1933. These securities, which represent 0.33% of net assets as of December 31, 2022, are considered illiquid and restricted. Additional information regarding such securities follows:* 

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **144A/Restricted & Illiquid Securities** | **Acquisition<br>Date** | **Acquisition<br>Date** | | **Cost** | | **Market<br>Value** | **Percentage**<br> **of<br>Net Assets** | **Percentage**<br> **of<br>Net Assets** |
|  *GSF <br>Series 2021-1, Class A1 <br>1.433%, 08/15/2026* | | *02/25/2021* | | $*399396* | | $*382895* | | *0.04 %* |
|  *GSF <br>Series 2021-1, Class A2 <br>2.435%, 08/15/2026* | | *02/25/2021* | | *1096698* | | *1007673* | | *0.12 %* |
|  *GSF <br>Series 2021-1, Class AS <br>2.638%, 08/15/2026* | | *02/25/2021* | | *39793* | | *35384* | | *0.00 %* |
|  *HFX Funding <br>Series 2017-1A, Class A3 <br>3.647%, 03/15/2035* | | *11/19/2020* | | *1308901* | | *1140013* | | *0.13 %* |
|  *JPMorgan Madison Avenue<br>Securities Trust <br>Series 2014-CH1, Class M2 <br>8.639%, 11/25/2024* | | *11/06/2015* | | *19967* | | *19310* | | *0.00 %* |
|  *PMT Credit Risk Transfer Trust<br>Series 2020-1R, Class A <br>6.737%, 02/27/2023* | | *02/11/2020* | | *149902* | | *141791* | | *0.02 %* |
|  *Terraform Global Operating LP <br>6.125%, 03/01/2026* | | *02/08/2018* | | *133000* | | *123843* | | *0.01 %* |
|  *Wells Fargo Credit Risk<br>Transfer Securities Trust<br>Series 2015-WF1, Class 1M2 <br>9.639%, 11/25/2025*  | | *09/28/2015* | | *126711* | | *117291* | | *0.01 %* |

---

------

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **144A/Restricted & Illiquid Securities** | **Acquisition<br>Date** | **Cost** | | **Market<br>Value** | | **Percentage<br>of<br>Net Assets** |
|  *Wells Fargo Credit Risk<br>Transfer Securities Trust<br>Series 2015-WF1, Class 2M2 <br>9.889%, 11/25/2025* | *09/28/2015* | $*31588* | | $*30028* | | *0.00%* |

---

*(h)* *Inverse interest only security.* 

*(i)* *IO - Interest Only.* 

*(j)* *Affiliated investments.* 

*(k)* *To obtain a copy of the fund's shareholder report, please go to the Securities and Exchange Commission's website at www.sec.gov, or call AB at (800) 227-4618.* 

*(l)* *Security in which significant unobservable inputs (Level 3) were used in determining fair value.* 

*(m)* *Non-income producing security.* 

*(n)* *Pay-In-Kind Payments (PIK). The issuer may pay cash interest and/or interest in additional debt securities. Rates shown are the rates in effect at December 31, 2022.* 

*(o)* *The rate shown represents the 7-day yield as of period end.* 

*(p)* *As of December 31, 2022, the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $28,662,613 and gross unrealized depreciation of investments was $(93,373,593), resulting in net unrealized depreciation of $(64,710,980).* 

*Currency Abbreviations:* 

*AUD – Australian Dollar* 

*BRL – Brazilian Real* 

*CAD – Canadian Dollar* 

*CHF – Swiss Franc* 

*CLP – Chilean Peso* 

*CNH – Chinese Yuan Renminbi (Offshore)* 

*CNY – Chinese Yuan Renminbi* 

*DKK – Danish Krone* 

*EUR – Euro* 

*GBP – Great British Pound* 

*IDR – Indonesian Rupiah* 

*INR – Indian Rupee* 

*JPY – Japanese Yen* 

*KRW – South Korean Won* 

*MXN – Mexican Peso* 

*MYR – Malaysian Ringgit* 

*NOK – Norwegian Krone* 

*NZD – New Zealand Dollar* 

*PLN – Polish Zloty* 

*SEK – Swedish Krona* 

*SGD – Singapore Dollar* 

*USD – United States Dollar* 

*Glossary:* 

*ABS – Asset-Backed Securities* 

*BBSW – Bank Bill Swap Reference Rate (Australia)* 

*BKBM – Bank Bill Benchmark (New Zealand)* 

*BOBL – Bundesobligationen* 

*CBT – Chicago Board of Trade* 

*CDX-CMBX.NA – North American Commercial Mortgage-Backed Index* 

*CDX-NAHY – North American High Yield Credit Default Swap Index* 

*CDX-NAIG – North American Investment Grade Credit Default Swap Index* 

*CLO – Collateralized Loan Obligations* 

*CMBS – Commercial Mortgage-Backed Securities* 

*CPI – Consumer Price Index* 

*ETS – Emission Trading Scheme* 

*EURIBOR – Euro Interbank Offered Rate* 

*FTSE – Financial Times Stock Exchange* 

------

*LIBOR – London Interbank Offered Rate* 

*MSCI – Morgan Stanley Capital International* 

*OAT – Obligations Assimilables du Trésor* 

*OMXS – Stockholm Stock Exchange* 

*OSE – Osaka Securities Exchange* 

*REIT – Real Estate Investment Trust* 

*REMICs – Real Estate Mortgage Investment Conduits* 

*SOFR – Secured Overnight Financing Rate* 

*SPI – Share Price Index* 

*TBA – To Be Announced* 

*TIPS – Treasury Inflation Protected Security* 

*TOPIX – Tokyo Price Index* 

*TSX – Toronto Stock Exchange* 

------

**Sanford C. Bernstein Fund, Inc.** 

**Overlay B Portfolio** 

**December 31, 2022 (unaudited)** 

In accordance with U.S. GAAP regarding fair value measurements, fair value is defined as the price that the Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio's own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 - quoted prices in active markets for identical investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates,
prepayment speeds, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 - significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value
of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3. In addition, non-agency rated investments are classified as Level 3.

Other fixed income investments, including non-U.S. government and corporate debt, are generally valued using quoted market prices, if available, which are typically impacted by current interest rates, maturity dates and any perceived credit risk of the issuer. Additionally, in the absence of quoted market prices, these inputs are used by pricing vendors to derive a valuation based upon industry or proprietary models which incorporate issuer specific data with relevant yield/spread comparisons with more widely quoted bonds with similar key characteristics. Those investments for which there are observable inputs are classified as Level 2. Where the inputs are not observable, the investments are classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

------

Options are valued using market-based inputs to models, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency, where such inputs and models are available. Alternatively the values may be obtained through unobservable management determined inputs and/or management's proprietary models. Where models are used, the selection of a particular model to value an option depends upon the contractual terms of, and specific risks inherent in, the option as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, measures of volatility and correlations of such inputs. Exchange traded options generally will be classified as Level 2. For options that do not trade on exchange but trade in liquid markets, inputs can generally be verified and model selection does not involve significant management judgment. Options are classified within Level 2 on the fair value hierarchy when all of the significant inputs can be corroborated to market evidence. Otherwise such instruments are classified as Level 3.

Valuations of mortgage-backed or other asset backed securities, by pricing vendors, are based on both proprietary and industry recognized models and discounted cash flow techniques. Significant inputs to the valuation of these instruments are value of the collateral, the rates and timing of delinquencies, the rates and timing of prepayments, and default and loss expectations, which are driven in part by housing prices for residential mortgages. Significant inputs are determined based on relative value analyses, which incorporate comparisons to instruments with similar collateral and risk profiles, including relevant indices. Mortgage and asset backed securities for which management has collected current observable data through pricing services are generally categorized within Level 2. Those investments for which current observable data has not been provided are classified as Level 3.

The following table summarizes the valuation of the Portfolio's investments by the above fair value hierarchy levels as of December 31, 2022:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments in Securities:** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Assets:** |  |  |  |  |
| Governments - Treasuries | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260271121 | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;260271121 |
| Corporates - Investment Grade |  | 162419391 |  | 162419391 |
| Inflation-Linked Securities |  | 139281217 |  | 139281217 |
| Mortgage Pass-Throughs |  | 61042851 |  | 61042851 |
| Collateralized Mortgage Obligations |  | 34573393 |  | 34573393 |
| Investment Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;31817797 |  |  | 31817797 |
| Asset-Backed Securities |  | 26168072 |  | 26168072 |
| Commercial Mortgage-Backed Securities |  | 18393598 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1425952 | 19819550 |
| Collateralized Loan Obligations |  | 17556855 |  | 17556855 |
| Corporates - Non-Investment Grade |  | 15586112 |  | 15586112 |
| Options Purchased - Puts |  | 6010579 |  | 6010579 |
| Covered Bonds |  | 5669797 |  | 5669797 |
| Governments - Sovereign Bonds |  | 5578482 |  | 5578482 |
| Emerging Markets - Corporate Bonds |  | 5523682 |  | 5523682 |
| Supranationals |  | 3531235 |  | 3531235 |
| Local Governments - US Municipal Bonds |  | 3007499 |  | 3007499 |
| Quasi-Sovereigns |  | 2510064 |  | 2510064 |
| Governments - Sovereign Agencies |  | 2431872 |  | 2431872 |
| Local Governments - Provincial Bonds |  | 2202588 |  | 2202588 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| Emerging Markets - Treasuries |  | 2094433 |  | 2094433 |
| Emerging Markets - Sovereigns |  | 1481596 |  | 1481596 |
| Local Governments - Regional Bonds |  | 1379987 |  | 1379987 |
| Agencies |  | 570510 |  | 570510 |
| Short-Term Investments: |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | 72554357 |  |  | 72554357 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Governments - Treasuries |  | 5548047 |  | 5548047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bills |  | 4368811 |  | 4368811 |
| Total Investments in Securities | 104372154 | 787201792 | 1425952 | 892999898 |
| **Other Financial Instruments<sup>(a)</sup>:** |  |  |  |  |
| **Assets:** |  |  |  |  |
| Futures | 3604000 |  |  | 3604000 |
| Forward Currency Exchange Contracts |  | 6749907 |  | 6749907 |
| Centrally Cleared Inflation (CPI) Swaps |  | 5689645 |  | 5689645 |
| Centrally Cleared Interest Rate Swaps |  | 7996245 |  | 7996245 |
| Total Return Swaps |  | 202687 |  | 202687 |
| **Liabilities:** |  |  |  |  |
| Futures | (7817182) |  |  | (7817182) |
| Forward Currency Exchange Contracts |  | (10273846) |  | (10273846) |
| Centrally Cleared Credit Default Swaps |  | (423834) |  | (423834) |
| Centrally Cleared Inflation (CPI) Swaps |  | (217066) |  | (217066) |
| Centrally Cleared Interest Rate Swaps |  | (3422387) |  | (3422387) |
| Credit Default Swaps |  | (367267) |  | (367267) |
| Total Return Swaps |  | (166832) |  | (166832) |
| **Total** | $**100158972** | $**792969044** | $**1425952** | $**894553968** |

---

*<sup>(a)</sup>* *Other financial instruments are derivative instruments, such as futures, forwards and swaps, which are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value.* 

A summary of the Portfolio's transactions in AB mutual funds for the three months ended December 31, 2022 is as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| | | | | | | | **Distributions** | **Distributions** |
| <br>**Fund** |<br>**Market<br>Value<br>09/30/2022<br>(000)** |<br>**Purchases<br>at Cost<br>(000)** |<br>**Sales<br>Proceeds<br>(000)** |<br>**Realized<br>Gain<br>(Loss)<br>(000)** |<br>**Change in<br>Unrealized<br>Appr./(Depr.)<br>(000)** |<br>**Market<br>Value<br>12/31/2022<br>(000)** | **Dividend<br>Income<br>(000)** | **Realized<br>Gains<br>(000)** |
| AB All Market Real Return Portfolio | $29457 | $2522 | $0 | $0 | $(161) | $31818 | $2522 | $0 |
| Government Money Market Portfolio | 99713 | 142774 | 169933 | 0 | 0 | 72554 | 745 | $0 |
| Total | $&nbsp;&nbsp;&nbsp;&nbsp;129170 | $&nbsp;&nbsp;&nbsp;&nbsp;145296 | $&nbsp;&nbsp;&nbsp;&nbsp;169933 | $&nbsp;&nbsp;&nbsp;&nbsp;0 | $&nbsp;&nbsp;&nbsp;&nbsp;(161) | $104372 | $&nbsp;&nbsp;&nbsp;&nbsp;3267 | $&nbsp;&nbsp;&nbsp;&nbsp;0 |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BERNSTEIN SANFORD C FUND INC

- **b. Investment Company Act file number:** 811-05555

- **c. CIK number of Registrant:** 0000832808

- **d. LEI of Registrant:** 549300GA5IHQHIM7CU60

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

  - **Street Address 1:** ALLIANCEBERNSTEIN LP

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10105

  - **Telephone number:** 212-969-1000

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

- **a. Name of Series:** Overlay B Portfolio

- **b. EDGAR series identifier (if any):** S000027649

- **c. LEI of Series:** IKSIY75X3JGN52ZWUI76

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

- **a. Date of fiscal year-end:** 2023-09-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $909775018.83

**Total Liabilities:** $44409123.70

**Net Assets:** $865365895.13

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -1304.98000000 | **1-Year:** -1407.04000000 | **5-Year:** -10040.59000000 | **10-Year:** -7970.71000000 | **30-Year:** -11303.13000000

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

- **3-Month:** -20117.32000000 | **1-Year:** -21350.37000000 | **5-Year:** -81671.95000000 | **10-Year:** -52846.32000000 | **30-Year:** -80754.94000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000083498 | 0.12%                | 3.24%                | -1.17%               |
| Class ID C000083499 | 0.23%                | 3.11%                | -1.10%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-7986801.16             | $7492694.76                                |
| Month 2  | $-19691121.62            | $45790884.94                               |
| Month 3  | $-7161890.25             | $-4718712.51                               |

**Designated Index Information**

- **Index Name:** 15.9% Russell 3000/10.8% MSCI ACWI ex-USA IMI (net)/3.3% MSCI ACWI Commodity Producers (net)/24.5% Bloomberg US Aggregate Bond, 24.5% Bloomberg Global Aggregate Bond (USD hedged)/21% Bloomberg 1-10 Year US Gov Inflation-Linked Bonds

- **Index Identifier:** ^RUA,NDUEACWZ,MIWD0000oGUS,LBUSTRUU:IND,LEGATRUH,LTI1TRUU:IND

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LOAN BANK                           | Federal Home Loan Banks                                                                                                            | CUSIP: 3130AFW94<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |      585000 | PA      | $570509.55    | 0.07%             | 2024-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                             | Bank of America Corp                                                                                                               | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1066000 | PA      | $1019191.94   | 0.12%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GREENKO SOLAR MAURITIUS                          | Greenko Solar Mauritius Ltd                                                                                                        | CUSIP: 000000000<br>LEI: 2138007S1PL541B3KP92 | Long             | DBT              | CORP              | MU        |      200000 | PA      | $181250.00    | 0.02%             | 2026-07-29      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140XGCD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1556744 | PA      | $1323754.48   | 0.15%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     7802000 | PA      | $7748992.10   | 0.90%             | 2032-08-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                       | CUSIP: 1248EPCL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      539000 | PA      | $415073.12    | 0.05%             | 2033-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Alliance Bernstein                               | AB Fixed Income Shares, Inc. - Government Money Market Portfolio                                                                   | CUSIP: 018616748<br>LEI: 5493006YWHO7MNK2U579 | Long             | STIV             | RF                | US        |    72554357 | NS      | $72554356.63  | 8.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R02                                                                                       | CUSIP: 20754BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445411 | PA      | $435612.68    | 0.05%             | 2042-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      716900 | PA      | $724629.08    | 0.08%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                   | Morgan Stanley Capital I Trust 2011-C3                                                                                             | CUSIP: 61760RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60781 | PA      | $59852.46     | 0.01%             | 2049-07-15      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                      | Bell Telephone Co of Canada or Bell Canada/The                                                                                     | CUSIP: 07813ZCK8<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | DBT              | CORP              | CA        |      422000 | PA      | $327062.47    | 0.04%             | 2032-11-10      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                | Expedia Group Inc                                                                                                                  | CUSIP: 30212PAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       33000 | PA      | $33238.26     | 0.00%             | 2025-05-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-90597.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      495000 | PA      | $439853.91    | 0.05%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912828R36<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6599900 | PA      | $6081189.11   | 0.70%             | 2026-05-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140K3BF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1231437 | PA      | $1142051.97   | 0.13%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                                       | CUSIP: 11135FBQ3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      479000 | PA      | $345713.46    | 0.04%             | 2036-11-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                 | TotalEnergies SE                                                                                                                   | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |      505000 | PA      | $461333.81    | 0.05%             | 2027-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |           1 | NC      | $-38464.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                           | Mizuho Financial Group Inc                                                                                                         | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |      787000 | PA      | $786354.66    | 0.09%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                 | Flatiron CLO 21 Ltd                                                                                                                | CUSIP: 33883PAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      390000 | PA      | $359313.24    | 0.04%             | 2034-07-19      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                  | SBA Tower Trust                                                                                                                    | CUSIP: 78403DAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      774000 | PA      | $739549.26    | 0.09%             | 2049-10-15      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12993000 | PA      | $12099731.25  | 1.40%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: IS1IFA6   CDS USD R F  3.00000 IS1IFA6 CMBX / Short: IS1IFA6   CDS USD P V 01MEVENT IS1IFB7 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |        2534 | OU      | $-619.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LB-UBS Commercial Mortgage Trust                 | LB-UBS Commercial Mortgage Trust 2006-C6                                                                                           | CUSIP: 50179MAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116919 | PA      | $51129.62     | 0.01%             | 2039-09-15      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CDQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1505000 | PA      | $1349091.41   | 0.16%             | 2026-12-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                        | Nelnet Student Loan Trust 2021-B                                                                                                   | CUSIP: 64034QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140000 | PA      | $111218.84    | 0.01%             | 2062-04-20      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                                                                       | CUSIP: 902613AN8<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      845000 | PA      | $846951.95    | 0.10%             | 2026-05-12      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| ALLWYN ENTERTAINMENT FIN                         | Allwyn Entertainment Financing UK PLC                                                                                              | CUSIP: 000000000<br>LEI: 315700J7ZTIN8XGCX365 | Long             | DBT              | CORP              | GB        |      199000 | PA      | $207161.41    | 0.02%             | 2028-02-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                         | Brex Commercial Charge Card Master Trust                                                                                           | CUSIP: 05601DAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      555000 | PA      | $537377.58    | 0.06%             | 2025-07-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| BELL CANADA                                      | Bell Telephone Co of Canada or Bell Canada/The                                                                                     | CUSIP: 07813ZCG7<br>LEI: 549300JYAVAQRV5MNZ86 | Long             | DBT              | CORP              | CA        |      107000 | PA      | $68156.79     | 0.01%             | 2031-03-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Heathrow Funding Ltd                             | Heathrow Funding Ltd                                                                                                               | CUSIP: 000000000<br>LEI: 7TI96JO3DYEIQWZ7Z726 | Long             | DBT              | CORP              | JE        |      300000 | PA      | $373202.90    | 0.04%             | 2031-12-10      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-129083.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140QLGX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2258796 | PA      | $1850406.44   | 0.21%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133B93N2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1283632 | PA      | $1092821.19   | 0.13%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L Street Securities                              | JP Morgan Madison Avenue Securities Trust Series 2014-1                                                                            | CUSIP: 46643HAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20030 | PA      | $19309.83     | 0.00%             | 2024-11-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| IBERDROLA INTL BV                                | Iberdrola International BV                                                                                                         | CUSIP: 000000000<br>LEI: 549300ZMLFJKWC63XN87 | Long             | DBT              | CORP              | NL        |      500000 | PA      | $453768.89    | 0.05%             | 2026-11-09      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                            | TransCanada PipeLines Ltd                                                                                                          | CUSIP: 89352HAD1<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      220000 | PA      | $224595.80    | 0.03%             | 2037-10-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                | Vornado Realty LP                                                                                                                  | CUSIP: 929043AL1<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |      852000 | PA      | $632184.00    | 0.07%             | 2031-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                              | CUSIP: 3132Y3ZC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      146562 | PA      | $147777.35    | 0.02%             | 2048-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                              | JPMorgan Chase & Co                                                                                                                | CUSIP: 000000000<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      427000 | PA      | $415345.78    | 0.05%             | 2027-03-11      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS1IGS1   IRS USD R V 03MLIBOR IS1IGT2 CCPVANILLA / Short: BS1IGS1   IRS USD P F  1.45850 IS1IGS1 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      840000 | OU      | $83469.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 31417FZR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6110 | PA      | $5723.43      | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |           1 | NC      | $4594.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $121833.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         129 | NC      | $-558772.31   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| WORKDAY INC                                      | Workday Inc                                                                                                                        | CUSIP: 98138HAH4<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       82000 | PA      | $75218.60     | 0.01%             | 2029-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          12 | NC      | $-7024.03     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ENTERGY ARKANSAS LLC                             | Entergy Arkansas LLC                                                                                                               | CUSIP: 29366MAC2<br>LEI: 549300A0I5ONUIFMLP35 | Long             | DBT              | CORP              | US        |      237000 | PA      | $166084.86    | 0.02%             | 2052-06-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CL        |           1 | NC      | $325589.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                         | Liberty Mutual Group Inc                                                                                                           | CUSIP: 000000000<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |      365000 | PA      | $344265.98    | 0.04%             | 2059-05-23      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                                   | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      168000 | PA      | $155618.40    | 0.02%             | 2028-05-22      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                             | Bank of America Corp                                                                                                               | CUSIP: 06051GHT9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      369000 | PA      | $345756.69    | 0.04%             | 2027-04-23      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| VOLCAN CIA MINERA SAA-CM                         | Volcan Cia Minera SAA                                                                                                              | CUSIP: 92863UAB2<br>LEI: 549300XKJ91C4SZLG750 | Long             | DBT              | CORP              | PE        |      152000 | PA      | $130701.00    | 0.02%             | 2026-02-11      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                         | Long: SS24X76   IRS EUR R F   .00000 IS24X76  IRS REC F  -0.0165 / Short: SS24X76   IRS EUR P V 06MEURIB IS24X87 IRS REC F S       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | FR        |     2300000 | OU      | $-1245089.55  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: BS25Q70   IRS EUR R V 06MEURIB IS25Q81 CCPVANILLA / Short: BS25Q70   IRS EUR P F   .02300 IS25Q70 CCPVANILLA                 | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |     2310000 | OU      | $1231769.99   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN GAS NETWORK PLC                         | Southern Gas Networks PLC                                                                                                          | CUSIP: 000000000<br>LEI: 549300SPX8573VZ2SK79 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $354553.63    | 0.04%             | 2029-03-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAL5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      285000 | PA      | $240850.65    | 0.03%             | 2026-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                    | Discover Bank                                                                                                                      | CUSIP: 25466AAN1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |      300000 | PA      | $288744.00    | 0.03%             | 2028-08-09      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                           | Santander Holdings USA Inc                                                                                                         | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      585000 | PA      | $503281.35    | 0.06%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 31346YA29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      168226 | PA      | $156067.65    | 0.02%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD CNH                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-13136.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                      | Balboa Bay Loan Funding 2021-1 Ltd                                                                                                 | CUSIP: 05765XAA9<br>LEI: 549300G0EX8VHFWPJW18 | Long             | ABS-CBDO         | CORP              | KY        |      816233 | PA      | $795738.21    | 0.09%             | 2034-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                         | Omega Healthcare Investors Inc                                                                                                     | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |       67000 | PA      | $55068.64     | 0.01%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CCP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1865000 | PA      | $1649067.97   | 0.19%             | 2026-07-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                                             | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      580000 | PA      | $466923.20    | 0.05%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                           | CUSIP: 38380B6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      645860 | PA      | $74412.93     | 0.01%             | 2047-04-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| WEIBO CORP                                       | Weibo Corp                                                                                                                         | CUSIP: 948596AE1<br>LEI: 549300Q9ID4640FE0422 | Long             | DBT              | CORP              | KY        |     2373000 | PA      | $1808374.31   | 0.21%             | 2030-07-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LORCA TELECOM BONDCO                             | Lorca Telecom Bondco SA                                                                                                            | CUSIP: 000000000<br>LEI: 9598004HFBAS82YM7X35 | Long             | DBT              | CORP              | ES        |      320000 | PA      | $306189.66    | 0.04%             | 2027-09-18      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-380726.70   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5636200 | PA      | $5146555.13   | 0.59%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                                             | CUSIP: 853254CL2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      513000 | PA      | $529169.76    | 0.06%             | 2025-11-16      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140JXTG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      466293 | PA      | $432300.93    | 0.05%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2019-3 Ltd                                                                                                           | CUSIP: 07877GAB5<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |      131690 | PA      | $131625.31    | 0.02%             | 2029-07-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.                             | Peace Park CLO Ltd                                                                                                                 | CUSIP: 70470MAC9<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |      287000 | PA      | $279445.30    | 0.03%             | 2034-10-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6975200 | PA      | $4809618.38   | 0.56%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ANGLIAN WATER SERV FIN                           | Anglian Water Services Financing PLC                                                                                               | CUSIP: 000000000<br>LEI: 213800DL377MH46PDY63 | Long             | DBT              | CORP              | GB        |      400000 | PA      | $418499.84    | 0.05%             | 2029-10-26      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                             | Parker-Hannifin Corp                                                                                                               | CUSIP: 701094AN4<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |      223000 | PA      | $199346.39    | 0.02%             | 2029-06-14      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                      | Netflix Inc                                                                                                                        | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      260000 | PA      | $272282.96    | 0.03%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                          | Australia & New Zealand Banking Group Ltd                                                                                          | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |      225000 | PA      | $215583.75    | 0.02%             | 2026-05-19      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ARAB REPUBLIC OF EGYPT                           | Egypt Government International Bond                                                                                                | CUSIP: 03846JAB6<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      580000 | PA      | $401033.75    | 0.05%             | 2031-02-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                 | NMEF Funding 2022-B LLC                                                                                                            | CUSIP: 62890MAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450000 | PA      | $449270.06    | 0.05%             | 2029-06-15      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                                            | CUSIP: 35564KKY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1964648 | PA      | $1866355.09   | 0.22%             | 2041-10-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| VISTRA CORP                                      | Vistra Corp                                                                                                                        | CUSIP: 92840MAC6<br>LEI: 549300KP43CPCUJOOG15 | Long             | DBT              | CORP              | US        |      384000 | PA      | $350058.24    | 0.04%             | 2026-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     1043000 | PA      | $563322.20    | 0.07%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      230000 | PA      | $189888.00    | 0.02%             | 2031-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                          | GLP Capital LP / GLP Financing II Inc                                                                                              | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              |  | US        |      955000 | PA      | $764191.00    | 0.09%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                               | Dominican Republic International Bond                                                                                              | CUSIP: 25714PEF1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     1307000 | PA      | $1080562.25   | 0.12%             | 2032-09-23      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |           1 | NC      | $18145.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| University of California                         | UNIV OF CALIFORNIA CA REVENUES                                                                                                     | CUSIP: 91412HKE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1130000 | PA      | $756027.97    | 0.09%             | 2051-05-15      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| ALTRIA GROUP INC                                 | Altria Group Inc                                                                                                                   | CUSIP: 02209SBJ1<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      985000 | PA      | $840835.40    | 0.10%             | 2030-05-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 9128285D8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5987000 | PA      | $5910291.56   | 0.68%             | 2023-09-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                  | Prestige Auto Receivables Trust 2022-1                                                                                             | CUSIP: 74113RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      681000 | PA      | $680805.98    | 0.08%             | 2025-07-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                      | PURCHASED SEK / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DFE              |  | SE        |           1 | NC      | $-31312.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                           | Volkswagen International Finance NV                                                                                                | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |      700000 | PA      | $606772.52    | 0.07%             | 2028-09-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-9578.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                            | GSF 2021 1 ISSUER LLC                                                                                                              | CUSIP: 36261CAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1071000 | PA      | $1007672.84   | 0.12%             | 2026-08-15      | Variable      | 2.44%                 | No            |                  3 | On Loan: No      |
| AREIT CRE Trust                                  | AREIT 2022-CRE6 Trust                                                                                                              | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     1812959 | PA      | $1731287.24   | 0.20%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05367AAH6<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      271000 | PA      | $255298.26    | 0.03%             | 2025-10-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |           1 | NC      | $-34127.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R06                                                                                       | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      528574 | PA      | $535157.49    | 0.06%             | 2042-05-25      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                         | Deutsche Telekom International Finance BV                                                                                          | CUSIP: 000000000<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |      248000 | PA      | $357528.91    | 0.04%             | 2028-11-27      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2019-2 Ltd                                                                                                           | CUSIP: 07877BAE0<br>LEI: 254900I4ZKD8IMM1O953 | Long             | ABS-MBS          | CORP              | BM        |      259228 | PA      | $257399.29    | 0.03%             | 2029-04-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                          | Goldman Sachs Group Inc/The                                                                                                        | CUSIP: 38141GYU2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      676000 | PA      | $562445.52    | 0.06%             | 2026-11-10      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                     | AGL CLO 12 Ltd                                                                                                                     | CUSIP: 00120BAJ9<br>LEI: 54930005OE1IFBESDA27 | Long             | ABS-CBDO         | CORP              | KY        |      350000 | PA      | $316167.60    | 0.04%             | 2034-07-20      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                        | Nelnet Student Loan Trust 2021-D                                                                                                   | CUSIP: 64034YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      457000 | PA      | $364127.27    | 0.04%             | 2062-04-20      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| NATIONAL AUSTRALIA BANK                          | National Australia Bank Ltd                                                                                                        | CUSIP: 000000000<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |      850000 | PA      | $738997.12    | 0.09%             | 2029-01-06      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 31417EJG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      371313 | PA      | $347812.87    | 0.04%             | 2043-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                              | OMXS30 IND FUTURE JAN23                                                                                                            | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |         266 | NC      | $-137858.35   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Bank USA                           | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-178846.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| E.ON INTL FINANCE BV                             | E.ON International Finance BV                                                                                                      | CUSIP: 000000000<br>LEI: 549300TG53AWJ719M814 | Long             | DBT              | CORP              | NL        |      375000 | PA      | $471984.70    | 0.05%             | 2030-06-03      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: IS1D6Z3   CDS USD R F  3.00000 IS1D6Z3 CMBX-BBB--413146 / Short: IS1D6Z3   CDS USD P V 00MEVENT IS1D705 CMBX-BBB--413146     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |        5702 | OU      | $-1394.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CL        |           1 | NC      | $119173.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                           | General Motors Financial Co Inc                                                                                                    | CUSIP: 37045XBG0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      206000 | PA      | $202864.68    | 0.02%             | 2026-03-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ICG US CLO Ltd                                   | ICG US CLO 2015-1 Ltd                                                                                                              | CUSIP: 44931AAJ8<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-CBDO         | CORP              | KY        |      385442 | PA      | $380668.35    | 0.04%             | 2028-10-19      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                                                                                | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     1898000 | PA      | $1657959.94   | 0.19%             | 2028-01-19      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| JAPAN (10 YEAR ISSUE)                            | Japan Government Ten Year Bond                                                                                                     | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   362650000 | PA      | $2779671.91   | 0.32%             | 2023-12-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                                       | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       70000 | PA      | $51356.20     | 0.01%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | FTSE 100 IDX FUT MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               |  | GB        |         166 | NC      | $-103602.19   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                                       | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |       80000 | PA      | $72400.00     | 0.01%             | 2030-04-29      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes          | Santander Bank NA - SBCLN                                                                                                          | CUSIP: 80290CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      191153 | PA      | $183857.38    | 0.02%             | 2031-12-15      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Long: IS1CJQ2   CDS USD R F  3.00000 IS1CJQ2 CMBX-BBB--410410 / Short: IS1CJQ2   CDS USD P V 00MEVENT IS1CJR3 CMBX-BBB--410410     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |       41183 | OU      | $-10074.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                                                                    | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |      750000 | PA      | $652974.68    | 0.08%             | 2049-11-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                     | ING Groep NV                                                                                                                       | CUSIP: 456837AF0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      201000 | PA      | $190228.41    | 0.02%             | 2025-04-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED GBP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | GB        |           1 | NC      | $-33456.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                            | Time Warner Cable LLC                                                                                                              | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |      494000 | PA      | $363094.94    | 0.04%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond - WI Reopening                                                                                    | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      374700 | PA      | $369430.78    | 0.04%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA7                                                                                            | CUSIP: 35564KL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1406172 | PA      | $1410871.32   | 0.16%             | 2052-03-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $1916.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                              | CUSIP: 3132XXD22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      130418 | PA      | $128210.04    | 0.01%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENA MASTER TRUST                                 | ENA Master Trust                                                                                                                   | CUSIP: 29249BAA3<br>LEI: 549300CBCHB6Q73VG753 | Long             | DBT              | CORP              | PA        |     1113000 | PA      | $746405.63    | 0.09%             | 2048-05-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust       | JPMBB Commercial Mortgage Securities Trust 2014-C22                                                                                | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12852479 | PA      | $120575.54    | 0.01%             | 2047-09-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      201190 | PA      | $131491.86    | 0.02%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| IQVIA INC                                        | IQVIA Inc                                                                                                                          | CUSIP: 000000000<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |      200000 | PA      | $179938.28    | 0.02%             | 2029-03-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                                                                                | CUSIP: 37940XAN2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      281000 | PA      | $272730.17    | 0.03%             | 2029-08-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CIGNA CORP                                       | Cigna Corp                                                                                                                         | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |      416000 | PA      | $401281.92    | 0.05%             | 2028-10-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN WATER CAPITAL C                         | American Water Capital Corp                                                                                                        | CUSIP: 03040WAU9<br>LEI: 5IDHQUFVC8Q2KIBBFF06 | Long             | DBT              | CORP              | US        |      132000 | PA      | $120418.32    | 0.01%             | 2029-06-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                | Suncor Energy Inc                                                                                                                  | CUSIP: 86722TAB8<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |      281000 | PA      | $295679.44    | 0.03%             | 2039-06-01      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                              | Bank of Nova Scotia/The                                                                                                            | CUSIP: 000000000<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |      537000 | PA      | $500666.63    | 0.06%             | 2027-01-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  6846450000 | PA      | $5111720.38   | 0.59%             | 2027-03-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                         | Cooperatieve Rabobank UA                                                                                                           | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      400000 | PA      | $380767.45    | 0.04%             | 2027-06-29      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                 | Altice France SA/France                                                                                                            | CUSIP: 000000000<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      320000 | PA      | $257812.19    | 0.03%             | 2028-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURA                         | Nationwide Mutual Insurance Co                                                                                                     | CUSIP: 638671AK3<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |      420000 | PA      | $543799.20    | 0.06%             | 2039-08-15      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD SEK                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $26666.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIB GROUP PLC                                    | AIB Group PLC                                                                                                                      | CUSIP: 00135TAC8<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |     1524000 | PA      | $1550852.88   | 0.18%             | 2026-10-14      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-1641.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers Clo 42 Ltd                                                                                          | CUSIP: 64133WAG0<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |      455467 | PA      | $421613.05    | 0.05%             | 2035-07-16      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD CHF                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-99693.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARG                         | Banco Bilbao Vizcaya Argentaria SA                                                                                                 | CUSIP: 05946KAG6<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $383580.00    | 0.04%             | 2025-03-05      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER UTIL FIN                            | Thames Water Utilities Finance PLC                                                                                                 | CUSIP: 000000000<br>LEI: 213800ESMPQ4RQ7G8351 | Long             | DBT              | CORP              | GB        |      360000 | PA      | $458636.98    | 0.05%             | 2028-11-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE PIPELINES INC                           | Enbridge Pipelines Inc                                                                                                             | CUSIP: 29250ZAZ1<br>LEI: 549300I7CU6YE54FMU33 | Long             | DBT              | CORP              | CA        |      192000 | PA      | $118926.56    | 0.01%             | 2031-05-12      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                     | Upstart Securitization Trust 2021-3                                                                                                | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      750000 | PA      | $697421.18    | 0.08%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-73877.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                                       | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      518000 | PA      | $452747.54    | 0.05%             | 2037-05-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA2                                                                                            | CUSIP: 35564KRF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      560853 | PA      | $545439.53    | 0.06%             | 2042-02-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2022-1 Ltd                                                                                                           | CUSIP: 078774AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      334502 | PA      | $318509.79    | 0.04%             | 2032-01-26      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BS22XY7   IRS USD R V 03MLIBOR IS22XZ8 CCPVANILLA / Short: BS22XY7   IRS USD P F   .55750 IS22XY7 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    10260000 | OU      | $1486237.85   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1924000 | PA      | $1854555.53   | 0.21%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re Ltd                                                                                                                  | CUSIP: 07876MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      602181 | PA      | $575258.09    | 0.07%             | 2031-03-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| ACM Auto Trust                                   | ACM Auto Trust 2022-1                                                                                                              | CUSIP: 00091QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      319919 | PA      | $319097.64    | 0.04%             | 2029-04-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                                       | CUSIP: 11135FAQ4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      225000 | PA      | $201573.00    | 0.02%             | 2030-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136ALP47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      480160 | PA      | $45711.10     | 0.01%             | 2044-12-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS13GW0   IRS USD R V 03MLIBOR IS13GX1 CCPVANILLA / Short: BS13GW0   IRS USD P F  1.77300 IS13GW0 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1990000 | OU      | $161407.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                                                                                                        | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     2730100 | PA      | $2707194.46   | 0.31%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |           1 | NC      | $-5884.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Long: IS1CJM8   CDS USD R F  3.00000 IS1CJM8 CMBX-BBB--410332 / Short: IS1CJM8   CDS USD P V 00MEVENT IS1CJN9 CMBX-BBB--410332     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |       41183 | OU      | $-10074.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                         | Celanese US Holdings LLC                                                                                                           | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     1039000 | PA      | $1038449.33   | 0.12%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                 | Bank of Montreal                                                                                                                   | CUSIP: 000000000<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |      815000 | PA      | $763329.40    | 0.09%             | 2027-01-26      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Regatta XXIV Funding Ltd.                        | Regatta XXIV Funding Ltd                                                                                                           | CUSIP: 75889HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $242993.50    | 0.03%             | 2035-01-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                              | Synchrony Financial                                                                                                                | CUSIP: 87165BAS2<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      109000 | PA      | $106336.04    | 0.01%             | 2025-06-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Mission Lane Credit Card Master Trust            | Mission Lane Credit Card Master Trust                                                                                              | CUSIP: 60510MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      244000 | PA      | $236268.01    | 0.03%             | 2026-09-15      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                        | ONEOK Inc                                                                                                                          | CUSIP: 682680AW3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      505000 | PA      | $468286.50    | 0.05%             | 2029-03-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136ATV27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1075488 | PA      | $104485.64    | 0.01%             | 2046-10-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                        | ONEOK Inc                                                                                                                          | CUSIP: 682680AS2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      263000 | PA      | $247727.59    | 0.03%             | 2027-07-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2095000 | PA      | $1611918.37   | 0.19%             | 2041-10-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                              | COMM 2010-C1 Mortgage Trust                                                                                                        | CUSIP: 12622DAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      969224 | PA      | $938931.78    | 0.11%             | 2046-07-10      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS1ZZM9   IRS USD R V 12MUSCPI IS1ZZN0 CCPINFLATIONZERO / Short: BS1ZZM9   IRS USD P F  1.58900 IS1ZZM9 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    28500000 | OU      | $3479370.63   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-26451.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TELUS CORP                                       | TELUS Corp                                                                                                                         | CUSIP: 87971MBX0<br>LEI: L2TEUTQ8OSHMJWVLCE40 | Long             | DBT              | CORP              | CA        |      542000 | PA      | $398293.94    | 0.05%             | 2032-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                       | LAD Auto Receivables Trust 2021-1                                                                                                  | CUSIP: 501683AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      406567 | PA      | $395103.88    | 0.05%             | 2026-08-17      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAA9<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      267000 | PA      | $233633.01    | 0.03%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |           1 | NC      | $-63437.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SS2CBG5   IRS NZD R F  2.50250 IS2CBG5 CCPVANILLA / Short: SS2CBG5   IRS NZD P V 03MNZDBB IS2CBH6 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     5299000 | OU      | $-178893.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      215000 | PA      | $143310.94    | 0.02%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                    | Ballyrock CLO 15 Ltd                                                                                                               | CUSIP: 05875TAG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      375000 | PA      | $344969.63    | 0.04%             | 2034-04-15      | Floating      | 7.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      203886 | PA      | $209192.43    | 0.02%             | 2024-11-25      | Floating      | 9.29%                 | No            |                  2 | On Loan: No      |
| HP INC                                           | HP Inc                                                                                                                             | CUSIP: 40434LAN5<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     1631000 | PA      | $1534167.53   | 0.18%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    14275400 | PA      | $13983200.41  | 1.62%             | 2024-08-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                            | Neighborly Issuer LLC                                                                                                              | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      444665 | PA      | $355803.06    | 0.04%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | Long: IS2K0F1   TRS USD R V 00MSOFR IS2K0G2 IBOXXTRS / Short: IS2K0F1   TRS USD P F  1.00000 IS2K0F1 IBOXXTRS                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    10359271 | OU      | $116448.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967JM4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      367000 | PA      | $335518.74    | 0.04%             | 2025-05-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      634000 | PA      | $823145.97    | 0.10%             | 2034-07-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 9128286X3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5545000 | PA      | $5191506.25   | 0.60%             | 2026-05-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      854000 | PA      | $609275.63    | 0.07%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRUST                 | WFRBS Commercial Mortgage Trust 2014-C24                                                                                           | CUSIP: 92939KAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142800 | PA      | $136082.27    | 0.02%             | 2047-11-15      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                          | Inter-American Development Bank                                                                                                    | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |      662000 | PA      | $450461.37    | 0.05%             | 2026-06-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137FTV38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     3238876 | PA      | $312485.18    | 0.04%             | 2050-06-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-63541.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-1736829.27  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit         | Ford Credit Auto Owner Trust 2021-REV1                                                                                             | CUSIP: 345340AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      824000 | PA      | $716285.73    | 0.08%             | 2033-10-17      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      328192 | PA      | $346193.54    | 0.04%             | 2028-04-25      | Floating      | 10.09%                | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade RE 2021-3 Ltd                                                                                                           | CUSIP: 078777AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      878067 | PA      | $832043.56    | 0.10%             | 2031-09-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                                                                       | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $423171.22    | 0.05%             | 2026-12-03      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AXIS Equipment Finance Receivables LLC           | Amur Equipment Finance Receivables XI LLC                                                                                          | CUSIP: 03236XAB3<br>LEI: 549300IFG1NMINYRYF89 | Long             | ABS-O            | CORP              | US        |      425000 | PA      | $420308.60    | 0.05%             | 2028-06-21      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED SEK / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | SE        |           1 | NC      | $-28676.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                              | DBWF 2018-GLKS Mortgage Trust                                                                                                      | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      765585 | PA      | $742536.76    | 0.09%             | 2030-12-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138EHUP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      210148 | PA      | $196670.75    | 0.02%             | 2042-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CCS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3469900 | PA      | $2825799.81   | 0.33%             | 2031-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $2295.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                           | Marlette Funding Trust 2022-2                                                                                                      | CUSIP: 57107LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      236767 | PA      | $233611.97    | 0.03%             | 2032-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CEK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7142000 | PA      | $6938899.38   | 0.80%             | 2024-04-30      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust    | JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6                                                                       | CUSIP: 46634SAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374644 | PA      | $303293.72    | 0.04%             | 2045-05-15      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: IS1S4L0   CDS USD R F  3.00000 IS1S4L0 CMBX / Short: IS1S4L0   CDS USD P V 01MEVENT IS1S4M1 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |        6970 | OU      | $-1704.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | JP        |           1 | NC      | $112755.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-93456.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHF Trust 2021-2                                 | FHF Trust 2021-2                                                                                                                   | CUSIP: 30322JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      281371 | PA      | $267478.91    | 0.03%             | 2026-12-15      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                         | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                              | CUSIP: 830867AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      488263 | PA      | $475919.71    | 0.05%             | 2025-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill- When Issued                                                                                           | CUSIP: 912796YN3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |     3020000 | PA      | $2986803.92   | 0.35%             | 2023-04-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes          | Santander Bank Auto Credit-Linked Notes Series 2022-A                                                                              | CUSIP: 80290CAS3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      875595 | PA      | $854816.69    | 0.10%             | 2032-05-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN NETH                         | Imperial Brands Finance Netherlands BV                                                                                             | CUSIP: 000000000<br>LEI: 724500GIEFJOBWGD0272 | Long             | DBT              | CORP              | NL        |      176000 | PA      | $131685.33    | 0.02%             | 2033-03-18      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-N4                                                                                             | CUSIP: 14687HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      215000 | PA      | $195210.95    | 0.02%             | 2028-09-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United Auto Credit Securitization Trust          | United Auto Credit Securitization Trust 2022-2                                                                                     | CUSIP: 90944KAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      717001 | PA      | $713599.30    | 0.08%             | 2025-04-10      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT HOLDCO FIN LTD                         | Odebrecht Holdco Finance Ltd                                                                                                       | CUSIP: 67577TAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      639240 | PA      | $767.09       | 0.00%             | 2058-09-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WORKDAY INC                                      | Workday Inc                                                                                                                        | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |       98000 | PA      | $86485.98     | 0.01%             | 2032-04-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | CA        |           1 | NC      | $324.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: IS1PAM4   CDS USD R F  3.00000 IS1PAM4 CMBX / Short: IS1PAM4   CDS USD P V 01MEVENT IS1PAN5 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |        2534 | OU      | $-620.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          52 | NC      | $-147074.88   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SUEZ                                             | Suez SACA                                                                                                                          | CUSIP: 000000000<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      600000 | PA      | $581864.23    | 0.07%             | 2027-05-24      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                           | Commonwealth Bank of Australia                                                                                                     | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |      311000 | PA      | $255533.15    | 0.03%             | 2032-03-14      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R03                                                                                       | CUSIP: 20753XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1601781 | PA      | $1621833.86   | 0.19%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| AutoNation Inc                                   | AutoNation Inc                                                                                                                     | CUSIP: 05329WAP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      274000 | PA      | $248950.92    | 0.03%             | 2027-11-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVERNMENT                              | Malaysia Government Bond                                                                                                           | CUSIP: 000000000<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     4736000 | PA      | $1104998.57   | 0.13%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                         | Embraer Netherlands Finance BV                                                                                                     | CUSIP: 29082HAB8<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |      725000 | PA      | $694323.44    | 0.08%             | 2027-02-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2021-R01                                                                                       | CUSIP: 20754RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15708 | PA      | $15569.85     | 0.00%             | 2041-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                 | CUSIP: 36179SB71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      180198 | PA      | $163396.84    | 0.02%             | 2046-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                           | NXP BV / NXP Funding LLC / NXP USA Inc                                                                                             | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |      261000 | PA      | $225232.56    | 0.03%             | 2030-05-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                    | DISH DBS Corp                                                                                                                      | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      875000 | PA      | $698923.75    | 0.08%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | AL33003 ALLIANCE                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | US        |       76000 | NC      | $458301.63    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2011-GC5                                                                                              | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      410082 | PA      | $402742.99    | 0.05%             | 2044-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    86000000 | PA      | $568514.78    | 0.07%             | 2052-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6396500 | PA      | $5685888.83   | 0.66%             | 2026-09-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10462600 | PA      | $6710777.03   | 0.78%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      675000 | PA      | $588033.00    | 0.07%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-140786.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1112792 | PA      | $1044632.93   | 0.12%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Genworth Mortgage Insurance Corporation          | Triangle Re 2021-3 Ltd                                                                                                             | CUSIP: 89600HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      295604 | PA      | $294244.22    | 0.03%             | 2034-02-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2021-R01                                                                                       | CUSIP: 20754RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47705 | PA      | $46491.24     | 0.01%             | 2041-10-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 20754KAB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      630445 | PA      | $586352.18    | 0.07%             | 2041-11-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| DIGITAL EURO FINCO                               | Digital Euro Finco LLC                                                                                                             | CUSIP: 000000000<br>LEI: 635400OUEAPTXSW3SC91 | Long             | DBT              |  | US        |      820000 | PA      | $812848.82    | 0.09%             | 2026-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |           1 | NC      | $4696.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED NZD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |           1 | NC      | $-17878.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                                                                    | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      920000 | PA      | $847881.20    | 0.10%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HFX FUNDING ISSUER                               | HFX FUNDING ISSUER                                                                                                                 | CUSIP: 40422GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1230000 | PA      | $1140013.20   | 0.13%             | 2035-03-15      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | CA        |           1 | NC      | $-11646.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS NC                         | Duke Energy Carolinas NC Storm Funding LLC                                                                                         | CUSIP: 26443KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      542000 | PA      | $395985.20    | 0.05%             | 2041-07-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                         | Fox Corp                                                                                                                           | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      210000 | PA      | $203269.50    | 0.02%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| CIA DE MINAS BUENAVENTUR                         | Cia de Minas Buenaventura SAA                                                                                                      | CUSIP: 204448AA2<br>LEI: 529900WQB1ZU9KB6EL71 | Long             | DBT              | CORP              | PE        |      228000 | PA      | $195054.00    | 0.02%             | 2026-07-23      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | XX        |           1 | NC      | $5312.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 10YR BOND FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         -97 | NC      | $171081.78    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                      | Long: BS19PK9   IRS USD R V 03MLIBOR IS19PL0 CCPVANILLA / Short: BS19PK9   IRS USD P F  1.67150 IS19PK9 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      420000 | OU      | $38754.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136A2N58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      607001 | PA      | $77053.17     | 0.01%             | 2041-12-25      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Host Hotels & Resorts LP                         | Host Hotels & Resorts LP                                                                                                           | CUSIP: 44107TAV8<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |      268000 | PA      | $257601.60    | 0.03%             | 2025-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1872600 | PA      | $1732740.19   | 0.20%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                              | CUSIP: 3132Y3ZL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      401421 | PA      | $395332.47    | 0.05%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUMMER BC HOLDCO B SARL                          | Summer BC Holdco B SARL                                                                                                            | CUSIP: 000000000<br>LEI: 984500NRF59D5DB9B654 | Long             | DBT              | CORP              | LU        |      320000 | PA      | $292183.04    | 0.03%             | 2026-10-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PDM5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     1170000 | PA      | $1170070.20   | 0.14%             | 2025-12-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-N3                                                                                             | CUSIP: 14687GAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      430028 | PA      | $415647.16    | 0.05%             | 2028-06-12      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -90 | NC      | $227520.04    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                                                                     | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      498000 | PA      | $389689.98    | 0.05%             | 2032-04-19      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED CNH / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CN        |           1 | NC      | $109725.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOTA DO TESOURO NACIONAL                         | Brazil Notas do Tesouro Nacional Serie F                                                                                           | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    12369000 | PA      | $2094432.65   | 0.24%             | 2029-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |           1 | NC      | $-31732.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140FLTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      254082 | PA      | $237856.81    | 0.03%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L Street Securities                              | Wells Fargo Credit Risk Transfer Securities Trust 2015                                                                             | CUSIP: 949771AC3<br>LEI: 549300T6W1U156OOG754 | Long             | ABS-MBS          | CORP              | US        |      126402 | PA      | $117290.95    | 0.01%             | 2025-11-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CDK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8434200 | PA      | $7573648.03   | 0.88%             | 2026-11-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Eagle Re Ltd                                     | Eagle RE 2021-2 Ltd                                                                                                                | CUSIP: 26982AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      215889 | PA      | $210235.43    | 0.02%             | 2034-04-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                    | Carnival Corp                                                                                                                      | CUSIP: 143658BQ4<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |     1057000 | PA      | $861127.33    | 0.10%             | 2028-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-HQA4                                                                                            | CUSIP: 35564KNS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      414809 | PA      | $366070.27    | 0.04%             | 2041-12-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Province of Quebec                               | Province of Quebec Canada                                                                                                          | CUSIP: 000000000<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      988000 | PA      | $954688.64    | 0.11%             | 2027-05-04      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-100442.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-24761.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                           | Anglo American Capital PLC                                                                                                         | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |      634000 | PA      | $570203.75    | 0.07%             | 2029-03-16      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1BZK5   CDS USD R F  3.00000 IS1BZK5 CMBX-BBB--408197 / Short: IS1BZK5   CDS USD P V 00MEVENT IS1BZL6 CMBX-BBB--408197     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       22176 | OU      | $-5424.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRICITE DE FRANCE SA                         | Electricite de France SA                                                                                                           | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      400000 | PA      | $350221.10    | 0.04%             | 2026-12-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BS1YET6   IRS USD R V 03MLIBOR IS1YEU7 CCPVANILLA / Short: BS1YET6   IRS USD P F  1.76350 IS1YET6 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1830000 | OU      | $241111.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $-49407.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2021-Z1                                                                                          | CUSIP: 00834CAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      184004 | PA      | $178820.73    | 0.02%             | 2025-08-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                    | UBS Commercial Mortgage Trust                                                                                                      | CUSIP: 90278MBD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      364000 | PA      | $302515.27    | 0.03%             | 2052-10-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SS2G0B5   IRS EUR R F  1.46350 IS2G0B5 CCPVANILLA / Short: SS2G0B5   IRS EUR P V 06MEURIB IS2G0C6 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2641000 | OU      | $-185724.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | S+P/TSX 60 IX FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |         -43 | NC      | $230261.01    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| AIB GROUP PLC                                    | AIB Group PLC                                                                                                                      | CUSIP: 000000000<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |      700000 | PA      | $633995.12    | 0.07%             | 2027-11-17      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                                           | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      947000 | PA      | $780820.44    | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| BRITISH AMERICAN TOBACCO                         | British American Tobacco PLC                                                                                                       | CUSIP: 000000000<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |      528000 | PA      | $437496.65    | 0.05%             | 2026-09-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                         | European Investment Bank                                                                                                           | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |      690000 | PA      | $400215.90    | 0.05%             | 2027-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2018-R07                                                                                       | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39225 | PA      | $39127.83     | 0.00%             | 2031-04-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |           1 | NC      | $96939.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      905000 | PA      | $733615.63    | 0.08%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re Ltd                                                                                                                  | CUSIP: 07876AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      917587 | PA      | $881168.71    | 0.10%             | 2031-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                                                                      | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      860000 | PA      | $761194.60    | 0.09%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Societe Generale                                 | Societe Generale SA                                                                                                                | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      390000 | PA      | $392148.90    | 0.05%             | 2025-09-29      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FLOWSERVE CORPORATION                            | Flowserve Corp                                                                                                                     | CUSIP: 34355JAB4<br>LEI: 6Y0GK87T6V7NJKZJVM41 | Long             | DBT              | CORP              | US        |      530000 | PA      | $396042.50    | 0.05%             | 2032-01-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -146 | NC      | $178080.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                                                                          | CUSIP: 682680BE2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      667000 | PA      | $679719.69    | 0.08%             | 2031-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                     | Ecopetrol SA                                                                                                                       | CUSIP: 279158AQ2<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      459000 | PA      | $308677.50    | 0.04%             | 2051-11-02      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                                                                    | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     1334000 | PA      | $1352409.20   | 0.16%             | 2026-11-21      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-20516.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS0ZA58   IRS USD R V 03MLIBOR IS0ZA69 CCPVANILLA / Short: BS0ZA58   IRS USD P F  2.61250 IS0ZA58 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1010000 | OU      | $127537.11    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                           | CUSIP: 38380GHH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      509171 | PA      | $56640.77     | 0.01%             | 2047-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |           1 | NC      | $20864.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         -23 | NC      | $111895.18    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-DNA6                                                                                            | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64057 | PA      | $63222.94     | 0.01%             | 2041-10-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                           | Credit Suisse Group AG                                                                                                             | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      223000 | PA      | $194951.06    | 0.02%             | 2023-12-11      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                     | Voya CLO 2019-1 Ltd                                                                                                                | CUSIP: 92917NAS7<br>LEI: 549300KSCKXTOBY0IP86 | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $294965.64    | 0.03%             | 2031-04-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    13960000 | PA      | $2008262.18   | 0.23%             | 2029-03-24      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                         | Omega Healthcare Investors Inc                                                                                                     | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |      425000 | PA      | $307398.25    | 0.04%             | 2033-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-52878.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KLA CORP                                         | KLA Corp                                                                                                                           | CUSIP: 482480AG5<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      108000 | PA      | $104500.80    | 0.01%             | 2029-03-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1BYG4   CDS USD R F  3.00000 IS1BYG4 CMBX-BBB--407892 / Short: IS1BYG4   CDS USD P V 00MEVENT IS1BYH5 CMBX-BBB--407892     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       34848 | OU      | $-8524.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ESSENTIAL PROPER                                 | Essential Properties LP                                                                                                            | CUSIP: 29670VAA7<br>LEI: 254900XX9FNFCDE1NX02 | Long             | DBT              |  | US        |      533000 | PA      | $386504.95    | 0.04%             | 2031-07-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                            | GSF 2021 1 ISSUER LLC                                                                                                              | CUSIP: 36261CAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       39000 | PA      | $35384.23     | 0.00%             | 2026-08-15      | Variable      | 2.64%                 | No            |                  3 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3132DNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1443379 | PA      | $1234685.83   | 0.14%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BS1HYN9   IRS USD R V 03MLIBOR IS1HYO0 CCPVANILLA / Short: BS1HYN9   IRS USD P F  2.43600 IS1HYN9 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1040000 | OU      | $70573.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                           | Diamondback Energy Inc                                                                                                             | CUSIP: 25278XAV1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |      273000 | PA      | $277258.80    | 0.03%             | 2033-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                          | International Bank for Reconstruction & Development                                                                                | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | XX        |      871000 | PA      | $823415.07    | 0.10%             | 2027-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED CLP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | CL        |           1 | NC      | $269370.34    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-1120.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                               | Advance Auto Parts Inc                                                                                                             | CUSIP: 00751YAE6<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |     1234000 | PA      | $1084254.10   | 0.13%             | 2030-04-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                     | QUALCOMM Inc                                                                                                                       | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |      395000 | PA      | $421990.35    | 0.05%             | 2053-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-37502.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                                                                          | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      786000 | PA      | $651544.88    | 0.08%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | JP        |           1 | NC      | $94254.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                  | LSTAR Commercial Mortgage Trust 2016-4                                                                                             | CUSIP: 50219QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      374549 | PA      | $373978.86    | 0.04%             | 2049-03-10      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | CPS Auto Receivables Trust 2022-A                                                                                                  | CUSIP: 12659WAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      824000 | PA      | $769293.32    | 0.09%             | 2029-04-16      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                                                                        | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      441000 | PA      | $365866.83    | 0.04%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ABS3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       76000 | PA      | $64506.52     | 0.01%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                                                                                                           | CUSIP: 135087N67<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      808000 | PA      | $561005.02    | 0.06%             | 2029-12-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD IDR                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-5965.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK                         | European Investment Bank                                                                                                           | CUSIP: 000000000<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | NUSS              | XX        |      905000 | PA      | $558945.72    | 0.06%             | 2027-01-19      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967GD7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      311000 | PA      | $308767.02    | 0.04%             | 2023-01-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc     | BAMLL Commercial Mortgage Securities Trust 2017-SCH                                                                                | CUSIP: 054966AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1935000 | PA      | $1822662.61   | 0.21%             | 2033-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                                                                          | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |      136000 | PA      | $136495.04    | 0.02%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BNG Bank NV                                      | BNG Bank NV                                                                                                                        | CUSIP: 000000000<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | NUSS              | NL        |      306000 | PA      | $284503.38    | 0.03%             | 2029-01-24      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                    | Radnor RE 2019-1 Ltd                                                                                                               | CUSIP: 75049SAB9<br>LEI: 254900JBDDKUTX6TX151 | Long             | ABS-MBS          | CORP              | BM        |      809162 | PA      | $799872.77    | 0.09%             | 2029-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                                                                                            | CUSIP: 808513CA1<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |        3000 | PA      | $2549.16      | 0.00%             | 2032-03-03      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-143213.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| US Bancorp                                       | US Bancorp                                                                                                                         | CUSIP: 902973AZ9<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |      423000 | PA      | $368652.96    | 0.04%             | 2027-04-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WPC EUROBOND BV                                  | WPC Eurobond BV                                                                                                                    | CUSIP: 000000000<br>LEI: 5493005XDMOLBARL5M14 | Long             | DBT              |  | NL        |      138000 | PA      | $122612.24    | 0.01%             | 2028-04-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| CARGILL INC                                      | Cargill Inc                                                                                                                        | CUSIP: 141781BZ6<br>LEI: QXZYQNMR4JZ5RIRN4T31 | Long             | DBT              | CORP              | US        |      446000 | PA      | $447226.50    | 0.05%             | 2032-10-11      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                                                                    | CUSIP: 000000000<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      151000 | PA      | $125529.59    | 0.01%             | 2029-09-13      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                                       | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      746000 | PA      | $742158.10    | 0.09%             | 2026-07-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      949902 | PA      | $889434.64    | 0.10%             | 2029-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                           | MSCI EMGMKT MAR23                                                                                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |         962 | NC      | $-799164.66   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |           0 | PA      | $0.00         | 0.00%             | 2025-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                          | Marathon Petroleum Corp                                                                                                            | CUSIP: 56585AAF9<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |      240000 | PA      | $247627.20    | 0.03%             | 2041-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2020-DNA5                                                                                            | CUSIP: 35566AAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      634754 | PA      | $639745.18    | 0.07%             | 2050-10-25      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136AX4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      519910 | PA      | $60625.05     | 0.01%             | 2047-10-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| ANHEUSER-BUSCH CO/INBEV                          | Anheuser-Busch Cos LLC / Anheuser-Busch InBev Worldwide Inc                                                                        | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      431000 | PA      | $406333.87    | 0.05%             | 2036-02-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                            | Wells Fargo & Co                                                                                                                   | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |      389000 | PA      | $341016.85    | 0.04%             | 2026-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                      | BNP Paribas SA                                                                                                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1869000 | PA      | $1447148.01   | 0.17%             | 2031-02-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CNH                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-473181.20   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                   | Amazon.com Inc                                                                                                                     | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     1024000 | PA      | $1021030.40   | 0.12%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                         | Electricite de France SA                                                                                                           | CUSIP: 000000000<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      230000 | PA      | $277652.56    | 0.03%             | 2031-07-18      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-101160.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      169000 | PA      | $139900.31    | 0.02%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                     | VeriSign Inc                                                                                                                       | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |       84000 | PA      | $68720.40     | 0.01%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: IS1WFR5   CDS USD R F  3.00000 IS1WFR5 CMBX / Short: IS1WFR5   CDS USD P V 01MEVENT IS1WFS6 CMBX                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |      659968 | OU      | $-161439.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation               | JPMorgan Chase Bank NA - CHASE                                                                                                     | CUSIP: 46591HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123443 | PA      | $118276.60    | 0.01%             | 2047-04-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2808000 | PA      | $1801448.42   | 0.21%             | 2046-01-31      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Long: IS1C6B6   CDS USD R F  3.00000 IS1C6B6 CMBX-BBB--409425 / Short: IS1C6B6   CDS USD P V 00MEVENT IS1C6C7 CMBX-BBB--409425     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |       36115 | OU      | $-8834.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                                     | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      516000 | PA      | $490117.44    | 0.06%             | 2028-04-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                               | CUSIP: 3137G0AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      136870 | PA      | $138495.80    | 0.02%             | 2023-11-25      | Floating      | 8.64%                 | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                  | OEC Finance Ltd                                                                                                                    | CUSIP: 67614CAF7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      503121 | PA      | $13866.01     | 0.00%             | 2046-12-26      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    35310489 | PA      | $36822219.58  | 4.26%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |           1 | NC      | $20421.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133B93R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      771791 | PA      | $657547.72    | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED CHF / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CH        |           1 | NC      | $-4685.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140QN6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1172590 | PA      | $999018.32    | 0.12%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALFA S.A.                                        | Alfa SAB de CV                                                                                                                     | CUSIP: 015398AB6<br>LEI: 549300ZCGJ6T8YDJ4M34 | Long             | DBT              | CORP              | MX        |      668000 | PA      | $662071.50    | 0.08%             | 2024-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      647137 | PA      | $757430.47    | 0.09%             | 2038-01-29      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                   | S&P Global Inc                                                                                                                     | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |       51000 | PA      | $50414.01     | 0.01%             | 2028-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-HQA1                                                                                            | CUSIP: 35564KTB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133923 | PA      | $132791.95    | 0.02%             | 2042-03-25      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO/ORG                                 | Organon & Co / Organon Foreign Debt Co-Issuer BV                                                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $187114.57    | 0.02%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| PVH CORP                                         | PVH Corp                                                                                                                           | CUSIP: 000000000<br>LEI: 123WALMHY1GZXG2YDL90 | Long             | DBT              | CORP              | XX        |      385000 | PA      | $374768.22    | 0.04%             | 2027-12-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R04                                                                                       | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129546 | PA      | $129061.63    | 0.01%             | 2042-03-25      | Floating      | 7.03%                 | No            |                  2 | On Loan: No      |
| NATURA &CO LUX HLD SARL                          | Natura &Co Luxembourg Holdings Sarl                                                                                                | CUSIP: 63884WAA6<br>LEI: 54930074AZRQQPMINM11 | Long             | DBT              | CORP              | LU        |      202000 | PA      | $176282.88    | 0.02%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                                       | CUSIP: 11135FBR1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |       83000 | PA      | $75531.66     | 0.01%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED BRL / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | BR        |           1 | NC      | $-1361.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FIN CO IN                         | Tengizchevroil Finance Co International Ltd                                                                                        | CUSIP: 88034QAC1<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |      438000 | PA      | $310651.50    | 0.04%             | 2030-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NATURA &CO LUX HLD SARL                          | Natura &Co Luxembourg Holdings Sarl                                                                                                | CUSIP: 000000000<br>LEI: 54930074AZRQQPMINM11 | Long             | DBT              | CORP              | LU        |      340000 | PA      | $296713.75    | 0.03%             | 2029-04-19      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                                 | Cajun Global LLC                                                                                                                   | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      240340 | PA      | $203547.55    | 0.02%             | 2051-11-20      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                   | PMT Credit Risk Transfer Trust 2020-1R                                                                                             | CUSIP: 730151AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149901 | PA      | $141791.19    | 0.02%             | 2023-02-27      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $1124.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pikes Peak CLO                                   | Pikes Peak CLO 8                                                                                                                   | CUSIP: 72133CAA0<br>LEI: 549300NJA5BS4BQQJL72 | Long             | ABS-CBDO         | CORP              | KY        |     1045972 | PA      | $1021887.45   | 0.12%             | 2034-07-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BRITISH TELECOMMUNICATIO                         | British Telecommunications PLC                                                                                                     | CUSIP: 111021AE1<br>LEI: 549300OWFMSO9NYV4H90 | Long             | DBT              | CORP              | GB        |      247000 | PA      | $294838.96    | 0.03%             | 2030-12-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | AU        |           1 | NC      | $422230.06    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1C069   CDS USD R F  3.00000 IS1C069 CMBX-BBB--408481 / Short: IS1C069   CDS USD P V 00MEVENT IS1C070 CMBX-BBB--408481     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       22176 | OU      | $-5424.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORSTED A/S                                       | Orsted AS                                                                                                                          | CUSIP: 000000000<br>LEI: W9NG6WMZIYEU8VEDOG48 | Long             | DBT              | CORP              | DK        |      395000 | PA      | $467444.97    | 0.05%             | 2032-01-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| RAYTHEON TECH CORP                               | Raytheon Technologies Corp                                                                                                         | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |      671000 | PA      | $643039.43    | 0.07%             | 2028-11-16      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2868100 | PA      | $2797293.78   | 0.32%             | 2024-07-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NH HOTEL GROUP SA                                | NH Hotel Group SA                                                                                                                  | CUSIP: 000000000<br>LEI: 959800LM1RW3PKJ4A296 | Long             | DBT              | CORP              | ES        |      320000 | PA      | $314554.58    | 0.04%             | 2026-07-02      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust            | Wells Fargo Commercial Mortgage Trust 2016-LC25                                                                                    | CUSIP: 95000JBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      125000 | PA      | $106538.50    | 0.01%             | 2059-12-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                          | Fidelity National Information Services Inc                                                                                         | CUSIP: 31620MBM7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      691000 | PA      | $613779.56    | 0.07%             | 2028-12-03      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BTP FUTURE MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -17 | NC      | $161405.95    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase & Co                              | JPMorgan Chase & Co                                                                                                                | CUSIP: 48126HAC4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      360000 | PA      | $350442.00    | 0.04%             | 2024-10-01      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                              | Synchrony Financial                                                                                                                | CUSIP: 87165BAR4<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |     1032000 | PA      | $769087.68    | 0.09%             | 2031-10-28      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                              | Intesa Sanpaolo SpA                                                                                                                | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      400000 | PA      | $386232.00    | 0.04%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                                                                                | CUSIP: 37940XAQ5<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      552000 | PA      | $526265.76    | 0.06%             | 2032-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138WENA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       82282 | PA      | $74376.65     | 0.01%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | TOPIX INDX FUTR MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          67 | NC      | $-425337.37   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Altria Group Inc                                 | Altria Group Inc                                                                                                                   | CUSIP: 02209SBD4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      200000 | PA      | $191760.00    | 0.02%             | 2029-02-14      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      226700 | PA      | $230084.55    | 0.03%             | 2025-07-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                                                                                | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      253000 | PA      | $215963.33    | 0.02%             | 2029-08-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1BZI3   CDS USD R F  3.00000 IS1BZI3 CMBX-BBB--408196 / Short: IS1BZI3   CDS USD P V 00MEVENT IS1BZJ4 CMBX-BBB--408196     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       11405 | OU      | $-2789.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | AU        |           1 | NC      | $-26921.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133B6UF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1404062 | PA      | $1242512.17   | 0.14%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO                                  | Nissan Motor Co Ltd                                                                                                                | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     1550000 | PA      | $1404780.50   | 0.16%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CA        |           1 | NC      | $894.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                    | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAS0<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |      278000 | PA      | $261731.44    | 0.03%             | 2026-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| NATURA COSMETICOS SA                             | Natura Cosmeticos SA                                                                                                               | CUSIP: 63883KAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |      606000 | PA      | $493814.25    | 0.06%             | 2028-05-03      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1463600 | PA      | $1316782.63   | 0.15%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PANAMA                               | Panama Government International Bond                                                                                               | CUSIP: 698299BT0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |      426000 | PA      | $432070.50    | 0.05%             | 2035-02-14      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| ADVANCE AUTO PARTS                               | Advance Auto Parts Inc                                                                                                             | CUSIP: 00751YAG1<br>LEI: 529900UCNQ5H9FSL0Y70 | Long             | DBT              | CORP              | US        |       16000 | PA      | $13080.32     | 0.00%             | 2032-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNG BANK NV                                      | BNG Bank NV                                                                                                                        | CUSIP: 000000000<br>LEI: 529900GGYMNGRQTDOO93 | Long             | DBT              | NUSS              | NL        |     2100000 | PA      | $1366274.22   | 0.16%             | 2027-07-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BS2JE12   CDS EUR R V 03MEVENT IS2JE23 CCPITRAXX / Short: BS2JE12   CDS EUR P F  5.00000 IS2JE12 CCPITRAXX                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1330000 | OU      | $-16406.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136B0DZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      543173 | PA      | $56662.24     | 0.01%             | 2047-12-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                         | Comision Federal de Electricidad                                                                                                   | CUSIP: 200447AL4<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     1121000 | PA      | $986339.88    | 0.11%             | 2029-05-15      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| SBB TREASURY OYJ                                 | SBB Treasury Oyj                                                                                                                   | CUSIP: 000000000<br>LEI: 5493003HHOCW6FIMH724 | Long             | DBT              |  | FI        |      111000 | PA      | $75515.98     | 0.01%             | 2029-11-26      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                         | Discovery Communications LLC                                                                                                       | CUSIP: 25470DAT6<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      599000 | PA      | $447530.87    | 0.05%             | 2047-09-20      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS29BB1   IRS USD R V 03MLIBOR IS29BC2 CCPVANILLA / Short: BS29BB1   IRS USD P F  1.61650 IS29BB1 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    15740000 | OU      | $2572532.85   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| Port Authority of New York & New Jersey          | PORT AUTH OF NEW YORK & NEW JERSEY NY                                                                                              | CUSIP: 73358W4V3<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |      745000 | PA      | $731769.10    | 0.08%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | XX        |           1 | NC      | $13973.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                                                                  | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      900000 | PA      | $937152.00    | 0.11%             | 2026-11-10      | Fixed         | 7.47%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers Clo 43 Ltd                                                                                          | CUSIP: 64134AAA0<br>LEI: 549300LCOEVXWN75LP18 | Long             | ABS-CBDO         | CORP              | KY        |      964880 | PA      | $943081.43    | 0.11%             | 2035-07-17      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                         | Italy Buoni Poliennali Del Tesoro                                                                                                  | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      835000 | PA      | $826520.28    | 0.10%             | 2035-04-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                           | BP Capital Markets PLC                                                                                                             | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |      578000 | PA      | $531226.64    | 0.06%             | 2029-03-22      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC and Carls' Jr Funding LLC   | Hardee's Funding LLC                                                                                                               | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      429027 | PA      | $367401.87    | 0.04%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140KG3T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1011937 | PA      | $873530.32    | 0.10%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XI Ltd                          | Marble Point CLO XI Ltd                                                                                                            | CUSIP: 56607FAA3<br>LEI: 549300DBVCVH5X7MO467 | Long             | ABS-CBDO         | CORP              | KY        |      677885 | PA      | $666640.24    | 0.08%             | 2030-12-18      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-19915.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                         | Host Hotels & Resorts LP                                                                                                           | CUSIP: 44107TAZ9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |      189000 | PA      | $155907.99    | 0.02%             | 2030-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      518000 | PA      | $303435.61    | 0.04%             | 2035-06-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                                                                         | CUSIP: 14040HCS2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      180000 | PA      | $174360.60    | 0.02%             | 2028-05-10      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN INTL FIN NV                           | Volkswagen International Finance NV                                                                                                | CUSIP: 000000000<br>LEI: 5299004PWNHKYTR23649 | Long             | DBT              | CORP              | NL        |      300000 | PA      | $297155.71    | 0.03%             | 2025-06-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MICRON TECHNOLOGY INC                            | Micron Technology Inc                                                                                                              | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     1044000 | PA      | $1062280.44   | 0.12%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                                                                     | CUSIP: 00914AAQ5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      114000 | PA      | $93045.66     | 0.01%             | 2028-09-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc.                    | Long: SS2JGZ0   IRS USD R V 00MFEDL IS2JH02 CCPINFLATIONZERO / Short: SS2JGZ0   IRS USD P F  3.36000 IS2JGZ0 CCPINFLATIONZERO      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | US        |    10370000 | OU      | $-5140.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2022-2 Ltd                                                                                                           | CUSIP: 07876GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1386913 | PA      | $1362156.60   | 0.16%             | 2032-09-27      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | MX        |           1 | NC      | $-2659.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      779000 | PA      | $735586.33    | 0.09%             | 2030-06-14      | Fixed         | 4.57%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR Trust 2019-DNA3                                                                                                  | CUSIP: 35564TAH3<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | USGSE             | US        |       36543 | PA      | $35808.50     | 0.00%             | 2049-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CDJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4368900 | PA      | $3568162.55   | 0.41%             | 2031-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2019-R07                                                                                       | CUSIP: 20753WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91062 | PA      | $90835.23     | 0.01%             | 2039-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS20363   IRS USD R V 12MUSCPI IS20374 CCPINFLATIONZERO / Short: BS20363   IRS USD P F  1.52700 IS20363 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    17150000 | OU      | $2144553.48   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140QN6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      941818 | PA      | $801817.62    | 0.09%             | 2052-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                                                                      | CUSIP: 904678AY5<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      996000 | PA      | $752846.52    | 0.09%             | 2032-06-03      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PER                         | Banco de Credito del Peru S.A.                                                                                                     | CUSIP: 05971U2C0<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |     1095000 | PA      | $996997.50    | 0.12%             | 2030-07-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XAR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       26148 | PA      | $26435.88     | 0.00%             | 2024-11-25      | Floating      | 9.39%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED CNH / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | CN        |           1 | NC      | $11898.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3867000 | PA      | $3302659.69   | 0.38%             | 2030-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mortgage Trust        | Banc of America Commercial Mortgage Trust 2015-UBS7                                                                                | CUSIP: 06054ABB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85000 | PA      | $78796.35     | 0.01%             | 2048-09-15      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                      | OCP CLO 2020-18 Ltd                                                                                                                | CUSIP: 671078AN3<br>LEI: 254900MN6N176YEZLX15 | Long             | ABS-CBDO         | CORP              | KY        |     1156000 | PA      | $1130374.95   | 0.13%             | 2032-07-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED GBP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | GB        |           1 | NC      | $15537.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA TREASURY BOND                              | Korea Treasury Bond                                                                                                                | CUSIP: 000000000<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 15958420000 | PA      | $12423563.71  | 1.44%             | 2025-06-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                         | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     4063024 | PA      | $3942439.14   | 0.46%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Asset Trust I       | Research-Driven Pagaya Motor Asset Trust VII                                                                                       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1017855 | PA      | $991900.90    | 0.11%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                           | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      436000 | PA      | $350997.44    | 0.04%             | 2023-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                                  | CUSIP: 404280DQ9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     2010000 | PA      | $2090500.50   | 0.24%             | 2026-11-03      | Fixed         | 7.34%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                           | New Zealand Government Bond                                                                                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     2074000 | PA      | $1069912.33   | 0.12%             | 2032-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LTD                             | Tencent Holdings Ltd                                                                                                               | CUSIP: 88032WAV8<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |      525000 | PA      | $329700.00    | 0.04%             | 2050-06-03      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2019-1 Ltd                                                                                                           | CUSIP: 07876RAB2<br>LEI: 254900K56RF3Z7VQ3U81 | Long             | ABS-MBS          | CORP              | BM        |      118223 | PA      | $118173.51    | 0.01%             | 2029-03-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-44293.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTER-AMERICAN DEVEL BK                          | Inter-American Development Bank                                                                                                    | CUSIP: 000000000<br>LEI: VKU1UKDS9E7LYLMACP54 | Long             | DBT              | NUSS              | XX        |      155000 | PA      | $97662.27     | 0.01%             | 2027-04-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: IS1D987   CDS USD R F  3.00000 IS1D987 CMBX-BBB--413312 / Short: IS1D987   CDS USD P V 00MEVENT IS1D998 CMBX-BBB--413312     | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |       10771 | OU      | $-2634.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                   | Carvana Auto Receivables Trust 2021-P4                                                                                             | CUSIP: 14687KAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      596000 | PA      | $470144.05    | 0.05%             | 2028-09-11      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1748000 | PA      | $1756740.00   | 0.20%             | 2027-09-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VERISURE HOLDING AB                              | Verisure Holding AB                                                                                                                | CUSIP: 000000000<br>LEI: 549300VQQCWGISM3N408 | Long             | DBT              | CORP              | SE        |      395000 | PA      | $366929.75    | 0.04%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GLENCORE CAP FIN DAC                             | Glencore Capital Finance DAC                                                                                                       | CUSIP: 000000000<br>LEI: 213800HCUCI1HC7X6Q34 | Long             | DBT              | CORP              | IE        |      260000 | PA      | $229210.64    | 0.03%             | 2028-03-10      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD PLN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-56350.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                            | Indonesia Government International Bond                                                                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      470000 | PA      | $498174.49    | 0.06%             | 2025-07-30      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XAX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      204116 | PA      | $205132.70    | 0.02%             | 2025-05-25      | Floating      | 8.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      180157 | PA      | $185300.83    | 0.02%             | 2028-04-25      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| Brex Inc                                         | Brex Commercial Charge Card Master Trust                                                                                           | CUSIP: 05601DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      602000 | PA      | $595468.66    | 0.07%             | 2024-07-15      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | MX        |           1 | NC      | $-28171.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Marathon Oil Corp                                | Marathon Oil Corp                                                                                                                  | CUSIP: 565849AP1<br>LEI: 1FRVQX2CRLGC1XLP5727 | Long             | DBT              | CORP              | US        |      100000 | PA      | $95493.00     | 0.01%             | 2027-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| AGL CLO 16 LTD                                   | AGL CLO 16 Ltd                                                                                                                     | CUSIP: 00120LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1027964 | PA      | $995800.03    | 0.12%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 78 CLO Ltd                                                                                                                  | CUSIP: 26253LAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      830000 | PA      | $781361.17    | 0.09%             | 2033-04-17      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                           | Westinghouse Air Brake Technologies Corp                                                                                           | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      162000 | PA      | $152385.30    | 0.02%             | 2025-06-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-334515.61   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited  | MSCI SING IX ETS JAN23                                                                                                             | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |        -102 | NC      | $20296.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AMGEN INC                                        | Amgen Inc                                                                                                                          | CUSIP: 031162DE7<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      170000 | PA      | $148342.00    | 0.02%             | 2032-02-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136BCF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4925231 | PA      | $919801.75    | 0.11%             | 2050-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORP                                    | DISH DBS Corp                                                                                                                      | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1260000 | PA      | $1062847.80   | 0.12%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD SGD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-33540.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                           | Rockford Tower CLO 2021-2 Ltd                                                                                                      | CUSIP: 77341LAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      448759 | PA      | $392643.03    | 0.05%             | 2034-07-20      | Floating      | 7.49%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                            | Continental Resources Inc/OK                                                                                                       | CUSIP: 212015AV3<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |     1225000 | PA      | $909574.75    | 0.11%             | 2032-04-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                             | Western Digital Corp                                                                                                               | CUSIP: 958102AR6<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |      849000 | PA      | $610498.92    | 0.07%             | 2032-02-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $21510.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                               | CUSIP: 3137G0HJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       86419 | PA      | $88722.55     | 0.01%             | 2028-05-25      | Floating      | 9.19%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $816.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                                  | CUSIP: 404280DG1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      483000 | PA      | $465133.83    | 0.05%             | 2028-08-11      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                         | Svenska Handelsbanken AB                                                                                                           | CUSIP: 000000000<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |      600000 | PA      | $490878.00    | 0.06%             | 2031-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      508000 | PA      | $500237.76    | 0.06%             | 2025-05-24      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | JP        |           1 | NC      | $13542.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDEX CORP                                       | FedEx Corp                                                                                                                         | CUSIP: 31428XCB0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |       42000 | PA      | $35593.94     | 0.00%             | 2029-05-04      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD SEK                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-16653.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140MA4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1015905 | PA      | $864891.38    | 0.10%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |           1 | NC      | $183112.88    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-257072.28   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-217842.66   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                            | Truist Financial Corp                                                                                                              | CUSIP: 89832QAF6<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |      977000 | PA      | $907310.59    | 0.10%             | 2030-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                 | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBP9<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      245000 | PA      | $235320.05    | 0.03%             | 2027-04-02      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBR5<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |     1614000 | PA      | $1343316.06   | 0.16%             | 2028-03-25      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      590000 | PA      | $418346.88    | 0.05%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                           | Standard Chartered PLC                                                                                                             | CUSIP: 853254AA8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |     1100000 | PA      | $847836.00    | 0.10%             | 2027-01-30      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                          | Nationwide Building Society                                                                                                        | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     1655000 | PA      | $1578330.73   | 0.18%             | 2027-03-25      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                         | Cooperatieve Rabobank UA                                                                                                           | CUSIP: 000000000<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |      200000 | PA      | $182012.81    | 0.02%             | 2026-12-29      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| WRKCo Inc                                        | WRKCo Inc                                                                                                                          | CUSIP: 96145DAH8<br>LEI: 549300JEB576INN13W07 | Long             | DBT              | CORP              | US        |      519000 | PA      | $484118.01    | 0.06%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      557000 | PA      | $453916.01    | 0.05%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |         -79 | NC      | $464224.37    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | AL32992 ALLIANCE                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | US        |       44300 | NC      | $4805488.70   | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FINANCING SA                              | Altice Financing SA                                                                                                                | CUSIP: 000000000<br>LEI: 549300DIYGW8HVDF7Q17 | Long             | DBT              | CORP              | LU        |      320000 | PA      | $270068.41    | 0.03%             | 2028-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GCI Funding I LLC                                | GCI Funding I LLC                                                                                                                  | CUSIP: 36166VAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      423165 | PA      | $359464.51    | 0.04%             | 2046-06-18      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912828YH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    15925700 | PA      | $15124438.22  | 1.75%             | 2024-09-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                         | Lloyds Banking Group PLC                                                                                                           | CUSIP: 539439AW9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     1168000 | PA      | $1237846.40   | 0.14%             | 2033-11-15      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                         | Host Hotels & Resorts LP                                                                                                           | CUSIP: 44107TBA3<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              |  | US        |           0 | PA      | $0.00         | 0.00%             | 2031-12-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | AL37715 ALLIANCE                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | US        |        1220 | NC      | $209734.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Octagon Loan Funding Ltd                         | Octagon Loan Funding Ltd                                                                                                           | CUSIP: 67590RAY1<br>LEI: 549300HJJWTCMWFILG24 | Long             | ABS-CBDO         | CORP              | KY        |      460687 | PA      | $453180.57    | 0.05%             | 2031-11-18      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                        | ONEOK Inc                                                                                                                          | CUSIP: 682680AY9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       37000 | PA      | $31988.72     | 0.00%             | 2029-09-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                | General Motors Co                                                                                                                  | CUSIP: 37045VAV2<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      169000 | PA      | $172288.74    | 0.02%             | 2025-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES SE                                 | TotalEnergies SE                                                                                                                   | CUSIP: 000000000<br>LEI: 529900S21EQ1BO4ESM68 | Long             | DBT              | CORP              | FR        |      304000 | PA      | $263932.42    | 0.03%             | 2027-10-25      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital                                                    | CUSIP: 161175BS2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      100000 | PA      | $76307.00     | 0.01%             | 2049-07-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Neuberger Berman CLO Ltd                         | Neuberger Berman Loan Advisers Clo 42 Ltd                                                                                          | CUSIP: 64133WAA3<br>LEI: 549300LGCRX4YI1JNS93 | Long             | ABS-CBDO         | CORP              | KY        |      196783 | PA      | $192003.93    | 0.02%             | 2035-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                             | Indonesia Treasury Bond                                                                                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 19486000000 | PA      | $1218539.97   | 0.14%             | 2031-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                                                                                | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      880000 | PA      | $748764.01    | 0.09%             | 2029-05-21      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED NZD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | NZ        |           1 | NC      | $-21148.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-318645.54   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit Risk               | Freddie Mac Multifamily Structured Credit Risk                                                                                     | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      108352 | PA      | $101399.88    | 0.01%             | 2051-01-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                      | Oracle Corp                                                                                                                        | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      163000 | PA      | $120364.09    | 0.01%             | 2040-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                                  | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       93000 | PA      | $106684.02    | 0.01%             | 2046-07-15      | Fixed         | 8.35%                 | No            |                  2 | On Loan: No      |
| DNB Boligkreditt AS                              | DNB Boligkreditt AS                                                                                                                | CUSIP: 000000000<br>LEI: 5967007LIEEXZX659K67 | Long             | DBT              | CORP              | NO        |      336000 | PA      | $336867.89    | 0.04%             | 2025-06-19      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| City of New York NY                              | NEW YORK NY                                                                                                                        | CUSIP: 64966QRQ5<br>LEI: 549300ABYZD2SFD5JB29 | Long             | DBT              | MUN               | US        |      885000 | PA      | $684469.62    | 0.08%             | 2031-08-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   285650000 | PA      | $1714487.67   | 0.20%             | 2050-09-20      | Fixed         | 0.60%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                    | Radnor RE 2020-1 Ltd                                                                                                               | CUSIP: 750493AA6<br>LEI: 254900YVLP8CB4GC2O97 | Long             | ABS-MBS          | CORP              | BM        |       74640 | PA      | $74534.36     | 0.01%             | 2030-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137FVTE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2275375 | PA      | $425218.29    | 0.05%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | NIKKEI 225 (OSE) MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |          15 | NC      | $-170591.39   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BRASKEM IDESA SAPI                               | Braskem Idesa SAPI                                                                                                                 | CUSIP: 10554NAB4<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |      305000 | PA      | $217312.50    | 0.03%             | 2032-02-20      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: IS1VK11   CDS USD R F  3.00000 IS1VK11 CMBX / Short: IS1VK11   CDS USD P V 01MEVENT IS1VK22 CMBX                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |        6336 | OU      | $-1549.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONEYWELL INTERNATIONAL                          | Honeywell International Inc                                                                                                        | CUSIP: 000000000<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     2070000 | PA      | $2169098.59   | 0.25%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138WQKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      109715 | PA      | $102771.28    | 0.01%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                              | Global Payments Inc                                                                                                                | CUSIP: 891906AF6<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |      213000 | PA      | $198168.81    | 0.02%             | 2028-06-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4229400 | PA      | $4002069.75   | 0.46%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                         | Comision Federal de Electricidad                                                                                                   | CUSIP: 200447AH3<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |     1177000 | PA      | $916809.44    | 0.11%             | 2031-02-09      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                       | Fiserv Inc                                                                                                                         | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      758000 | PA      | $683056.54    | 0.08%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BS1I1T7   IRS USD R V 03MLIBOR IS1I1U8 CCPVANILLA / Short: BS1I1T7   IRS USD P F  2.28650 IS1I1T7 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |      580000 | OU      | $43438.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     2702413 | PA      | $2303591.81   | 0.27%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    19890000 | PA      | $2903541.44   | 0.34%             | 2028-05-13      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CADENT FINANCE PLC                               | Cadent Finance PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 5493005M8TJ0J6IMUF67 | Long             | DBT              | CORP              | GB        |      555000 | PA      | $465643.28    | 0.05%             | 2030-03-19      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                     | Broadcom Inc                                                                                                                       | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      753000 | PA      | $661894.53    | 0.08%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Annington Funding PLC                            | Annington Funding PLC                                                                                                              | CUSIP: 000000000<br>LEI: 549300KK63W8VZIONZ83 | Long             | DBT              |  | GB        |      305000 | PA      | $306248.52    | 0.04%             | 2029-07-12      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                              | Fifth Third Bancorp                                                                                                                | CUSIP: 316773DB3<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |      354000 | PA      | $329149.20    | 0.04%             | 2025-09-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |           1 | NC      | $365231.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS2G167   IRS USD R V 12MUSCPI IS2G178 CCPINFLATIONZERO / Short: BS2G167   IRS USD P F  3.26250 IS2G167 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    12590000 | OU      | $-121526.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                | NatWest Group PLC                                                                                                                  | CUSIP: 000000000<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      750000 | PA      | $629022.88    | 0.07%             | 2030-02-26      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| AB Issuer LLC                                    | AB Issuer LLC                                                                                                                      | CUSIP: 00091JAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1143360 | PA      | $911836.46    | 0.11%             | 2051-07-30      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140MA4D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      848625 | PA      | $723008.08    | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SBB TREASURY OYJ                                 | SBB Treasury Oyj                                                                                                                   | CUSIP: 000000000<br>LEI: 5493003HHOCW6FIMH724 | Long             | DBT              |  | FI        |      366000 | PA      | $249817.48    | 0.03%             | 2028-12-14      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD PLN                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-50464.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS0UVH2   IRS USD R V 03MLIBOR IS0UVI3 CCPVANILLA / Short: BS0UVH2   IRS USD P F  1.97150 IS0UVH2 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      610000 | OU      | $37541.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JSW HYDRO ENERGY LTD                             | JSW Hydro Energy Ltd                                                                                                               | CUSIP: 000000000<br>LEI: 3358006ZP5KO7VUH2790 | Long             | DBT              | CORP              | IN        |      177000 | PA      | $147275.06    | 0.02%             | 2031-05-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-117186.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED BRL / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | BR        |           1 | NC      | $68423.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERPUBLIC GROUP COS                            | Interpublic Group of Cos Inc/The                                                                                                   | CUSIP: 460690BP4<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |      725000 | PA      | $693991.75    | 0.08%             | 2028-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      553697 | PA      | $384063.68    | 0.04%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140QMZC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1430856 | PA      | $1221066.86   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-OAT FUTURE MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -16 | NC      | $148989.78    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         112 | NC      | $-131638.78   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                                                                           | CUSIP: 05377RDC5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $491558.30    | 0.06%             | 2025-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | KR        |           1 | NC      | $96289.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138Y3U58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       88269 | PA      | $83349.41     | 0.01%             | 2029-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140QEDJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1542968 | PA      | $1337234.16   | 0.15%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    16773009 | PA      | $15829527.50  | 1.83%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| JAPAN (20 YEAR ISSUE)                            | Japan Government Twenty Year Bond                                                                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   112650000 | PA      | $744525.17    | 0.09%             | 2039-12-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Corp Trust 2019-SMP                                                                                         | CUSIP: 36259NAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      230000 | PA      | $217157.70    | 0.03%             | 2032-08-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| KLA CORP                                         | KLA Corp                                                                                                                           | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |      524000 | PA      | $505141.24    | 0.06%             | 2062-07-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2114200 | PA      | $1865781.50   | 0.22%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |          49 | NC      | $-104505.60   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                                            | CUSIP: 35564KUW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      352840 | PA      | $351075.75    | 0.04%             | 2042-04-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust       | JPMBB Commercial Mortgage Securities Trust 2015-C33                                                                                | CUSIP: 46645JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      440000 | PA      | $412211.84    | 0.05%             | 2048-12-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                                             | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      455000 | PA      | $394844.45    | 0.05%             | 2028-01-12      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| ENERGIAS DE PORTUGAL SA                          | EDP - Energias de Portugal SA                                                                                                      | CUSIP: 000000000<br>LEI: 529900CLC3WDMGI9VH80 | Long             | DBT              | CORP              | PT        |      300000 | PA      | $261840.51    | 0.03%             | 2082-03-14      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BS1I153   IRS USD R V 03MLIBOR IS1I164 CCPVANILLA / Short: BS1I153   IRS USD P F  2.22650 IS1I153 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     6030000 | OU      | $448573.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                             | Booking Holdings Inc                                                                                                               | CUSIP: 09857LAR9<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      585000 | PA      | $566057.70    | 0.07%             | 2030-04-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                         | Discovery Communications LLC                                                                                                       | CUSIP: 25470DBF5<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      156000 | PA      | $135286.32    | 0.02%             | 2029-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| LEAR CORP                                        | Lear Corp                                                                                                                          | CUSIP: 521865BB0<br>LEI: 549300UPNBTXA1SYTQ33 | Long             | DBT              | CORP              | US        |       43000 | PA      | $36327.26     | 0.00%             | 2030-05-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $44.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      290000 | PA      | $283011.00    | 0.03%             | 2024-01-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SS2FYE3   IRS EUR R F  1.49400 IS2FYE3 CCPVANILLA / Short: SS2FYE3   IRS EUR P V 06MEURIB IS2FYF4 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     3459000 | OU      | $-234233.81   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                         | BX Commercial Mortgage Trust 2019-IMC                                                                                              | CUSIP: 05608BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430256 | PA      | $402261.74    | 0.05%             | 2034-04-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BS2IEO2   CDS USD R V 03MEVENT IS2IEP3 CCPCDX / Short: BS2IEO2   CDS USD P F  1.00000 IS2IEO2 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    17330000 | OU      | $-144062.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTEGRIS ESCROW CORP                             | Entegris Escrow Corp                                                                                                               | CUSIP: 29365BAA1<br>LEI: IYX6OWO7BT5DKO3BYG52 | Long             | DBT              | CORP              | US        |     1249000 | PA      | $1142385.36   | 0.13%             | 2029-04-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes          | Santander Bank Auto Credit-Linked Notes Series 2022-C                                                                              | CUSIP: 80290CBF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      934380 | PA      | $934515.67    | 0.11%             | 2032-12-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond                                                                                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1242000 | PA      | $1036184.36   | 0.12%             | 2037-06-22      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                              | BHMS 2018-ATLS                                                                                                                     | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      611927 | PA      | $587492.14    | 0.07%             | 2035-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CK HUTCHISON GROUP                               | CK Hutchison Group Telecom Finance SA                                                                                              | CUSIP: 000000000<br>LEI: 254900OM17Q9YNDIUG82 | Long             | DBT              | CORP              | LU        |      940000 | PA      | $833755.98    | 0.10%             | 2028-10-17      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BS24Y73   IRS EUR R V 06MEURIB IS24Y84 CCPVANILLA / Short: BS24Y73   IRS EUR P F   .12200 IS24Y73 CCPVANILLA                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |     2300000 | OU      | $1179085.06   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Bankers Healthcare Group Securitization Trust    | BHG Securitization Trust 2022-A                                                                                                    | CUSIP: 054977AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       77051 | PA      | $71983.62     | 0.01%             | 2035-02-20      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                  | HANG SENG IDX FUT JAN23                                                                                                            | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |          24 | NC      | $17444.29     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OCHSNER LSU HEALTH SYST                          | Ochsner LSU Health System of North Louisiana                                                                                       | CUSIP: 67555JAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      810000 | PA      | $585297.90    | 0.07%             | 2031-05-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                   | AutoNation Inc                                                                                                                     | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       22000 | PA      | $17584.60     | 0.00%             | 2032-03-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| EMBRAER NETHERLANDS FINA                         | Embraer Netherlands Finance BV                                                                                                     | CUSIP: 29082HAC6<br>LEI: 724500PBR8LR26XBSP67 | Long             | DBT              | CORP              | NL        |      652000 | PA      | $649677.25    | 0.08%             | 2028-01-17      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED NOK / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NO        |           1 | NC      | $90256.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ZOETIS INC                                       | Zoetis Inc                                                                                                                         | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |      646000 | PA      | $658958.76    | 0.08%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAH4<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |      828000 | PA      | $812317.68    | 0.09%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     1262000 | PA      | $984423.10    | 0.11%             | 2031-04-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| ADANI TRANS STEP-ONE LTD                         | Adani Transmission Step-One Ltd                                                                                                    | CUSIP: 000000000<br>LEI: 335800Z8CGS7O7D72N41 | Long             | DBT              | CORP              | IN        |      328000 | PA      | $291611.68    | 0.03%             | 2026-08-03      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD CHF                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-18251.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      450000 | PA      | $328500.00    | 0.04%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SUZANO AUSTRIA GMBH                              | Suzano Austria GmbH                                                                                                                | CUSIP: 86964WAJ1<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      252000 | PA      | $210388.50    | 0.02%             | 2031-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Vodafone Group PLC                               | Vodafone Group PLC                                                                                                                 | CUSIP: 000000000<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |       30000 | PA      | $19185.06     | 0.00%             | 2027-12-13      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                               | Ford Motor Co                                                                                                                      | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      532000 | PA      | $492876.72    | 0.06%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATL INFO SERV                          | Fidelity National Information Services Inc                                                                                         | CUSIP: 31620MBD7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |      126000 | PA      | $120818.44    | 0.01%             | 2027-05-21      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2020-R01                                                                                       | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      264181 | PA      | $262358.71    | 0.03%             | 2040-01-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                                       | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      272000 | PA      | $239933.92    | 0.03%             | 2026-11-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2021-Z2                                                                                          | CUSIP: 00834TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      205466 | PA      | $196566.02    | 0.02%             | 2026-11-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140Q8QG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1246659 | PA      | $1159578.21   | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 31417DRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      339789 | PA      | $317841.69    | 0.04%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                         | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     1107000 | PA      | $1047965.79   | 0.12%             | 2053-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                                             | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      550000 | PA      | $522940.00    | 0.06%             | 2026-03-30      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| First Investors Auto Owner Trust                 | First Investors Auto Owner Trust 2022-2                                                                                            | CUSIP: 32058KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      559903 | PA      | $559248.11    | 0.06%             | 2027-07-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Ballyrock Ltd                                    | Ballyrock CLO 17 Ltd                                                                                                               | CUSIP: 05876LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $243637.25    | 0.03%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BS2INP6   CDS USD R V 03MEVENT IS2INQ7 CCPCDX / Short: BS2INP6   CDS USD P F  5.00000 IS2INP6 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     1557000 | OU      | $-11486.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1E3T9   CDS USD R F  3.00000 IS1E3T9 CMBX-BBB--416265 / Short: IS1E3T9   CDS USD P V 00MEVENT IS1E3U0 CMBX-BBB--416265     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       39916 | OU      | $-9764.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED MXN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | MX        |           1 | NC      | $-7408.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                                                                        | CUSIP: 68389XCK9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      477000 | PA      | $516180.78    | 0.06%             | 2052-11-09      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-7770.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-6540.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: IS1S733   CDS USD R F  3.00000 IS1S733 CMBX / Short: IS1S733   CDS USD P V 01MEVENT IS1S744 CMBX                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |      185642 | OU      | $-45412.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -52 | NC      | $210567.09    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138WTF43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        6043 | PA      | $5729.12      | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                        | College Ave Student Loans 2021-C LLC                                                                                               | CUSIP: 19424WAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      311193 | PA      | $253989.60    | 0.03%             | 2055-07-26      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| CARNIVAL PLC                                     | Carnival PLC                                                                                                                       | CUSIP: 000000000<br>LEI: 4DR1VPDQMHD3N3QW8W95 | Long             | DBT              | CORP              | GB        |      490000 | PA      | $214376.67    | 0.02%             | 2029-10-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | XX        |           1 | NC      | $4294.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Netflix Inc                                      | Netflix Inc                                                                                                                        | CUSIP: 000000000<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      275000 | PA      | $282207.15    | 0.03%             | 2027-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                               | Elmwood CLO IX Ltd                                                                                                                 | CUSIP: 29003UAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      368000 | PA      | $344649.66    | 0.04%             | 2034-07-20      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     9372421 | PA      | $9073674.92   | 1.05%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138W3UZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       28832 | PA      | $27351.45     | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SS2JG50   IRS AUD R F  4.35500 IS2JG50 CCPVANILLA / Short: SS2JG50   IRS AUD P V 06MBBSW IS2JG61 CCPVANILLA                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     2475000 | OU      | $-22670.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138WPG65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1158756 | PA      | $1085418.97   | 0.13%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CBH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5434200 | PA      | $4838136.19   | 0.56%             | 2026-01-31      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                             | Las Vegas Sands Corp                                                                                                               | CUSIP: 517834AF4<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |     1282000 | PA      | $1085610.42   | 0.13%             | 2029-08-08      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS0VVP3   IRS USD R V 03MLIBOR IS0VVQ4 CCPVANILLA / Short: BS0VVP3   IRS USD P F  2.47000 IS0VVP3 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      370000 | OU      | $18152.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STONEGATE PUB FIN                                | Stonegate Pub Co Financing 2019 PLC                                                                                                | CUSIP: 000000000<br>LEI: 254900L5266ML3505282 | Long             | DBT              | CORP              | GB        |      230000 | PA      | $251339.88    | 0.03%             | 2025-07-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | AU        |           1 | NC      | $125909.44    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                    | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAU5<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |     1604000 | PA      | $1312521.12   | 0.15%             | 2028-01-26      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6238300 | PA      | $4121176.94   | 0.48%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-176565.93   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| OEC FINANCE LTD                                  | OEC Finance Ltd                                                                                                                    | CUSIP: 67614CAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      129712 | PA      | $2591.65      | 0.00%             | 2033-12-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-DNA3                                                                                            | CUSIP: 35564KED7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      215888 | PA      | $214138.67    | 0.02%             | 2033-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                              | Republic of Austria Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     5412000 | PA      | $4761722.52   | 0.55%             | 2032-02-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      597800 | PA      | $575849.53    | 0.07%             | 2027-08-31      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| TAKEDA PHARMACEUTICAL                            | Takeda Pharmaceutical Co Ltd                                                                                                       | CUSIP: 874060AT3<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |      225000 | PA      | $223182.00    | 0.03%             | 2023-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| DEXIA CREDIT LOCAL                               | Dexia Credit Local SA                                                                                                              | CUSIP: 000000000<br>LEI: F4G136OIPBYND1F41110 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $188090.82    | 0.02%             | 2027-01-22      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-62186.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                              | CUSIP: 31335AY51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      525818 | PA      | $509267.90    | 0.06%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD NOK                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $-80310.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                               | Leviathan Bond Ltd                                                                                                                 | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |      196151 | PA      | $191284.00    | 0.02%             | 2025-06-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133A7S26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      452542 | PA      | $391070.07    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                     | CaixaBank SA                                                                                                                       | CUSIP: 000000000<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |      400000 | PA      | $379881.12    | 0.04%             | 2026-11-18      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED PLN / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | PL        |           1 | NC      | $178500.51    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10331000 | PA      | $8758750.94   | 1.01%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140FHQK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        8851 | PA      | $8285.66      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                   | Lowe's Cos Inc                                                                                                                     | CUSIP: 548661EN3<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |      406000 | PA      | $391485.50    | 0.05%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                          | Dryden 78 CLO Ltd                                                                                                                  | CUSIP: 26253LAG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $229445.25    | 0.03%             | 2033-04-17      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                          | Consolidated Edison Co of New York Inc                                                                                             | CUSIP: 209111FQ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |      256000 | PA      | $214133.76    | 0.02%             | 2058-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED NOK / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |           1 | NC      | $23361.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967ML2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      129000 | PA      | $105835.47    | 0.01%             | 2031-01-29      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2019-4 Ltd                                                                                                           | CUSIP: 07876LAC3<br>LEI: 254900KXN235YISGF415 | Long             | ABS-MBS          | CORP              | BM        |      204992 | PA      | $204690.67    | 0.02%             | 2029-10-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                       | CUSIP: 1248EPCE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      153000 | PA      | $126687.06    | 0.01%             | 2030-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                | General Motors Co                                                                                                                  | CUSIP: 37045VAU4<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103842.00    | 0.01%             | 2027-10-01      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3991702 | PA      | $3506772.48   | 0.41%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                      | Rad CLO 7 Ltd                                                                                                                      | CUSIP: 48661CAE2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $237184.50    | 0.03%             | 2033-04-17      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD MYR                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-1733.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                             | Eagle RE 2018-1 Ltd                                                                                                                | CUSIP: 269826AB9<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |      295000 | PA      | $295369.34    | 0.03%             | 2028-11-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                       | Allianz SE                                                                                                                         | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |      200000 | PA      | $172650.66    | 0.02%             | 2050-07-08      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                           | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |           1 | NC      | $-52121.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NXP BV/NXP FUNDING LLC                           | NXP BV / NXP Funding LLC                                                                                                           | CUSIP: 62947QBC1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      445000 | PA      | $445747.60    | 0.05%             | 2028-12-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| JAPAN (5 YEAR ISSUE)                             | Japan Government Five Year Bond                                                                                                    | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   288900000 | PA      | $2203732.02   | 0.25%             | 2023-12-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED KRW / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | KR        |           1 | NC      | $227516.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R02                                                                                       | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      601996 | PA      | $567219.90    | 0.07%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| PMT Credit Risk Transfer Trust                   | PMT Credit Risk Transfer Trust 2019-3R                                                                                             | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65880 | PA      | $63007.19     | 0.01%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| INTL FINANCE CORP                                | International Finance Corp                                                                                                         | CUSIP: 000000000<br>LEI: QKL54NQY28TCDAI75F60 | Long             | DBT              | NUSS              | XX        |      977000 | PA      | $667505.45    | 0.08%             | 2027-05-14      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                          | Eni SpA                                                                                                                            | CUSIP: 000000000<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      590000 | PA      | $523820.18    | 0.06%             | 2029-07-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Kings Park CLO Ltd                               | Kings Park CLO Ltd                                                                                                                 | CUSIP: 496094AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $242725.75    | 0.03%             | 2035-01-21      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                                                                                            | CUSIP: 808513BD6<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |      226000 | PA      | $221516.16    | 0.03%             | 2025-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| INFOR INC                                        | Infor Inc                                                                                                                          | CUSIP: 45674CAA1<br>LEI: 549300Q3IIYBYI4RHD64 | Long             | DBT              | CORP              | US        |      398000 | PA      | $359067.64    | 0.04%             | 2025-07-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                 | T-Mobile USA Inc                                                                                                                   | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |       45000 | PA      | $39648.60     | 0.00%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                           | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                              | CUSIP: 013092AG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      307000 | PA      | $257431.78    | 0.03%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust       | JPMBB Commercial Mortgage Securities Trust 2014-C26                                                                                | CUSIP: 46643TBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      770000 | PA      | $725359.79    | 0.08%             | 2048-01-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BK OF JAPAN                          | Development Bank of Japan Inc                                                                                                      | CUSIP: 000000000<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | NUSS              | JP        |      776000 | PA      | $781094.49    | 0.09%             | 2024-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                          | Nissan Motor Acceptance Co LLC                                                                                                     | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      104000 | PA      | $86974.16     | 0.01%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2021-R03                                                                                       | CUSIP: 20754AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200000 | PA      | $188637.74    | 0.02%             | 2041-12-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae                                                                                                                         | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      308897 | PA      | $275127.30    | 0.03%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LIMA METRO LINE 2 FIN LT                         | Lima Metro Line 2 Finance Ltd                                                                                                      | CUSIP: 532522AB5<br>LEI: 5493009BVQNQT1UKQ352 | Long             | DBT              | CORP              | KY        |      391028 | PA      | $346988.84    | 0.04%             | 2036-04-05      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                | HSBC Holdings PLC                                                                                                                  | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      463000 | PA      | $430094.59    | 0.05%             | 2033-08-11      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137FAXY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      400799 | PA      | $41539.30     | 0.00%             | 2047-09-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| L Street Securities                              | Wells Fargo Credit Risk Transfer Securities Trust 2015                                                                             | CUSIP: 949771AG4<br>LEI: 549300T6W1U156OOG754 | Long             | ABS-MBS          | CORP              | US        |       31692 | PA      | $30028.23     | 0.00%             | 2025-11-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc     | BAMLL Commercial Mortgage Securities Trust 2013-WBRK                                                                               | CUSIP: 05525BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      500000 | PA      | $311409.35    | 0.04%             | 2037-03-10      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| BP CAPITAL MARKETS PLC                           | BP Capital Markets PLC                                                                                                             | CUSIP: 000000000<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |      218000 | PA      | $214348.65    | 0.02%             | 2026-03-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC                                   | AutoNation Inc                                                                                                                     | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       65000 | PA      | $58165.90     | 0.01%             | 2030-06-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                   | Air Lease Corp                                                                                                                     | CUSIP: 00912XAV6<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |       51000 | PA      | $46508.94     | 0.01%             | 2027-04-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                           | BP Capital Markets America Inc                                                                                                     | CUSIP: 10373QBP4<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |     1736000 | PA      | $1146159.28   | 0.13%             | 2051-06-04      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | AU        |           1 | NC      | $44314.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                          | Regatta XIX Funding Ltd                                                                                                            | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      250000 | PA      | $241360.25    | 0.03%             | 2035-04-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| APCOA PARKING HOLDINGS G                         | APCOA Parking Holdings GmbH                                                                                                        | CUSIP: 000000000<br>LEI: 529900H8FIYAOV5FUW68 | Long             | DBT              | CORP              | DE        |      320000 | PA      | $293765.60    | 0.03%             | 2027-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-49184.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Ashford Hospitality Trust                        | Ashford Hospitality Trust 2018-KEYS                                                                                                | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      600000 | PA      | $577601.64    | 0.07%             | 2035-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Eagle Re 2018-1 Ltd.                             | Eagle RE 2018-1 Ltd                                                                                                                | CUSIP: 269826AA1<br>LEI: 549300BLEDGL5R7YKU33 | Long             | ABS-MBS          | CORP              | US        |      207617 | PA      | $206936.09    | 0.02%             | 2028-11-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERG                         | Berkshire Hathaway Energy Co                                                                                                       | CUSIP: 59562VAM9<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |      209000 | PA      | $219564.95    | 0.03%             | 2036-04-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| LAD Auto Receivables Trust                       | LAD Auto Receivables Trust 2022-1                                                                                                  | CUSIP: 501687AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      860011 | PA      | $846236.56    | 0.10%             | 2027-06-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| ZF FINANCE GMBH                                  | ZF Finance GmbH                                                                                                                    | CUSIP: 000000000<br>LEI: 5493001N9T6QDCCXB426 | Long             | DBT              | CORP              | DE        |      500000 | PA      | $436903.96    | 0.05%             | 2027-05-06      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Altria Group Inc                                 | Altria Group Inc                                                                                                                   | CUSIP: 02209SAZ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |      768000 | PA      | $678919.15    | 0.08%             | 2031-06-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2011-GC5                                                                                              | CUSIP: 36191YAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114470 | PA      | $47402.37     | 0.01%             | 2044-08-10      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES                           | PNC Financial Services Group Inc/The                                                                                               | CUSIP: 693475AK1<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |       56000 | PA      | $56077.84     | 0.01%             | 2023-02-01      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-65930.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP                              | Charles Schwab Corp/The                                                                                                            | CUSIP: 808513BK0<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     1742000 | PA      | $1510575.30   | 0.17%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUX                             | Swiss Re Finance Luxembourg SA                                                                                                     | CUSIP: 000000000<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |      800000 | PA      | $739632.00    | 0.09%             | 2049-04-02      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | SG        |           1 | NC      | $25998.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                 | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBN4<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      292000 | PA      | $267623.84    | 0.03%             | 2030-04-02      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac Stacr Remic Trust 2020-DNA1                                                                                            | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |      167844 | PA      | $167324.28    | 0.02%             | 2050-01-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD SEK                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-13983.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                        | Nelnet Student Loan Trust 2021-C                                                                                                   | CUSIP: 64035GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      859146 | PA      | $668881.50    | 0.08%             | 2062-04-20      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                               | Banco Santander SA                                                                                                                 | CUSIP: 05964HAQ8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     1600000 | PA      | $1482864.00   | 0.17%             | 2028-03-24      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7318500 | PA      | $6933135.23   | 0.80%             | 2027-07-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Tobacco Settlement Finance Authority             | TOBACCO SETTLEMENT FIN AUTH WV ASSET BACKED                                                                                        | CUSIP: 88880LAV5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      298147 | PA      | $267556.98    | 0.03%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                            | Province of Ontario Canada                                                                                                         | CUSIP: 68333ZAE7<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |     1295000 | PA      | $892507.50    | 0.10%             | 2029-06-02      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                        | Apple Inc                                                                                                                          | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      417000 | PA      | $352056.42    | 0.04%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CDBL FUNDING 1                                   | CDBL Funding 1                                                                                                                     | CUSIP: 000000000<br>LEI: 254900PLOF8VWTAH3F83 | Long             | DBT              | CORP              | KY        |      850000 | PA      | $777767.00    | 0.09%             | 2027-10-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | CA        |           1 | NC      | $1970.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -65 | NC      | $11145.38     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |           1 | NC      | $681.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                         | AT&T Inc                                                                                                                           | CUSIP: 00206RKJ0<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |           0 | PA      | $0.00         | 0.00%             | 2053-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-DNA7                                                                                            | CUSIP: 35564KMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2180784 | PA      | $2048152.42   | 0.24%             | 2041-11-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| WPC EUROBOND BV                                  | WPC Eurobond BV                                                                                                                    | CUSIP: 000000000<br>LEI: 5493005XDMOLBARL5M14 | Long             | DBT              |  | NL        |      277000 | PA      | $214314.76    | 0.02%             | 2030-06-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137BYRV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1326887 | PA      | $140950.39    | 0.02%             | 2047-06-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | SG        |           1 | NC      | $25600.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                   | Alleghany Corp                                                                                                                     | CUSIP: 017175AE0<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |      474000 | PA      | $439412.22    | 0.05%             | 2030-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140Q9T37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      249951 | PA      | $245909.11    | 0.03%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTL NV                             | Enel Finance International NV                                                                                                      | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      800000 | PA      | $850160.00    | 0.10%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2013-GCJ12                                                                                            | CUSIP: 36197XAQ7<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |      465000 | PA      | $458161.99    | 0.05%             | 2046-06-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                            | Neighborly Issuer 2022-1                                                                                                           | CUSIP: 64016NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      834692 | PA      | $661607.32    | 0.08%             | 2052-01-30      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FEDEX CORP                                       | FedEx Corp                                                                                                                         | CUSIP: 31428XCB0<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |      381000 | PA      | $322798.20    | 0.04%             | 2029-05-04      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                         | Discovery Communications LLC                                                                                                       | CUSIP: 25470DBH1<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      115000 | PA      | $79079.75     | 0.01%             | 2050-05-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                    | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAQ4<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |      215000 | PA      | $207810.40    | 0.02%             | 2024-05-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR Trust 2019-DNA4                                                                                                  | CUSIP: 35565AAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76332 | PA      | $76332.25     | 0.01%             | 2049-10-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| CHILE ELEC PEC SPA                               | Chile Electricity PEC SpA                                                                                                          | CUSIP: 168831AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |      910000 | PA      | $650820.63    | 0.08%             | 2028-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SLM CORP                                         | SLM Corp                                                                                                                           | CUSIP: 78442PGD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      311000 | PA      | $283224.59    | 0.03%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                                                                    | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      390000 | PA      | $391992.90    | 0.05%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-15357.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XAT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      128900 | PA      | $131156.62    | 0.02%             | 2025-02-25      | Floating      | 8.69%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                             | Bank of America Corp                                                                                                               | CUSIP: 060505EU4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |           0 | PA      | $0.00         | 0.00%             | 2026-03-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                      | Long: IS15983   CDS USD R F  3.00000 IS15983 CMBX-BBB--331914 / Short: IS15983   CDS USD P V 00MEVENT IS15994 CMBX-BBB--331914     | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DCR              |  | US        |       33580 | OU      | $-8214.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDACRI MERGECO SPA                              | Cedacri Mergeco SPA                                                                                                                | CUSIP: 000000000<br>LEI: 213800Z5DANXME2K6X50 | Long             | DBT              | CORP              | IT        |      130000 | PA      | $129569.03    | 0.01%             | 2028-05-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     1590000 | PA      | $1037744.90   | 0.12%             | 2027-11-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| KYNDRYL HOLDINGS INC                             | Kyndryl Holdings Inc                                                                                                               | CUSIP: 50155QAJ9<br>LEI: 549300LQ4LWX2R8ZV130 | Long             | DBT              | CORP              | US        |     1611000 | PA      | $1331990.91   | 0.15%             | 2026-10-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Marathon Petroleum Corp                          | Marathon Petroleum Corp                                                                                                            | CUSIP: 56585ABC5<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |      269000 | PA      | $267948.21    | 0.03%             | 2026-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD MXN                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-15336.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Invitation Homes Trust                           | Invitation Homes 2018-SFR4 Trust                                                                                                   | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      816026 | PA      | $810182.36    | 0.09%             | 2038-01-17      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                           | Westinghouse Air Brake Technologies Corp                                                                                           | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |      343000 | PA      | $337388.52    | 0.04%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO STOXX 50 MAR23                                                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |         610 | NC      | $-1025412.90  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140Q9T45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      843013 | PA      | $829381.76    | 0.10%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      138700 | PA      | $97415.08     | 0.01%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                        | Prosus NV                                                                                                                          | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |      604000 | PA      | $542090.00    | 0.06%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2019-3 Ltd                                                                                                           | CUSIP: 07877GAC3<br>LEI: 254900SCWI9IDKK5LV64 | Long             | ABS-MBS          | CORP              | BM        |      441000 | PA      | $436970.23    | 0.05%             | 2029-07-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LTD                                   | Wynn Macau Ltd                                                                                                                     | CUSIP: 98313RAH9<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |      587000 | PA      | $495950.43    | 0.06%             | 2028-08-26      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1034800 | PA      | $836732.81    | 0.10%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| TSMC ARIZONA CORP                                | TSMC Arizona Corp                                                                                                                  | CUSIP: 872898AF8<br>LEI: 2549005GOBWLCSY63Q97 | Long             | DBT              | CORP              | US        |      504000 | PA      | $481729.50    | 0.06%             | 2027-04-22      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NOK                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-42770.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENGIE ENERGIA CHILE SA                           | Engie Energia Chile SA                                                                                                             | CUSIP: 000000000<br>LEI: 5493000FIKCC3ZDWTO77 | Long             | DBT              | CORP              | CL        |      543000 | PA      | $440949.94    | 0.05%             | 2030-01-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2014-GC18                                                                                             | CUSIP: 36252RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39948 | PA      | $16202.44     | 0.00%             | 2047-01-10      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| BOOKING HOLDINGS INC                             | Booking Holdings Inc                                                                                                               | CUSIP: 000000000<br>LEI: FXM8FAOHMYDIPD38UZ17 | Long             | DBT              | CORP              | US        |      805000 | PA      | $869501.72    | 0.10%             | 2031-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-11182.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |           1 | NC      | $-168759.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      320800 | PA      | $267166.25    | 0.03%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Parking Meters LLC                       | CHICAGO PARKING METERS 4.93 30                                                                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      800000 | PA      | $775993.39    | 0.09%             | 2025-12-30      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| VZ VENDOR FINANCING                              | VZ Vendor Financing II BV                                                                                                          | CUSIP: 000000000<br>LEI: 724500DRKUUR3GFOSK76 | Long             | DBT              | CORP              | NL        |      320000 | PA      | $263614.89    | 0.03%             | 2029-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                            | Freeport Indonesia PT                                                                                                              | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |      585000 | PA      | $560933.10    | 0.06%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                      | Oracle Corp                                                                                                                        | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |       91000 | PA      | $67277.21     | 0.01%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                            | Continental Resources Inc/OK                                                                                                       | CUSIP: 212015AT8<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |      905000 | PA      | $843242.80    | 0.10%             | 2031-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| HPEFS Equipment Trust                            | Hpefs Equipment Trust 2022-3                                                                                                       | CUSIP: 403951AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      297000 | PA      | $296064.36    | 0.03%             | 2029-08-20      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-58873.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-59233.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                                     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     1227000 | PA      | $1133145.41   | 0.13%             | 2027-10-29      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                 | Deutsche Bank AG/New York NY                                                                                                       | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      455000 | PA      | $435048.25    | 0.05%             | 2025-11-26      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac Structured Agency Credit Risk Debt Notes                                                                               | CUSIP: 3137G0EW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       64994 | PA      | $65656.71     | 0.01%             | 2027-10-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $51598.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CNH INDUSTRIAL CAP LLC                           | CNH Industrial Capital LLC                                                                                                         | CUSIP: 12592BAN4<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |      815000 | PA      | $790036.55    | 0.09%             | 2025-05-23      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORP                                   | Air Lease Corp                                                                                                                     | CUSIP: 00914AAJ1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |      104000 | PA      | $96296.72     | 0.01%             | 2026-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED DKK / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | DK        |           1 | NC      | $5556.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         222 | NC      | $43376.99     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SANTANDER HOLDINGS USA                           | Santander Holdings USA Inc                                                                                                         | CUSIP: 80282KBD7<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |      158000 | PA      | $153120.96    | 0.02%             | 2025-06-09      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   222450000 | PA      | $1625068.10   | 0.19%             | 2052-09-20      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Long: IS1C4Z6   CDS USD R F  3.00000 IS1C4Z6 CMBX-BBB--409304 / Short: IS1C4Z6   CDS USD P V 00MEVENT IS1C508 CMBX-BBB--409304     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |        5702 | OU      | $-1394.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                           | Aviation Capital Group LLC                                                                                                         | CUSIP: 05369AAD3<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |       12000 | PA      | $11151.60     | 0.00%             | 2025-08-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                               | Energy Transfer LP                                                                                                                 | CUSIP: 86765BAT6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      407000 | PA      | $384851.06    | 0.04%             | 2026-07-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                                             | CUSIP: 000000000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      750000 | PA      | $655665.00    | 0.08%             | 2023-12-11      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                         | Citizens Financial Group Inc                                                                                                       | CUSIP: 174610AK1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |      502000 | PA      | $487557.46    | 0.06%             | 2025-12-03      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 31334WWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      305644 | PA      | $292967.13    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5290000 | PA      | $5545407.81   | 0.64%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2642600 | PA      | $1901433.28   | 0.22%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS19M42   IRS USD R V 03MLIBOR IS19M53 CCPVANILLA / Short: BS19M42   IRS USD P F  1.65700 IS19M42 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      420000 | OU      | $39026.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1C2T6   CDS USD R F  3.00000 IS1C2T6 CMBX-BBB--408891 / Short: IS1C2T6   CDS USD P V 00MEVENT IS1C2U7 CMBX-BBB--408891     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       43718 | OU      | $-10694.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LANDWIRTSCH. RENTENBANK                          | Landwirtschaftliche Rentenbank                                                                                                     | CUSIP: 000000000<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | CORP              | DE        |     1199000 | PA      | $1041791.74   | 0.12%             | 2029-11-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8875000 | PA      | $5557968.75   | 0.64%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENER PART                          | Kinder Morgan Energy Partners LP                                                                                                   | CUSIP: 494550AQ9<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |      500000 | PA      | $540915.00    | 0.06%             | 2033-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                    | UniCredit SpA                                                                                                                      | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      202000 | PA      | $172021.18    | 0.02%             | 2027-06-03      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| ONEOK Partners LP                                | ONEOK Partners LP                                                                                                                  | CUSIP: 68268NAG8<br>LEI: T4DHW82NMF6BXJT50795 | Long             | DBT              | CORP              | US        |       96000 | PA      | $91116.48     | 0.01%             | 2041-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PERUSAHAAN LISTRIK NEGAR                         | Perusahaan Perseroan Persero PT Perusahaan Listrik Negara                                                                          | CUSIP: 71568PAE9<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |      618000 | PA      | $606914.63    | 0.07%             | 2028-05-21      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                     | Enbridge Inc                                                                                                                       | CUSIP: 29251ZBW6<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |      186000 | PA      | $144536.01    | 0.02%             | 2032-11-09      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                     | SK Hynix Inc                                                                                                                       | CUSIP: 78392BAC1<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |      468000 | PA      | $343190.25    | 0.04%             | 2031-01-19      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                          | Long: IS1UQ09   CDS USD R F  3.00000 IS1UQ09 CMBX / Short: IS1UQ09   CDS USD P V 01MEVENT IS1UQ10 CMBX                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              |  | US        |        5702 | OU      | $-1395.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Valero Energy Corp                               | Valero Energy Corp                                                                                                                 | CUSIP: 91913YAL4<br>LEI: 549300XTO5VR8SKV1V74 | Long             | DBT              | CORP              | US        |      120000 | PA      | $128289.60    | 0.01%             | 2037-06-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                               | Province of Quebec Canada                                                                                                          | CUSIP: 74814ZFP3<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |      494000 | PA      | $355391.77    | 0.04%             | 2032-05-20      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA4                                                                                            | CUSIP: 35564KWT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      878104 | PA      | $882765.50    | 0.10%             | 2042-05-25      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| JAPAN TREASURY DISC BILL                         | Japan Treasury Discount Bill                                                                                                       | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | STIV             | NUSS              | JP        |   727900000 | PA      | $5548046.70   | 0.64%             | 2023-03-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                      | Hertz Vehicle Financing III LLC                                                                                                    | CUSIP: 42806MAL3<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |      380000 | PA      | $337209.38    | 0.04%             | 2026-06-25      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED GBP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | GB        |           1 | NC      | $-196521.24   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | AL31405 ALLIANCE                                                                                                                   | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DE               |  | US        |        5790 | NC      | $537053.65    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967NB3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      340000 | PA      | $279864.20    | 0.03%             | 2026-11-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                              | Intesa Sanpaolo SpA                                                                                                                | CUSIP: 46115HBU0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      799000 | PA      | $816074.63    | 0.09%             | 2025-11-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $10015.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |           1 | NC      | $-101660.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                | Elevation CLO 2020-11 Ltd                                                                                                          | CUSIP: 28621YAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      670000 | PA      | $610148.23    | 0.07%             | 2033-04-15      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                               | Diamond Issuer                                                                                                                     | CUSIP: 25267TAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1138527 | PA      | $943790.72    | 0.11%             | 2051-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| LYONDELLBASELL IND NV                            | LyondellBasell Industries NV                                                                                                       | CUSIP: 552081AK7<br>LEI: BN6WCCZ8OVP3ITUUVN49 | Long             | DBT              | CORP              | NL        |      277000 | PA      | $277573.39    | 0.03%             | 2024-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                                                                                | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      720000 | PA      | $631261.19    | 0.07%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Playtech Plc                                     | Playtech Plc                                                                                                                       | CUSIP: 000000000<br>LEI: 21380068TTB6Z9ZEU548 | Long             | DBT              | CORP              | IM        |      200000 | PA      | $201396.51    | 0.02%             | 2026-03-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                 | Societe Generale SA                                                                                                                | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | US        |      695000 | PA      | $689148.10    | 0.08%             | 2023-12-18      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133KNWY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     2169094 | PA      | $1778955.60   | 0.21%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                       | Intel Corp                                                                                                                         | CUSIP: 458140CC2<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     1242000 | PA      | $1095928.38   | 0.13%             | 2062-08-05      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                     | UBS Group AG                                                                                                                       | CUSIP: 000000000<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      400000 | PA      | $395480.00    | 0.05%             | 2025-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                   | PMT Credit Risk Transfer Trust 2019-2R                                                                                             | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      606687 | PA      | $580601.31    | 0.07%             | 2023-05-27      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-101.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Synchrony Financial                              | Synchrony Financial                                                                                                                | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      298000 | PA      | $266015.66    | 0.03%             | 2027-12-01      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                  | Long: BS2IE20   CDS USD R V 03MEVENT IS2IE31 CCPSOVEREIGN / Short: BS2IE20   CDS USD P F  1.00000 IS2IE20 CCPSOVEREIGN             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    26220000 | OU      | $-251878.32   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Elmwood CLO IX Ltd                               | Elmwood CLO IX Ltd                                                                                                                 | CUSIP: 29003UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      452000 | PA      | $441028.60    | 0.05%             | 2034-07-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                          | International Bank for Reconstruction & Development                                                                                | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | XX        |      318000 | PA      | $288780.83    | 0.03%             | 2028-04-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                      | Oracle Corp                                                                                                                        | CUSIP: 68389XAM7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      141000 | PA      | $129456.33    | 0.01%             | 2040-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140E6KU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      618761 | PA      | $558540.07    | 0.06%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                         | International Business Machines Corp                                                                                               | CUSIP: 459200KV2<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |      788000 | PA      | $720523.56    | 0.08%             | 2052-07-27      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4885216 | PA      | $4585233.21   | 0.53%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133KGSG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      595080 | PA      | $552071.39    | 0.06%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140FLCM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      342673 | PA      | $320791.30    | 0.04%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 31346YAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      223350 | PA      | $207068.41    | 0.02%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                  | CVS Health Corp                                                                                                                    | CUSIP: 126650CX6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |       32000 | PA      | $30952.32     | 0.00%             | 2028-03-25      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA3                                                                                            | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      239429 | PA      | $236587.67    | 0.03%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| KFW                                              | Kreditanstalt fuer Wiederaufbau                                                                                                    | CUSIP: 000000000<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |     1999000 | PA      | $1359154.83   | 0.16%             | 2026-02-20      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                          | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CA        |           1 | NC      | $28438.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 31419LZY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      217183 | PA      | $210177.33    | 0.02%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                  | MVW 2021-2 LLC                                                                                                                     | CUSIP: 55400KAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      484850 | PA      | $434437.14    | 0.05%             | 2039-05-20      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967LW9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      415000 | PA      | $382708.85    | 0.04%             | 2029-04-23      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Radnor Re LTD                                    | Radnor RE 2019-2 Ltd                                                                                                               | CUSIP: 75049TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |      123690 | PA      | $123549.23    | 0.01%             | 2029-06-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                         | Plains All American Pipeline LP / PAA Finance Corp                                                                                 | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      768000 | PA      | $667461.12    | 0.08%             | 2029-12-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                                       | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1202000 | PA      | $1250248.28   | 0.14%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SS2CAA2   IRS NZD R F  2.58000 IS2CAA2 CCPVANILLA / Short: SS2CAA2   IRS NZD P V 03MNZDBB IS2CAB3 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1981000 | OU      | $-64877.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-64495.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Long: SELS86434 TRS CHF R E SELS86434/ZERO RATE / Short: SELS86434 TRS CHF P F   .00000 SELS86434/SMH3                             | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | N/A              | DE               |  | CH        |     4523221 | OU      | $-166831.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                | Suncor Energy Inc                                                                                                                  | CUSIP: 71644EAJ1<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |      436000 | PA      | $457621.24    | 0.05%             | 2038-05-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                        | Uniform Mortgage-Backed Security, TBA                                                                                              | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5012000 | PA      | $4090888.63   | 0.47%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $8144.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Long: BS2GTS5   IRS USD R V 12MUSCPI IS2GTT6 CCPINFLATIONZERO / Short: BS2GTS5   IRS USD P F  2.77750 IS2GTS5 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | N/A              | DIR              |  | US        |     6245000 | OU      | $31758.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES/SKYMILES                         | Delta Air Lines Inc / SkyMiles IP Ltd                                                                                              | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |      563000 | PA      | $530295.33    | 0.06%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO1, LTD          | Goldentree Loan Management US Clo 7 Ltd                                                                                            | CUSIP: 38138LAL2<br>LEI: 549300DO8S88M0JNL340 | Long             | ABS-CBDO         | CORP              | KY        |      882815 | PA      | $857369.62    | 0.10%             | 2034-04-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-3451.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEXIA CREDIT LOCAL                               | Dexia Credit Local SA                                                                                                              | CUSIP: 000000000<br>LEI: F4G136OIPBYND1F41110 | Long             | DBT              | CORP              | FR        |     1300000 | PA      | $1181789.09   | 0.14%             | 2028-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-318828.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Hardee's Funding                                 | Hardee's Funding LLC                                                                                                               | CUSIP: 411707AF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      565699 | PA      | $520584.19    | 0.06%             | 2048-06-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED EUR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | XX        |           1 | NC      | $354156.93    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                   | CPS Auto Receivables Trust 2021-C                                                                                                  | CUSIP: 12598CAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      740000 | PA      | $677858.43    | 0.08%             | 2027-06-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |           1 | NC      | $139411.47    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $47973.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                     | UBS Group AG                                                                                                                       | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      254000 | PA      | $247863.36    | 0.03%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                                     | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      637000 | PA      | $656619.60    | 0.08%             | 2028-10-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| MDC Holdings Inc                                 | MDC Holdings Inc                                                                                                                   | CUSIP: 552676AQ1<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |     1027000 | PA      | $840363.29    | 0.10%             | 2043-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                         | Santander UK Group Holdings PLC                                                                                                    | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      687000 | PA      | $587570.49    | 0.07%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                          | Eni SpA                                                                                                                            | CUSIP: 26874RAJ7<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |      350000 | PA      | $324159.50    | 0.04%             | 2029-05-09      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AGL CLO Ltd.                                     | AGL CLO 10 Ltd                                                                                                                     | CUSIP: 00119YAA1<br>LEI: 549300AEMLN0HO8ST474 | Long             | ABS-CBDO         | CORP              | KY        |      330000 | PA      | $320851.08    | 0.04%             | 2034-04-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 31418CFJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       32692 | PA      | $30604.40     | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF AUSTRIA                              | Republic of Austria Government Bond                                                                                                | CUSIP: 000000000<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |      405000 | PA      | $348681.15    | 0.04%             | 2030-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                         | OZLM XVIII Ltd                                                                                                                     | CUSIP: 67112GAA6<br>LEI: 5493002SZMQH8ZTTHX49 | Long             | ABS-CBDO         | CORP              | KY        |      745000 | PA      | $728556.36    | 0.08%             | 2031-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| BHP Trust                                        | BHP Trust 2019-BXHP                                                                                                                | CUSIP: 05550TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234500 | PA      | $224454.86    | 0.03%             | 2036-08-15      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: BS0WZC1   IRS USD R V 03MLIBOR IS0WZD2 CCPVANILLA / Short: BS0WZC1   IRS USD P F  2.28500 IS0WZC1 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |      484000 | OU      | $24769.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                                                                           | CUSIP: 05377REW0<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |      528000 | PA      | $526247.49    | 0.06%             | 2024-03-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2020-R02                                                                                       | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      215697 | PA      | $212440.49    | 0.02%             | 2040-01-25      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                             | Parker-Hannifin Corp                                                                                                               | CUSIP: 701094AS3<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |      667000 | PA      | $641440.56    | 0.07%             | 2029-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                    | Citigroup Inc                                                                                                                      | CUSIP: 172967MU2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      574000 | PA      | $500682.98    | 0.06%             | 2025-12-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                            | Bank of Ireland Group PLC                                                                                                          | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |      497000 | PA      | $494843.02    | 0.06%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | S+P500 EMINI FUT MAR23                                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         518 | NC      | $-3902311.98  | -0.45%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW ZEALAND GOVERNMENT                           | New Zealand Government Bond                                                                                                        | CUSIP: 000000000<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     3930000 | PA      | $2293324.03   | 0.27%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2019-R03                                                                                       | CUSIP: 20753MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17806 | PA      | $17762.16     | 0.00%             | 2031-09-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                          | Dell International LLC / EMC Corp                                                                                                  | CUSIP: 24703TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      252000 | PA      | $257264.28    | 0.03%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                   | S&P Global Inc                                                                                                                     | CUSIP: 78409VAZ7<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |      232000 | PA      | $221404.56    | 0.03%             | 2029-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST AIRLINES CO                            | Southwest Airlines Co                                                                                                              | CUSIP: 844741BF4<br>LEI: UDTZ87G0STFETI6HGH41 | Long             | DBT              | CORP              | US        |      150000 | PA      | $124137.00    | 0.01%             | 2030-02-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                                                                                | CUSIP: 03027XBW9<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      208000 | PA      | $186022.72    | 0.02%             | 2032-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                         | EQT Corp                                                                                                                           | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |      388000 | PA      | $385834.96    | 0.04%             | 2028-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138X6P58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      617967 | PA      | $597501.30    | 0.07%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTL BK RECON & DEVELOP                          | International Bank for Reconstruction & Development                                                                                | CUSIP: 000000000<br>LEI: ZTMSNXROF84AHWJNKQ93 | Long             | DBT              | NUSS              | XX        |      375000 | PA      | $244248.18    | 0.03%             | 2026-10-19      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-216086.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GSF 2021 1 ISSUER LLC                            | GSF 2021 1 ISSUER LLC                                                                                                              | CUSIP: 36261CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      412111 | PA      | $382894.99    | 0.04%             | 2026-08-15      | Variable      | 1.43%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 31413LMZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      122533 | PA      | $126599.86    | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INEOS QUATTRO FINANCE 2                          | INEOS Quattro Finance 2 Plc                                                                                                        | CUSIP: 000000000<br>LEI: 213800V48W4Y5MT5Q131 | Long             | DBT              | CORP              | GB        |      603000 | PA      | $547955.31    | 0.06%             | 2026-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                | Suncor Energy Inc                                                                                                                  | CUSIP: 867229AE6<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |      166000 | PA      | $170696.14    | 0.02%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                         | Devon Energy Corp                                                                                                                  | CUSIP: 25179MAL7<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      896000 | PA      | $837114.88    | 0.10%             | 2041-07-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       54518 | PA      | $57917.16     | 0.01%             | 2028-08-25      | Floating      | 11.34%                | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                  | Danske Bank A/S                                                                                                                    | CUSIP: 000000000<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      337000 | PA      | $293582.24    | 0.03%             | 2029-06-09      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Conn Funding II, L.P                             | Conn's Receivables Funding 2021-A LLC                                                                                              | CUSIP: 20825GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1197 | PA      | $1193.66      | 0.00%             | 2026-05-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | S+P MID 400 EMINI MAR23                                                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          19 | NC      | $-140866.09   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD GBP                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-23617.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-10978.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                 | Paramount Global                                                                                                                   | CUSIP: 92556HAD9<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |      109000 | PA      | $89115.13     | 0.01%             | 2032-05-19      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac REMICS                                                                                                                 | CUSIP: 3137FR3C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1366842 | PA      | $139511.63    | 0.02%             | 2050-02-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED NZD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | NZ        |           1 | NC      | $129993.73    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD JPY                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-821887.54   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                            | Indonesia Government International Bond                                                                                            | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |      225000 | PA      | $193328.20    | 0.02%             | 2029-07-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                   | Morgan Stanley                                                                                                                     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      620000 | PA      | $675744.36    | 0.08%             | 2028-10-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                              | CUSIP: 3132VMWS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      321909 | PA      | $317932.18    | 0.04%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL LTD                      | CLNY Trust 2019-IKPR                                                                                                               | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      915000 | PA      | $846191.27    | 0.10%             | 2038-11-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                  | Domino's Pizza Master Issuer LLC                                                                                                   | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      622520 | PA      | $517738.68    | 0.06%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes          | Santander Bank Auto Credit-Linked Notes Series 2022-B                                                                              | CUSIP: 80290CAX2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1208738 | PA      | $1204876.57   | 0.14%             | 2032-08-16      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS17GU0   CDS USD R F  3.00000 IS17GU0 CMBX-BBB--379352 / Short: IS17GU0   CDS USD P V 00MEVENT IS17GV1 CMBX-BBB--379352     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |        5702 | OU      | $-1394.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN (40 YEAR ISSUE)                            | Japan Government Forty Year Bond                                                                                                   | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   333150000 | PA      | $2037967.19   | 0.24%             | 2062-03-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | AU        |           1 | NC      | $1203352.95   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R07                                                                                       | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      715118 | PA      | $721432.38    | 0.08%             | 2042-06-25      | Floating      | 6.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2019-R06                                                                                       | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10024 | PA      | $10010.37     | 0.00%             | 2039-09-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| CNH Equipment Trust                              | CNH Equipment Trust 2022-C                                                                                                         | CUSIP: 12664JAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      336000 | PA      | $337266.69    | 0.04%             | 2026-07-15      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 91282CFZ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12988700 | PA      | $12935933.41  | 1.49%             | 2027-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Ginnie Mae II Pool                                                                                                                 | CUSIP: 36179R7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       67567 | PA      | $61267.43     | 0.01%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                              | American Tower Corp                                                                                                                | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |      413000 | PA      | $386287.16    | 0.04%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                       | Fiserv Inc                                                                                                                         | CUSIP: 337738AY4<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |      810000 | PA      | $715301.86    | 0.08%             | 2030-07-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AES PANAMA GENERATION HL                         | AES Panama Generation Holdings SRL                                                                                                 | CUSIP: 00109AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | PA        |      731000 | PA      | $630396.13    | 0.07%             | 2030-05-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: SS25Q14   IRS EUR R F   .00000 IS25Q14 IRS R F-0.043 / Short: SS25Q14   IRS EUR P V 06MEURIB IS25Q25 IRS P V 06EURIB         | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DIR              |  | ER        |     2310000 | OU      | $-1263277.59  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED USD / SOLD SEK                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | US        |           1 | NC      | $-2490.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA6                                                                                            | CUSIP: 35564KH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      564333 | PA      | $564677.83    | 0.07%             | 2042-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                | Magnetite XXVI Ltd                                                                                                                 | CUSIP: 55954YAJ4<br>LEI: 549300F7COUCG1RROP29 | Long             | ABS-CBDO         | CORP              | KY        |     1575536 | PA      | $1535766.32   | 0.18%             | 2034-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R05                                                                                       | CUSIP: 20754DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1233871 | PA      | $1194391.08   | 0.14%             | 2042-04-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| AUSTRALIAN GOVERNMENT                            | Australia Government Bond                                                                                                          | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     4320000 | PA      | $3070688.58   | 0.35%             | 2027-04-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Pool                                                                                                                   | CUSIP: 3133A1B92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1174840 | PA      | $1091765.61   | 0.13%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                              | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      112000 | PA      | $103747.84    | 0.01%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136AXSW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      515875 | PA      | $57114.45     | 0.01%             | 2047-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| CHINA GOVERNMENT BOND                            | China Government Bond                                                                                                              | CUSIP: 000000000<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    18950000 | PA      | $2980907.48   | 0.34%             | 2050-09-14      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL                           | Marriott International Inc/MD                                                                                                      | CUSIP: 571903BD4<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |       77000 | PA      | $77814.66     | 0.01%             | 2025-05-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC      | BBCMS 2020-BID Mortgage Trust                                                                                                      | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1089000 | PA      | $1050991.29   | 0.12%             | 2037-10-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED INR / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IN        |           1 | NC      | $-731.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                     | GS Mortgage Securities Trust 2013-G1                                                                                               | CUSIP: 36197QAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      572533 | PA      | $568930.43    | 0.07%             | 2031-04-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FOX CORP                                         | Fox Corp                                                                                                                           | CUSIP: 35137LAK1<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |      346000 | PA      | $310157.86    | 0.04%             | 2049-01-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -12 | NC      | $361050.03    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| VAR ENERGI ASA                                   | Var Energi ASA                                                                                                                     | CUSIP: 92212WAE0<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |      749000 | PA      | $772144.10    | 0.09%             | 2032-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CCO HLDGS LLC/CAP CORP                           | CCO Holdings LLC / CCO Holdings Capital Corp                                                                                       | CUSIP: 1248EPCQ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      655000 | PA      | $531015.05    | 0.06%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Flatiron CLO Ltd                                 | Flatiron CLO 21 Ltd                                                                                                                | CUSIP: 33883PAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      340000 | PA      | $331685.98    | 0.04%             | 2034-07-19      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| JAPAN FIN ORG MUNICIPAL                          | Japan Finance Organization for Municipalities                                                                                      | CUSIP: 000000000<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |     1481000 | PA      | $1379987.17   | 0.16%             | 2027-02-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley International Ltd.                | Long: BS2JF75   IRS USD R V 12MUSCPI IS2JF86 CCP INFLATION ZERO / Short: BS2JF75   IRS USD P F  3.44000 IS2JF75 CCP INFLATION ZERO | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    44410000 | OU      | $-90400.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2021-DNA5                                                                                            | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      485141 | PA      | $478475.66    | 0.06%             | 2034-01-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                         | Capital One Financial Corp                                                                                                         | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |      209000 | PA      | $179094.19    | 0.02%             | 2030-03-01      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| TK ELEVATOR MIDCO GMBH                           | TK Elevator Midco GmbH                                                                                                             | CUSIP: 000000000<br>LEI: 254900K869UN2ZWVB351 | Long             | DBT              | CORP              | DE        |      320000 | PA      | $303644.56    | 0.04%             | 2027-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp       | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                                                                           | CUSIP: 341271AE4<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |      652000 | PA      | $567675.47    | 0.07%             | 2027-07-01      | Fixed         | 1.71%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                   | Var Energi ASA                                                                                                                     | CUSIP: 92212WAD2<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |     1430000 | PA      | $1454953.50   | 0.17%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                   | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |           1 | NC      | $23810.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Long: IS15961   CDS USD R F  3.00000 IS15961 CMBX-BBB--331911 / Short: IS15961   CDS USD P V 00MEVENT IS15972 CMBX-BBB--331911     | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |      162833 | OU      | $-39831.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                     | Barclays PLC                                                                                                                       | CUSIP: 06738EBX2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      569000 | PA      | $535850.06    | 0.06%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse International                      | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E58DKGMJYYYJLN8C3868 | N/A              | DFE              |  | AU        |           1 | NC      | $42685.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund I LP              | Atalaya Equipment Leasing Trust 21-1                                                                                               | CUSIP: 046497AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      249000 | PA      | $233434.01    | 0.03%             | 2027-02-15      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                  | Danske Bank A/S                                                                                                                    | CUSIP: 23636AAP6<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |      542000 | PA      | $534704.68    | 0.06%             | 2023-09-12      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912828ZT0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1309200 | PA      | $1188508.13   | 0.14%             | 2025-05-31      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                           | Discover Financial Services                                                                                                        | CUSIP: 254709AQ1<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |      922000 | PA      | $896912.38    | 0.10%             | 2025-06-23      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA1                                                                                            | CUSIP: 35564KPV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      730788 | PA      | $693423.91    | 0.08%             | 2042-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Long: BS2GTU7   IRS USD R V 12MUSCPI IS2GTV8 CCPINFLATIONZERO / Short: BS2GTU7   IRS USD P F  2.77000 IS2GTU7 CCPINFLATIONZERO     | CUSIP: 000000000<br>LEI: IGJSJL3JD5P30I6NJZ34 | N/A              | DIR              |  | US        |     6245000 | OU      | $33962.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD INR                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-1032.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Colombia                             | Colombia Government International Bond                                                                                             | CUSIP: 195325DL6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      775000 | PA      | $684082.81    | 0.08%             | 2027-04-25      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-274746.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NatWest Markets PLC                              | PURCHASED GBP / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | GB        |           1 | NC      | $-43709.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD CAD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-4178.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NUCOR CORP                                       | Nucor Corp                                                                                                                         | CUSIP: 670346AY1<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |      180000 | PA      | $175156.20    | 0.02%             | 2027-05-23      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HARLEY-DAVIDSON FINL SER                         | Harley-Davidson Financial Services Inc                                                                                             | CUSIP: 41283LBA2<br>LEI: RLUFFFFW4GRYU77BTS24 | Long             | DBT              | CORP              | US        |     1711000 | PA      | $1529018.04   | 0.18%             | 2027-02-14      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JAPAN (30 YEAR ISSUE)                            | Japan Government Thirty Year Bond                                                                                                  | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   188950000 | PA      | $1094942.50   | 0.13%             | 2049-12-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138WJL71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      582948 | PA      | $545723.13    | 0.06%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                             | PURCHASED USD / SOLD CLP                                                                                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |           1 | NC      | $-235800.89   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| VIVION INVESTMENTS                               | Vivion Investments Sarl                                                                                                            | CUSIP: 000000000<br>LEI: 529900SJ7X71ESJK9N76 | Long             | DBT              |  | LU        |      600000 | PA      | $501008.90    | 0.06%             | 2024-08-08      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust       | JPMBB Commercial Mortgage Securities Trust 2014-C21                                                                                | CUSIP: 46642EBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      149500 | PA      | $139572.48    | 0.02%             | 2047-08-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Rockford Tower CLO Ltd                           | Rockford Tower CLO 2021-1 Ltd                                                                                                      | CUSIP: 77341KAJ0<br>LEI: 5493000QG193Z8ZVLY16 | Long             | ABS-CBDO         | CORP              | KY        |      599796 | PA      | $551965.27    | 0.06%             | 2034-07-20      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| GRIFOLS SA                                       | Grifols SA                                                                                                                         | CUSIP: 000000000<br>LEI: 959800HSSNXWRKBK4N60 | Long             | DBT              | CORP              | ES        |      128000 | PA      | $129422.65    | 0.01%             | 2025-02-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                      | Freddie Mac Gold Pool                                                                                                              | CUSIP: 31335A6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      347199 | PA      | $336169.61    | 0.04%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital                                                    | CUSIP: 161175BT0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       66000 | PA      | $48294.18     | 0.01%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| OLEODUCTO CENTRAL SA                             | Oleoducto Central SA                                                                                                               | CUSIP: 680617AC1<br>LEI: 254900W4CPYCQFVH5E92 | Long             | DBT              | CORP              | CO        |     1046000 | PA      | $918388.00    | 0.11%             | 2027-07-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138ENG29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      342378 | PA      | $353968.37    | 0.04%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOBO COMMUNICACOES PART                         | Globo Comunicacao e Participacoes SA                                                                                               | CUSIP: 37959DAB0<br>LEI: 52990054HEKS017PVR75 | Long             | DBT              | CORP              | BR        |     1127000 | PA      | $939847.56    | 0.11%             | 2030-01-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GILT                              | United Kingdom Gilt                                                                                                                | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      945403 | PA      | $861814.85    | 0.10%             | 2037-09-07      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                      | Netflix Inc                                                                                                                        | CUSIP: 64110LAT3<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |      615000 | PA      | $624040.50    | 0.07%             | 2028-11-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | SPI 200 FUTURES MAR23                                                                                                              | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |         -20 | NC      | $53534.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BFLD Trust                                       | BFLD Trust                                                                                                                         | CUSIP: 05554BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1653000 | PA      | $1576635.37   | 0.18%             | 2038-06-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                           | Standard Chartered PLC                                                                                                             | CUSIP: 853254BT6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      558000 | PA      | $537800.40    | 0.06%             | 2025-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BUNDESREPUB. DEUTSCHLAND                         | Bundesrepublik Deutschland Bundesanleihe                                                                                           | CUSIP: 000000000<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     3091000 | PA      | $3637517.71   | 0.42%             | 2042-07-04      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | Long: IS1AAR4   CDS USD R F  3.00000 IS1AAR4 CMBX-BBB--398690 / Short: IS1AAR4   CDS USD P V 00MEVENT IS1AAS5 CMBX-BBB--398690     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |       46886 | OU      | $-11469.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                         | Public Service Enterprise Group Inc                                                                                                | CUSIP: 744573AV8<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |      510000 | PA      | $525361.20    | 0.06%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities           | Natixis Commercial Mortgage Securities Trust 2019-MILE                                                                             | CUSIP: 63875FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      372323 | PA      | $356066.97    | 0.04%             | 2036-07-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE ENERGY PARTNERS                         | Enbridge Energy Partners LP                                                                                                        | CUSIP: 29250RAX4<br>LEI: CZ6VG2MNE1J6YDI02G48 | Long             | DBT              | CORP              | US        |     1151000 | PA      | $1287554.64   | 0.15%             | 2045-10-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | JPN 10Y BOND(OSE) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |         -21 | NC      | $459095.28    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-4428.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BELLEMEADE RE LT                                 | Bellemeade Re 2019-4 Ltd                                                                                                           | CUSIP: 07876LAD1<br>LEI: 254900KXN235YISGF415 | Long             | ABS-MBS          | CORP              | BM        |      330000 | PA      | $315318.66    | 0.04%             | 2029-10-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CA        |           1 | NC      | $-22725.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $13639.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association         | Government National Mortgage Association                                                                                           | CUSIP: 38380GQ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      365119 | PA      | $33900.16     | 0.00%             | 2047-09-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                       | Affirm Asset Securitization Trust 2022-X1                                                                                          | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      504367 | PA      | $490331.50    | 0.06%             | 2027-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| VEDANTA RESOURCES                                | Vedanta Resources Finance II PLC                                                                                                   | CUSIP: 92243XAD3<br>LEI: 8945002DGA3BBXO3N634 | Long             | DBT              | CORP              | GB        |      661000 | PA      | $573128.31    | 0.07%             | 2024-01-21      | Fixed         | 13.88%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136B0CN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1051119 | PA      | $115571.82    | 0.01%             | 2047-12-25      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                     | ING Groep NV                                                                                                                       | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      281000 | PA      | $270588.95    | 0.03%             | 2024-04-16      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140FTKL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       98445 | PA      | $92158.51     | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                      | Long: SS2HIH0   IRS EUR R F  1.80000 IS2HIH0 CCPVANILLA / Short: SS2HIH0   IRS EUR P V 06MEURIB IS2HII1 CCPVANILLA                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     1930000 | OU      | $-227619.72   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                          | Royal Caribbean Cruises Ltd                                                                                                        | CUSIP: 780153BS0<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |      628000 | PA      | $631579.60    | 0.07%             | 2029-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                 | Long: IS171J4   CDS USD R F  3.00000 IS171J4 CMBX / Short: IS171J4   CDS USD P V 00MEVENT IS171K5 CMBX                             | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | US        |        6336 | OU      | $-1549.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-709275.93   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley                                   | Morgan Stanley                                                                                                                     | CUSIP: 61744YAP3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |      450000 | PA      | $411858.00    | 0.05%             | 2029-01-24      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    61840876 | PA      | $55473198.48  | 6.41%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                              | JPMorgan Chase & Co                                                                                                                | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      749000 | PA      | $599229.96    | 0.07%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                          | Nationwide Building Society                                                                                                        | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     1007000 | PA      | $886713.85    | 0.10%             | 2028-02-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| GUARDIAN LIFE INSURANCE                          | Guardian Life Insurance Co of America/The                                                                                          | CUSIP: 401378AC8<br>LEI: N1YIDVMMKBHFYCCAIX69 | Long             | DBT              | CORP              | US        |      423000 | PA      | $348124.77    | 0.04%             | 2077-01-24      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2019-R02                                                                                       | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23703 | PA      | $23673.71     | 0.00%             | 2031-08-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | E-MINI RUSS 2000 MAR23                                                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |          75 | NC      | $-250303.39   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Australia & New Zealand Banking Group Ltd.       | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              |  | AU        |           1 | NC      | $43242.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLIANZ SE                                       | Allianz SE                                                                                                                         | CUSIP: 000000000<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |      300000 | PA      | $294429.27    | 0.03%             | 2052-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                             | Western Digital Corp                                                                                                               | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |      313000 | PA      | $242074.20    | 0.03%             | 2029-02-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-15420.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OFFICE PPTY INCOME TRST                          | Office Properties Income Trust                                                                                                     | CUSIP: 67623CAF6<br>LEI: N/A                  | Long             | DBT              |  | US        |      633000 | PA      | $426698.97    | 0.05%             | 2031-10-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae REMICS                                                                                                                  | CUSIP: 3136AJWQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1717611 | PA      | $189932.01    | 0.02%             | 2044-04-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                      | Long: IS1D675   CDS USD R F  3.00000 IS1D675 CMBX-BBB--413180 / Short: IS1D675   CDS USD P V 00MEVENT IS1D686 CMBX-BBB--413180     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |       58924 | OU      | $-14413.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOTION FINCO SARL                                | Motion Finco Sarl                                                                                                                  | CUSIP: 000000000<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |      255000 | PA      | $271706.25    | 0.03%             | 2025-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | Long: BS1WGR2   IRS USD R V 03MLIBOR IS1WGS3 CCPVANILLA / Short: BS1WGR2   IRS USD P F  1.59300 IS1WGR2 CCPVANILLA                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     1360000 | OU      | $181504.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XLT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      347770 | PA      | $350385.61    | 0.04%             | 2029-11-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140FNVE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       10436 | PA      | $9769.90      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BELGIUM KINGDOM                                  | Kingdom of Belgium Government Bond                                                                                                 | CUSIP: 000000000<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1442490 | PA      | $1406609.46   | 0.16%             | 2039-04-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED USD / SOLD AUD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | US        |           1 | NC      | $-178525.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FED CAISSES DESJARDINS                           | Federation des Caisses Desjardins du Quebec                                                                                        | CUSIP: 31429KAH6<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |      810000 | PA      | $777243.60    | 0.09%             | 2027-08-23      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                         | Charter Communications Operating LLC / Charter Communications Operating Capital                                                    | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      140000 | PA      | $110313.00    | 0.01%             | 2047-05-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC         | Avis Budget Rental Car Funding AESOP LLC                                                                                           | CUSIP: 05377RCY8<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |     1240000 | PA      | $1227714.82   | 0.14%             | 2024-09-20      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                               | Peru Government Bond                                                                                                               | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     8607000 | PA      | $1992557.62   | 0.23%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD BRL                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $1378.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         -62 | NC      | $290535.72    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Note/Bond                                                                                                   | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1484600 | PA      | $1141286.25   | 0.13%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                             | Royal Bank of Canada                                                                                                               | CUSIP: 000000000<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     1105000 | PA      | $1027538.92   | 0.12%             | 2027-04-26      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HSBC Bank USA N.A.                               | PURCHASED SGD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              |  | SG        |           1 | NC      | $38258.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DISCOVER FINANCIAL SVS                           | Discover Financial Services                                                                                                        | CUSIP: 254709AS7<br>LEI: Z1YLO2USPORE63VVUL20 | Long             | DBT              | CORP              | US        |      221000 | PA      | $224896.23    | 0.03%             | 2032-11-29      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| State Street Bank & Trust Co.                    | PURCHASED AUD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              |  | AU        |           1 | NC      | $9437.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                           | Verizon Communications Inc                                                                                                         | CUSIP: 000000000<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |      669000 | PA      | $722762.08    | 0.08%             | 2030-10-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AB All Market Real Return Portfolio              | AB All Market Real Return Portfolio                                                                                                | CUSIP: 018528125<br>LEI: 549300VY0SNSR79V5F27 | Long             | EC               | RF                | US        |     3721380 | NS      | $31817797.07  | 3.68%             |  |  |  | No            |                  1 | On Loan: No      |
| DISCOVERY COMMUNICATIONS                         | Discovery Communications LLC                                                                                                       | CUSIP: 25470DBG3<br>LEI: L2Z2MO2EQURH3BREWI15 | Long             | DBT              | CORP              | US        |      262000 | PA      | $198585.52    | 0.02%             | 2049-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                              | Freddie Mac STACR REMIC Trust 2022-DNA5                                                                                            | CUSIP: 35564KYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     1590681 | PA      | $1663132.54   | 0.19%             | 2042-06-25      | Floating      | 8.43%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                           | Credit Suisse Group AG                                                                                                             | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      832000 | PA      | $781164.80    | 0.09%             | 2026-07-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES                            | TransCanada PipeLines Ltd                                                                                                          | CUSIP: 89353ZCK2<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |      540000 | PA      | $397346.68    | 0.05%             | 2032-05-12      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                         | Warnermedia Holdings Inc                                                                                                           | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      206000 | PA      | $185923.24    | 0.02%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                      | Balboa Bay Loan Funding 2020-1 Ltd                                                                                                 | CUSIP: 05766BAQ1<br>LEI: 549300MALKZHG9DP8554 | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $627633.30    | 0.07%             | 2032-01-20      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                         | PURCHASED USD / SOLD NZD                                                                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |           1 | NC      | $-3932.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Connecticut Avenue Securities Trust 2022-R01                                                                                       | CUSIP: 20754LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1986675 | PA      | $1886612.74   | 0.22%             | 2041-12-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| TERRAFORM GLOBAL OPERATI                         | Terraform Global Operating LP                                                                                                      | CUSIP: 88104UAC7<br>LEI: 549300LC7QMVR79H5O86 | Long             | DBT              | CORP              | US        |      133000 | PA      | $123842.95    | 0.01%             | 2026-03-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                           | Philip Morris International Inc                                                                                                    | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |      138000 | PA      | $140546.10    | 0.02%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                | Expedia Group Inc                                                                                                                  | CUSIP: 30212PBK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      159000 | PA      | $152619.33    | 0.02%             | 2027-08-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED JPY / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | JP        |           1 | NC      | $1247173.01   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| ROSS STORES INC                                  | Ross Stores Inc                                                                                                                    | CUSIP: 778296AC7<br>LEI: 549300ENZFLPGRDFZQ60 | Long             | DBT              | CORP              | US        |     1097000 | PA      | $1079437.03   | 0.12%             | 2027-04-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                    | Aircastle Ltd                                                                                                                      | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |      849000 | PA      | $817425.69    | 0.09%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED CAD / SOLD USD                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | CA        |           1 | NC      | $3250.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN GOVERNMENT                              | Canadian Government Bond                                                                                                           | CUSIP: 135087N83<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     7188000 | PA      | $5161132.64   | 0.60%             | 2027-09-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140M2LW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2128531 | PA      | $1883623.61   | 0.22%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUST                           | Commonwealth Bank of Australia                                                                                                     | CUSIP: 000000000<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |      850000 | PA      | $724065.95    | 0.08%             | 2029-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Inflation Indexed Bonds                                                                                     | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17387364 | PA      | $16390307.36  | 1.89%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE MAR23                                                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         -87 | NC      | $748506.18    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Capital Services LLC              | PURCHASED USD / SOLD EUR                                                                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DFE              |  | US        |           1 | NC      | $-34243.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                      | Swedbank AB                                                                                                                        | CUSIP: 000000000<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |     1200000 | PA      | $1149240.00   | 0.13%             | 2024-09-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Synchrony Financial                              | Synchrony Financial                                                                                                                | CUSIP: 87165BAG8<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |      109000 | PA      | $104754.45    | 0.01%             | 2025-07-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | JPN 10Y BOND(OSE) MAR23                                                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |           3 | NC      | $-65962.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                 | BAT Capital Corp                                                                                                                   | CUSIP: 05526DBX2<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |      125000 | PA      | $134503.75    | 0.02%             | 2032-10-19      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets, Inc.                   | Long: IS1U5X5   CDS USD R F  3.00000 IS1U5X5 CMBX / Short: IS1U5X5   CDS USD P V 01MEVENT IS1U5Y6 CMBX                             | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              |  | US        |        2534 | OU      | $-619.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIMINI BIDCO SPA                                 | Rimini Bidco SpA                                                                                                                   | CUSIP: 000000000<br>LEI: 815600E0EAFAEE1B3F69 | Long             | DBT              | CORP              | IT        |      410000 | PA      | $392507.39    | 0.05%             | 2026-12-14      | Floating      | 7.30%                 | No            |                  2 | On Loan: No      |
| Voya Financial Inc                               | Voya Financial Inc                                                                                                                 | CUSIP: 45685EAG1<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |      895000 | PA      | $879131.65    | 0.10%             | 2053-05-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                 | Fannie Mae Connecticut Avenue Securities                                                                                           | CUSIP: 30711XCB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      152583 | PA      | $157769.14    | 0.02%             | 2028-09-25      | Floating      | 10.39%                | No            |                  2 | On Loan: No      |
| Citibank N.A.                                    | PURCHASED USD / SOLD KRW                                                                                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |           1 | NC      | $-142712.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140M2QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3091585 | PA      | $2735869.89   | 0.32%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3138MFS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     1873441 | PA      | $1753025.47   | 0.20%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                       | Fannie Mae Pool                                                                                                                    | CUSIP: 3140FGBW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      266349 | PA      | $249341.07    | 0.03%             | 2031-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALBERTSONS COS/SAFEWAY                           | Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC                                                              | CUSIP: 013092AD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      236000 | PA      | $234617.04    | 0.03%             | 2023-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-02

**Name of Applicant:** BERNSTEIN SANFORD C FUND INC

**Signature:** Joseph Mantineo

**Name of Signer:** Joseph Mantineo

**Title:** Treasurer and Chief Financial Officer