# EDGAR Filing Document

**Accession Number:** 0000911507
**File Stem:** 0001752724-23-009367
**Filing Date:** 2023-1
**Character Count:** 458583
**Document Hash:** 7e03c07fc20ce33863dc35f1a3a91822
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-009367.hdr.sgml**: 20230124

**ACCESSION NUMBER**: 0001752724-23-009367

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230124

**DATE AS OF CHANGE**: 20230124

**PERIOD START**: 20221130

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LORD ABBETT INVESTMENT TRUST
- **CENTRAL INDEX KEY:** 0000911507
- **IRS NUMBER:** 133731507
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07988
- **FILM NUMBER:** 23546512

**BUSINESS ADDRESS:**
- **STREET 1:** 90 HUDSON STREET
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07302
- **BUSINESS PHONE:** 201-827-2000

**MAIL ADDRESS:**
- **STREET 1:** 90 HUDSON STREET
- **CITY:** JERSEY CITY
- **STATE:** NJ
- **ZIP:** 07302

## Series and Classes Contracts Data

### Lord Abbett Inflation Focused Fund (Series ID: S000031962)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000099493 | Class A      | LIFAX           |
| C000099494 | Class C      | LIFCX           |
| C000099495 | Class F      | LIFFX           |
| C000099496 | Class I      | LIFIX           |
| C000099497 | Class R2     | LIFQX           |
| C000099498 | Class R3     | LIFRX           |
| C000156650 | Class R4     | LIFKX           |
| C000156651 | Class R5     | LIFTX           |
| C000156652 | Class R6     | LIFVX           |
| C000188254 | Class F3     | LIFOX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** LORD ABBETT INVESTMENT TRUST

- **b. Investment Company Act file number:** 811-07988

- **c. CIK number of Registrant:** 0000911507

- **d. LEI of Registrant:** 54930085JIVNI3FPKR71

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

  - **Street Address 1:** 90 HUDSON STREET

  - **City:** JERSEY CITY

  - **State:** NJ

  - **Foreign country:** US

  - **Zip / Postal Code:** 07302

  - **Telephone number:** 201-827-2000

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

- **a. Name of Series:** Lord Abbett Inflation Focused Fund

- **b. EDGAR series identifier (if any):** S000031962

- **c. LEI of Series:** XER1ATGF2H4CFV3O1571

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

- **a. Date of fiscal year-end:** 2022-11-30

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2796764484.55

**Total Liabilities:** $145902248.25

**Net Assets:** $2650862236.30

**Delayed Delivery Securities:** $4746899.95

**Cash Not Reported:** $13951988.29

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6083.75000000 | **1-Year:** -163438.94000000 | **5-Year:** -146604.57000000 | **10-Year:** -10212.37000000 | **30-Year:** -3472.14000000

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

- **3-Month:** -727.04000000 | **1-Year:** -27323.21000000 | **5-Year:** -17960.66000000 | **10-Year:** -203.84000000 | **30-Year:** -0.02000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000099493 | -4.51%               | 1.77%                | 0.74%                |
| Class ID C000099496 | -4.42%               | 1.79%                | 0.76%                |
| Class ID C000099494 | -4.48%               | 1.71%                | 0.68%                |
| Class ID C000188254 | -4.48%               | 1.80%                | 0.77%                |
| Class ID C000156650 | -4.44%               | 1.77%                | 0.74%                |
| Class ID C000156651 | -4.42%               | 1.79%                | 0.76%                |
| Class ID C000099497 | -4.48%               | 1.75%                | 0.63%                |
| Class ID C000099498 | -4.46%               | 1.66%                | 0.72%                |
| Class ID C000156652 | -4.49%               | 1.80%                | 0.77%                |
| Class ID C000099495 | -4.50%               | 1.78%                | 0.75%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-24326495.67            | $-24294388.86                              |
| Month 2  | $-12635635.49            | $175442.06                                 |
| Month 3  | $-9590751.26             | $30326592.07                               |

**Designated Index Information**

- **Index Name:** Bloomberg Barclay US TIPS Index

- **Index Identifier:** BC304T

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Magnetite CLO Ltd                                       | Magnetite Xxix Ltd                                                                                                                         | CUSIP: 55955KAA2<br>LEI: 549300XSCWZTP19VRZ67 | Long             | ABS-CBDO         | CORP              | KY        |   1110000 | PA      | $1085783.40   | 0.04%             | 2034-01-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| BRITISH AIR 13-1 A PTT                                  | British Airways 2013-1 Class A Pass Through Trust                                                                                          | CUSIP: 11042AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    685859 | PA      | $665708.26    | 0.03%             | 2024-06-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                               | Nelnet Student Loan Trust 2021-A                                                                                                           | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3846863 | PA      | $3392183.44   | 0.13%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                                                                    | CUSIP: 05578QAD5<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   5114000 | PA      | $4902592.51   | 0.18%             | 2025-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL6K79YR2 IRS USD R V 12MUSCPI SL6K79YR2_FLO CCPINFLATIONZERO / Short: BL6K79YR2 IRS USD P F  2.55350 SL6K79YR2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1276963.65   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Calpine Corp                                            | Calpine Corp                                                                                                                               | CUSIP: 131347CK0<br>LEI: 43R4VPJBXTU2O15HEF41 | Long             | DBT              | CORP              | US        |   1987000 | PA      | $1906064.52   | 0.07%             | 2026-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5H0NJP7 IRS USD R V 12MUSCPI SL5H0NJP7_FLO CCPINFLATIONZERO / Short: BL5H0NJP7 IRS USD P F  2.46300 SL5H0NJP7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $983499.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Lennar Corp                                             | Lennar Corp                                                                                                                                | CUSIP: 526057BW3<br>LEI: 529900G61XVRLX5TJX09 | Long             | DBT              | CORP              | US        |     66000 | PA      | $65646.01     | 0.00%             | 2023-12-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                | Ford Credit Auto Owner Trust 2018-REV1                                                                                                     | CUSIP: 34532RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4225000 | PA      | $4033756.22   | 0.15%             | 2031-07-15      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| Rad CLO Ltd                                             | Rad CLO 15 Ltd                                                                                                                             | CUSIP: 750103AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $9760942.70   | 0.37%             | 2034-01-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                                                                                         | CUSIP: 606822CQ5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   3503000 | PA      | $3483279.76   | 0.13%             | 2025-09-12      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Estate Notes                  | Greystone CRE Notes 2021-FL3 Ltd                                                                                                           | CUSIP: 39809PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6150000 | PA      | $5856445.86   | 0.22%             | 2039-07-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1G1AKI4 IRS USD R V 12MUSCPI SL1G1AKI4_INF CCPINFLATIONZERO / Short: BL1G1AKI4 IRS USD P F  2.34250 SL1G1AKI4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $946414.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2017-SLP                                                                                                 | CUSIP: 36255MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1148630 | PA      | $1116708.77   | 0.04%             | 2032-10-10      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLFI22IE4 IRS USD R F  1.64500 SLFI22IE4_FIX INFLATIONZERO / Short: SLFI22IE4 IRS USD P V 12MUSCPI SLFI22IE4_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  15000000 | OU      | $-2230057.20  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3A3GNQ9 IRS USD R V 12MUSCPI SL3A3GNQ9_INF CCPINFLATIONZERO / Short: BL3A3GNQ9 IRS USD P F  2.40000 SL3A3GNQ9_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $913640.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust 2021-1                                                                                                        | CUSIP: 262108AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    875000 | PA      | $851069.36    | 0.03%             | 2027-06-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                                                                                | CUSIP: 05401AAD3<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1754000 | PA      | $1711925.70   | 0.06%             | 2024-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Verizon Master Trust                                    | Verizon Master Trust                                                                                                                       | CUSIP: 92348KBC6<br>LEI: 5493007MUBNP1GFMEB89 | Long             | ABS-O            | CORP              | US        |   4745000 | PA      | $4740612.77   | 0.18%             | 2027-11-22      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| PDC Energy Inc                                          | PDC Energy Inc                                                                                                                             | CUSIP: 69327RAG6<br>LEI: 5493008W8H2T511J5Y59 | Long             | DBT              | CORP              | US        |    241000 | PA      | $239784.16    | 0.01%             | 2024-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                                                                            | CUSIP: 37045XBW5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   2837000 | PA      | $2790119.60   | 0.11%             | 2024-04-13      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2021-3                                                                                                 | CUSIP: 30166AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1680000 | PA      | $1425671.18   | 0.05%             | 2028-12-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SL3X2Y7M8 IRS USD R F  2.10500 SL3X2Y7M8_FIX INFLATIONZERO / Short: SL3X2Y7M8 IRS USD P V 12MUSCPI SL3X2Y7M8_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |  10000000 | OU      | $-1028463.60  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLZE034R7 IRS USD R V 12MUSCPI SLZE034R7_INF CCPINFLATIONZERO / Short: BLZE034R7 IRS USD P F  2.11900 SLZE034R7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1937176.80   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                                                                            | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   1913000 | PA      | $1775657.48   | 0.07%             | 2025-03-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2021-A                                                                                                                  | CUSIP: 03842VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3582127 | PA      | $3273740.49   | 0.12%             | 2046-07-17      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYJ051Q7 IRS USD R V 12MUSCPI INF_SLYJ051Q7 CCPINFLATIONZERO / Short: BLYJ051Q7 IRS USD P F  2.48900 FIX_SLYJ051Q7 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1458474.40   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Slide 2018-Fun                                          | SLIDE 2018-FUN                                                                                                                             | CUSIP: 831350AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  32786264 | PA      | $327.86       | 0.00%             | 2020-12-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                    | Glencore Funding LLC                                                                                                                       | CUSIP: 378272BD9<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    670000 | PA      | $596291.73    | 0.02%             | 2026-04-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                       | Hyatt Hotels Corp                                                                                                                          | CUSIP: 448579AN2<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   3213000 | PA      | $3012318.14   | 0.11%             | 2024-10-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLMH2ZSA2 IRS USD R V 12MUSCPI SLMH2ZSA2_FLO CCPINFLATIONZERO / Short: BLMH2ZSA2 IRS USD P F  2.47650 SLMH2ZSA2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $912264.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                 | American Electric Power Co Inc                                                                                                             | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   3223000 | PA      | $3098261.94   | 0.12%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5D4XGQ1 IRS USD R V 12MUSCPI SL5D4XGQ1_FLO CCPINFLATIONZERO / Short: BL5D4XGQ1 IRS USD P F  2.41000 SL5D4XGQ1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $529484.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BAFFINLAND IRON CORP/LP                                 | Baffinland Iron Mines Corp / Baffinland Iron Mines LP                                                                                      | CUSIP: 056623AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   2230000 | PA      | $2081489.20   | 0.08%             | 2026-07-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                 | GA Global Funding Trust                                                                                                                    | CUSIP: 36143L2J3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   3993000 | PA      | $3823665.89   | 0.14%             | 2025-04-11      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                      | Ally Financial Inc                                                                                                                         | CUSIP: 02005NBF6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   5002000 | PA      | $4938261.26   | 0.19%             | 2025-11-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2017-PFHP                                                                                                                       | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502000 | PA      | $495487.55    | 0.02%             | 2030-12-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EHVB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50935 | PA      | $51486.11     | 0.00%             | 2038-09-01      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING                                 | DCP Midstream Operating LP                                                                                                                 | CUSIP: 23311VAG2<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   1061000 | PA      | $1049188.61   | 0.04%             | 2025-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SLQF0OF21 IRS USD R V 12MUSCPI SLQF0OF21_INF INFLATIONZERO / Short: SLQF0OF21 IRS USD P F  1.94400 SLQF0OF21_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   5000000 | OU      | $1001424.35   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AES CORP/THE                                            | AES Corp/The                                                                                                                               | CUSIP: 00130HCB9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   4791000 | PA      | $4493480.67   | 0.17%             | 2025-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GZU1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4353000 | PA      | $4182142.31   | 0.16%             | 2028-08-23      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LP                                                                                                             | CUSIP: 42806MAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8397000 | PA      | $7193049.06   | 0.27%             | 2027-12-27      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                                                                       | CUSIP: 378272AF5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   4134000 | PA      | $4105137.65   | 0.15%             | 2023-05-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2022-5                                                                                              | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8535000 | PA      | $8473382.42   | 0.32%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                  | Santander Holdings USA Inc                                                                                                                 | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   2232000 | PA      | $1938040.24   | 0.07%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                             | Aker BP ASA                                                                                                                                | CUSIP: 55037AAA6<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   6429000 | PA      | $5663020.91   | 0.21%             | 2026-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SLF0264J8 IRS USD R V 12MUSCPI CPURNSA/ZERO COUPON / Short: SLF0264J8 IRS USD P F  2.05900 SLF0264J8_FIX INFLATIONZERO               | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  20000000 | OU      | $2159389.80   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL5D491V9 IRS USD R V 12MUSCPI SL5D491V9_INF INFLATIONZERO / Short: SL5D491V9 IRS USD P F  2.37200 SL5D491V9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   5000000 | OU      | $474543.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EJSF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57445 | PA      | $57765.65     | 0.00%             | 2038-06-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                                  | HAT Holdings I LLC / HAT Holdings II LLC                                                                                                   | CUSIP: 418751AB9<br>LEI: N/A                  | Long             | DBT              |  | US        |    894000 | PA      | $864882.42    | 0.03%             | 2025-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Aquarion Co                                             | Aquarion Co                                                                                                                                | CUSIP: 03838WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2955000 | PA      | $2893655.80   | 0.11%             | 2024-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                 | Kite Realty Group Trust                                                                                                                    | CUSIP: 76131VAA1<br>LEI: 549300OVTYLM7DH6CM14 | Long             | DBT              |  | US        |   1755000 | PA      | $1684456.14   | 0.06%             | 2025-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-5                                                                                                          | CUSIP: 92538KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3045786 | PA      | $2444974.99   | 0.09%             | 2066-09-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ Mortgage Trust                           | EQUS 2021-EQAZ Mortgage Trust                                                                                                              | CUSIP: 29478JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8269834 | PA      | $7813199.62   | 0.29%             | 2038-10-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden Senior Loan Fund                                                                                                                    | CUSIP: 26245EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5674255 | PA      | $5615693.02   | 0.21%             | 2028-04-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                                                                                    | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   3416000 | PA      | $3411320.80   | 0.13%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                                 | Australia & New Zealand Banking Group Ltd                                                                                                  | CUSIP: 052528AK2<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   2317000 | PA      | $2210831.49   | 0.08%             | 2026-05-19      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL604HNI3 IRS USD R V 12MUSCPI SL604HNI3_INF CCPINFLATIONZERO / Short: BL604HNI3 IRS USD P F  2.34400 SL604HNI3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $486961.25    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2018-ATRM                                                                                                     | CUSIP: 04965KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    907000 | PA      | $858769.55    | 0.03%             | 2035-06-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                   | Caesars Entertainment Inc                                                                                                                  | CUSIP: 28470RAK8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   4025000 | PA      | $4045849.50   | 0.15%             | 2027-07-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891ABR7<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1383000 | PA      | $1311753.52   | 0.05%             | 2024-01-08      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31300LWH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23544 | PA      | $23675.83     | 0.00%             | 2037-04-01      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| Kemper Corp                                             | Kemper Corp                                                                                                                                | CUSIP: 488401AB6<br>LEI: 549300FNI1JKTRY2PV09 | Long             | DBT              | CORP              | US        |   2101000 | PA      | $2059825.48   | 0.08%             | 2025-02-15      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                      | New Century Home Equity Loan Trust Series 2005-A                                                                                           | CUSIP: 64352VMA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300 | PA      | $8758.24      | 0.00%             | 2035-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing LLC                                                                                                                | CUSIP: 42806MAA7<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   3385000 | PA      | $3106207.68   | 0.12%             | 2025-12-26      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                        | Triton Container International Ltd                                                                                                         | CUSIP: 89680YAD7<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   3076000 | PA      | $2963870.60   | 0.11%             | 2023-08-01      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5H0N986 IRS USD R V 12MUSCPI SL5H0N986_FLO CCPINFLATIONZERO / Short: BL5H0N986 IRS USD P F  2.44250 SL5H0N986_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1020281.50   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| American Money Management Corporation                   | Ammc Clo 19 Ltd                                                                                                                            | CUSIP: 00176PAN2<br>LEI: 549300MYS7FLQJZMYD18 | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $735707.16    | 0.03%             | 2028-10-16      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                               | Anchorage Capital CLO 4-R Ltd                                                                                                              | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |   1187176 | PA      | $1167760.94   | 0.04%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0W0W4T7 IRS USD R V 12MUSCPI SL0W0W4T7_FLO CCPINFLATIONZERO / Short: BL0W0W4T7 IRS USD P F  2.52000 SL0W0W4T7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1384638.15   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                                      | Viterra Finance BV                                                                                                                         | CUSIP: 92852LAC3<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |   4111000 | PA      | $3847243.38   | 0.15%             | 2027-04-21      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636AAV3<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  11328000 | PA      | $10565252.23  | 0.40%             | 2025-12-20      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                                                                    | CUSIP: 05578QAB9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   7472000 | PA      | $7330479.65   | 0.28%             | 2024-07-21      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                                                                               | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   4297000 | PA      | $4040103.86   | 0.15%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4991000 | PA      | $4902475.73   | 0.18%             | 2025-01-24      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                                                                               | CUSIP: 06738EAW5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1142000 | PA      | $1047836.06   | 0.04%             | 2028-05-09      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY 2015-1740 Mortgage Trust                                                                                                              | CUSIP: 05604LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $2885611.28   | 0.11%             | 2035-01-10      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE NEW YORK                                  | Credit Suisse AG/New York NY                                                                                                               | CUSIP: 22546QAP2<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |   1566000 | PA      | $1441488.83   | 0.05%             | 2024-09-09      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2093000 | PA      | $1957920.73   | 0.07%             | 2025-01-12      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| PELABUHAN INDO PERSERO                                  | Pelabuhan Indonesia Persero PT                                                                                                             | CUSIP: 69370TAB9<br>LEI: 254900Y6SH3NRN1A8R64 | Long             | DBT              | CORP              | ID        |   1220000 | PA      | $1213021.60   | 0.05%             | 2023-05-02      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SPECIALTY BUILDING PRODU                                | Specialty Building Products Holdings LLC / SBP Finance Corp                                                                                | CUSIP: 84749AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1881000 | PA      | $1557017.09   | 0.06%             | 2026-09-30      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYP0JK17 IRS USD R V 12MUSCPI SLYP0JK17_FLO CCPINFLATIONZERO / Short: BLYP0JK17 IRS USD P F  1.96400 SLYP0JK17_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $717719.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2015-GS1                                                                                                      | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   1020049 | PA      | $19085.83     | 0.00%             | 2048-11-10      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLXC0PB47 IRS USD R V 12MUSCPI SLXC0PB47_FLO CCPINFLATIONZERO / Short: BLXC0PB47 IRS USD P F  2.41000 SLXC0PB47_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $523363.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SLNE1YKH5 IRS USD R V 12MUSCPI SLNE1YKH5_INF INFLATIONZERO / Short: SLNE1YKH5 IRS USD P F  2.36300 SLNE1YKH5_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  20000000 | OU      | $1820162.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust 2021-5                                                                                                        | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3589238 | PA      | $3425776.98   | 0.13%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SL31061L9 IRS USD R F  2.05400 SL31061L9_FIX CCPINFLATIONZERO / Short: SL31061L9 IRS USD P V 12MUSCPI SL31061L9_INF CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |  10000000 | OU      | $-962028.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLER00I76 IRS USD R V 12MUSCPI SLER00I76_FLO CCPINFLATIONZERO / Short: BLER00I76 IRS USD P F  2.22875 SLER00I76_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $641884.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL514MB78 IRS USD R V 12MUSCPI SL514MB78_INF CCPINFLATIONZERO / Short: BL514MB78 IRS USD P F  2.34500 SL514MB78_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $938505.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                     | New Residential Mortgage Loan Trust 2020-NQM1                                                                                              | CUSIP: 64830VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    127524 | PA      | $114984.27    | 0.00%             | 2060-01-26      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                     | Starwood Mortgage Residential Trust 2021-2                                                                                                 | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1436418 | PA      | $1330003.30   | 0.05%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                       | Santander Retail Auto Lease Trust 2021-C                                                                                                   | CUSIP: 80286CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418345 | PA      | $417033.40    | 0.02%             | 2024-04-22      | Fixed         | 0.29%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | Long: SL4F38CS3 IRS USD R V 12MUSCPI CPI URBAN CONSUMER / Short: SL4F38CS3 IRS USD P F  2.94500 SL4F38CS3_FIX INFLATIONZERO                | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  15000000 | OU      | $-1576783.35  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                      | CNO Global Funding                                                                                                                         | CUSIP: 18977W2A7<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |   1313000 | PA      | $1157441.41   | 0.04%             | 2026-10-07      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                                   | Bread Financial Holdings Inc                                                                                                               | CUSIP: 018581AL2<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |   3486000 | PA      | $2986438.77   | 0.11%             | 2026-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                                                                                   | CUSIP: 26884LAH2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   7455000 | PA      | $7486497.38   | 0.28%             | 2025-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GFP9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4295000 | PA      | $4200449.87   | 0.16%             | 2025-04-21      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLA10W886 IRS USD R V 12MUSCPI SLA10W886_INF INFLATIONZERO / Short: SLA10W886 IRS USD P F  2.36000 SLA10W886_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $969917.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2019-2 LLC                                                                                                           | CUSIP: 784034AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2350000 | PA      | $2258871.70   | 0.09%             | 2026-08-20      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| SABLE BIGHORN LLC UNITS                                 | SABLE BIGHORN LLC UNITS                                                                                                                    | CUSIP: 000000000<br>LEI: 254900IEQ8586NMY0F81 | Long             | EC               | CORP              | US        |       398 | NS      | $1168.93      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| EQT Corp                                                | EQT Corp                                                                                                                                   | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   3000000 | PA      | $2780704.98   | 0.10%             | 2027-10-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                  | UBS-Barclays Commercial Mortgage Trust 2013-C5                                                                                             | CUSIP: 90270YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1921846 | PA      | $39.01        | 0.00%             | 2046-03-10      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLMH2AG02 IRS USD R V 12MUSCPI SLMH2AG02_INF CCPINFLATIONZERO / Short: BLMH2AG02 IRS USD P F  2.39625 SLMH2AG02_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $903594.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                                                                                          | CUSIP: 25179MBC6<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   2711000 | PA      | $2715280.67   | 0.10%             | 2024-09-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OCEANEERING INTL INC                                    | Oceaneering International Inc                                                                                                              | CUSIP: 675232AA0<br>LEI: 549300L6PH74701W0R30 | Long             | DBT              | CORP              | US        |   2076000 | PA      | $2015183.58   | 0.08%             | 2024-11-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA4                                                                                                    | CUSIP: 35564KNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11990268 | PA      | $11253528.05  | 0.42%             | 2041-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                           | NYO Commercial Mortgage Trust 2021-1290                                                                                                    | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10340000 | PA      | $9595663.73   | 0.36%             | 2038-11-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1S5GC17 IRS USD R V 12MUSCPI SL1S5GC17_FLO CCPINFLATIONZERO / Short: BL1S5GC17 IRS USD P F  1.97600 SL1S5GC17_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1373968.40   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                           | Aircastle Ltd                                                                                                                              | CUSIP: 00928QAR2<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   2715000 | PA      | $2687093.82   | 0.10%             | 2023-09-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust 2013-C12                                                                                        | CUSIP: 46639NAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3359333 | PA      | $2540.66      | 0.00%             | 2045-07-15      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9J076N3 IRS USD R V 12MUSCPI SL9J076N3_FLO CCPINFLATIONZERO / Short: BL9J076N3 IRS USD P F  2.59250 SL9J076N3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $786989.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BL0R0NWY6 IRS USD R V 12MUSCPI INF_SL0R0NWY6 CCPINFLATIONZERO / Short: BL0R0NWY6 IRS USD P F  2.36500 FIX_SL0R0NWY6 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  31000000 | OU      | $1213625.82   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                        | Triton Container International Ltd                                                                                                         | CUSIP: 89680YAA3<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   3872000 | PA      | $3368221.79   | 0.13%             | 2026-04-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co LLC                                | Ford Motor Credit Co LLC                                                                                                                   | CUSIP: 345397ZQ9<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |  11093000 | PA      | $10980350.59  | 0.41%             | 2024-03-18      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9K0KU04 IRS USD R V 12MUSCPI SL9K0KU04_FLO CCPINFLATIONZERO / Short: BL9K0KU04 IRS USD P F  2.47000 SL9K0KU04_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $990290.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lendmark Funding Trust 2021-2                                                                                                              | CUSIP: 52604DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10585000 | PA      | $8795712.66   | 0.33%             | 2032-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LOUISIANA ST LOCAL GOVT ENVRNMNTL FACS & CMNTY DEV AUTH | Louisiana Local Government Environmental Facilities & Community Development Auth                                                           | CUSIP: 54627RAL4<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |   1732000 | PA      | $1680517.69   | 0.06%             | 2029-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                                                                              | CUSIP: 46649GAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    332000 | PA      | $303041.47    | 0.01%             | 2031-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                                                                           | CUSIP: 06368LAP1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   1925000 | PA      | $1901200.13   | 0.07%             | 2024-09-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1S4SDH6 IRS USD R V 12MUSCPI SL1S4SDH6_INF CCPINFLATIONZERO / Short: BL1S4SDH6 IRS USD P F  2.37450 SL1S4SDH6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $907958.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                | Lloyds Banking Group PLC                                                                                                                   | CUSIP: 539439AM1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   5156000 | PA      | $4903197.50   | 0.18%             | 2025-12-10      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLQG18MK5 IRS USD R V 12MUSCPI SLQG18MK5_INF INFLATIONZERO / Short: SLQG18MK5 IRS USD P F  2.10000 SLQG18MK5_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $1053111.90   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR Industrial Portfolio Trust                          | KKR Industrial Portfolio Trust 2021-KDIP                                                                                                   | CUSIP: 48254CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198826 | PA      | $191107.18    | 0.01%             | 2037-12-15      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Churchill Downs Incorporated                            | Churchill Downs Incorporated 2017 Term Loan B                                                                                              | CUSIP: 17148PAD3<br>LEI: 529900FODTBQC8MIS994 | Long             | LON              | CORP              | US        |   6822964 | PA      | $6826171.06   | 0.26%             | 2024-12-27      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31419AZ42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     59673 | PA      | $60432.45     | 0.00%             | 2040-12-01      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                  | Verizon Communications Inc                                                                                                                 | CUSIP: 92343VGH1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |   1803000 | PA      | $1579000.92   | 0.06%             | 2028-03-22      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                 | BDS 2021-FL10 Ltd                                                                                                                          | CUSIP: 05493FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5210000 | PA      | $5049363.82   | 0.19%             | 2036-06-16      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2021-1 LLC                                                                                                           | CUSIP: 783897AD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1130000 | PA      | $1018562.90   | 0.04%             | 2029-08-20      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                                                                            | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   6040000 | PA      | $6027122.06   | 0.23%             | 2024-01-05      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                            | Barclays PLC                                                                                                                               | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   3150000 | PA      | $2906012.62   | 0.11%             | 2026-05-07      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXII Ltd                                                                                                                         | CUSIP: 55954HAL6<br>LEI: 5493000081NBXWGGSW23 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3918488.96   | 0.15%             | 2031-04-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                    | OneMain Finance Corp                                                                                                                       | CUSIP: 85172FAF6<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1362000 | PA      | $1363566.30   | 0.05%             | 2023-10-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BL4R1H243 IRS USD R V 12MUSCPI INF_SL4R1H243 CCPINFLATIONZERO / Short: BL4R1H243 IRS USD P F  2.43750 FIX_SL4R1H243 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  30000000 | OU      | $1663930.50   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2014-3-R Ltd                                                                                          | CUSIP: 14315LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1190199 | PA      | $1167878.35   | 0.04%             | 2031-07-27      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                                                                                         | CUSIP: 606822CH5<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   6660000 | PA      | $6593886.25   | 0.25%             | 2025-07-18      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9J060C  IRS USD R V 12MUSCPI SL9J060C_FLO CCPINFLATIONZERO / Short: BL9J060C  IRS USD P F  2.43400 SL9J060C_FIX CCPINFLATIONZERO   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1021321.90   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 853254AX8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3246000 | PA      | $3098466.05   | 0.12%             | 2025-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                                | Celanese US Holdings LLC                                                                                                                   | CUSIP: 15089QAR5<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   8845000 | PA      | $8794017.69   | 0.33%             | 2024-07-05      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL6V4F9V6 IRS USD R V 12MUSCPI SL6V4F9V6_INF INFLATIONZERO / Short: SL6V4F9V6 IRS USD P F  2.37000 SL6V4F9V6_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10000000 | OU      | $924365.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENKO DUTCH BV                                        | Greenko Dutch BV                                                                                                                           | CUSIP: 39530LAD2<br>LEI: 724500PT585P4JPVRP08 | Long             | DBT              | CORP              | NL        |    590190 | PA      | $510514.35    | 0.02%             | 2026-03-29      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| MAGNOLIA OIL GAS/MAG FIN                                | Magnolia Oil & Gas Operating LLC / Magnolia Oil & Gas Finance Corp                                                                         | CUSIP: 559665AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2359000 | PA      | $2286142.29   | 0.09%             | 2026-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                      | Ellington Financial Mortgage Trust 2017-1                                                                                                  | CUSIP: 31574XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94947 | PA      | $75193.08     | 0.00%             | 2066-02-25      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                      | F&G Global Funding                                                                                                                         | CUSIP: 30321L2A9<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1080000 | PA      | $961260.30    | 0.04%             | 2026-06-30      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                | Ford Credit Auto Owner Trust 2021-REV1                                                                                                     | CUSIP: 345340AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1785000 | PA      | $1587190.23   | 0.06%             | 2033-10-17      | Fixed         | 1.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31416BPU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3679 | PA      | $3663.14      | 0.00%             | 2038-03-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                          | EPR Properties                                                                                                                             | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |   1372000 | PA      | $1191196.44   | 0.04%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                | Comision Federal de Electricidad                                                                                                           | CUSIP: 000000000<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1025000 | PA      | $951753.50    | 0.04%             | 2027-02-23      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| BofA Securities, Inc.                                   | Long: SL1T373E9 IRS USD R V 12MUSCPI CPURNSA/CPI URBAN / Short: SL1T373E9 IRS USD P F  2.08000 SL1T373E9_FIX INFLATIONZERO                 | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DIR              |  | US        |  10000000 | OU      | $1066193.30   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636AAZ4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    608000 | PA      | $528088.94    | 0.02%             | 2026-09-11      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EHY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11545 | PA      | $11540.29     | 0.00%             | 2038-08-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2016-UB11                                                                                                   | CUSIP: 61767FBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3527153 | PA      | $147824.75    | 0.01%             | 2049-08-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                                                                                | CUSIP: 61766RBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4075978 | PA      | $151043.53    | 0.01%             | 2049-11-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                  | UBS AG                                                                                                                                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |  18374000 | PA      | $18082386.25  | 0.68%             | 2024-05-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| CROWNROCK LP/CROWNROCK F                                | CrownRock LP / CrownRock Finance Inc                                                                                                       | CUSIP: 228701AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5117000 | PA      | $5002532.71   | 0.19%             | 2025-10-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                        | Great Wolf Trust 2019-WOLF                                                                                                                 | CUSIP: 39152TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2945000 | PA      | $2809605.69   | 0.11%             | 2036-12-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                      | Wind River 2013-1 CLO Ltd                                                                                                                  | CUSIP: 97316FAA9<br>LEI: 549300HNMTL6LADXI169 | Long             | ABS-CBDO         | CORP              | KY        |   9211161 | PA      | $9072918.71   | 0.34%             | 2030-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                          | Air Lease Corp                                                                                                                             | CUSIP: 00914AAA0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    325000 | PA      | $319339.01    | 0.01%             | 2024-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Securities LLC                            | Long: SLDT09FJ1 IRS USD R V 01MCPI01 CPI URBAN CONSUMER / Short: SLDT09FJ1 IRS USD P F  2.86400                                            | CUSIP: 000000000<br>LEI: 1V8Y6QCX6YMJ2OELII46 | N/A              | DIR              |  | US        |   8000000 | OU      | $-550114.56   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLA20YJ05 IRS USD R V 12MUSCPI SLA20YJ05_INF INFLATIONZERO / Short: SLA20YJ05 IRS USD P F  2.39750 SLA20YJ05_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $922165.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BREAD FINANCIAL HLDGS                                   | Bread Financial Holdings Inc                                                                                                               | CUSIP: 018581AK4<br>LEI: 549300G8S4PO686J7H97 | Long             | DBT              | CORP              | US        |   7213000 | PA      | $6287223.21   | 0.24%             | 2024-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL473N8R5 IRS USD R V 12MUSCPI SL473N8R5_INF INFLATIONZERO / Short: SL473N8R5 IRS USD P F  2.37625 SL473N8R5_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $517340.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN AB                                | Svenska Handelsbanken AB                                                                                                                   | CUSIP: 86959LAJ2<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | DBT              | CORP              | SE        |   4444000 | PA      | $4307832.24   | 0.16%             | 2025-06-10      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust 2013-C13                                                                                                   | CUSIP: 92937UAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8115952 | PA      | $5537.51      | 0.00%             | 2045-05-15      | Variable      | 1.30%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                | Microchip Technology Inc                                                                                                                   | CUSIP: 595017AZ7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1491704.40   | 0.06%             | 2023-09-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd                                    | TCI-Flatiron Clo 2018-1 Ltd                                                                                                                | CUSIP: 87232AAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490248.29    | 0.02%             | 2032-01-29      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                               | HMH Trust 2017-NSS                                                                                                                         | CUSIP: 40390AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469000 | PA      | $442273.71    | 0.02%             | 2031-07-05      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-BHAR                                                                                                                             | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16329500 | PA      | $15585576.97  | 0.59%             | 2038-11-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                | Cheniere Corpus Christi Holdings LLC                                                                                                       | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |  10180000 | PA      | $10232669.49  | 0.39%             | 2025-03-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                 | Capital One Multi-Asset Execution Trust                                                                                                    | CUSIP: 14041NGB1<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |   5015000 | PA      | $5041234.47   | 0.19%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                | Sabine Pass Liquefaction LLC                                                                                                               | CUSIP: 785592AD8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   4532000 | PA      | $4531701.84   | 0.17%             | 2023-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | MSBAM Commercial Mortgage Securities Trust 2012-CKSV                                                                                       | CUSIP: 553514AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2042455 | PA      | $1664089.93   | 0.06%             | 2030-10-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| CenturyLink, Inc.                                       | CenturyLink, Inc. 2020 Term Loan A                                                                                                         | CUSIP: 15669GAF1<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |   7665604 | PA      | $7511487.50   | 0.28%             | 2025-01-31      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2014-CCRE19 Mortgage Trust                                                                                                            | CUSIP: 12592GBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2109477 | PA      | $24468.45     | 0.00%             | 2047-08-10      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation                 | Structured Asset Securities Corp Series 2006-3H                                                                                            | CUSIP: 86359DYL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27468 | PA      | $25997.46     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                | Sabine Pass Liquefaction LLC                                                                                                               | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   3218000 | PA      | $3223958.67   | 0.12%             | 2024-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EHSG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42543 | PA      | $42708.56     | 0.00%             | 2039-03-01      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust 2021-B                                                                                                   | CUSIP: 00834DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3550000 | PA      | $3347245.66   | 0.13%             | 2026-08-17      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION                                | Sabine Pass Liquefaction LLC                                                                                                               | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $5074696.60   | 0.19%             | 2026-06-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                          | Romark CLO Ltd                                                                                                                             | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8000000 | PA      | $7855269.60   | 0.30%             | 2030-10-23      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US ULTRA BOND CBT MAR23                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       830 | NC      | $464677.16    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Discover Card Execution Note Trust                      | Discover Card Execution Note Trust                                                                                                         | CUSIP: 254683CX1<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |   6535000 | PA      | $6570303.38   | 0.25%             | 2027-10-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust 2019-2                                                                                               | CUSIP: 96041LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    537839 | PA      | $536484.89    | 0.02%             | 2024-11-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9J0A358 IRS USD R V 12MUSCPI INF_SL9J0A358 CCPINFLATIONZERO / Short: BL9J0A358 IRS USD P F  2.63750 FIX_SL9J0A358 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  35000000 | OU      | $718027.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                                                                                     | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    529000 | PA      | $445804.82    | 0.02%             | 2026-06-05      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2012-CCRE4 Mortgage Trust                                                                                                             | CUSIP: 12624QAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1118551 | PA      | $42.17        | 0.00%             | 2045-10-15      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                                    | Mercedes-Benz Finance North America LLC                                                                                                    | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1754000 | PA      | $1766982.07   | 0.07%             | 2024-11-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2016-LC24                                                                                            | CUSIP: 95000HBK7<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |   7056835 | PA      | $223886.56    | 0.01%             | 2049-10-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2017-ATRM                                                                                                     | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    842000 | PA      | $803324.67    | 0.03%             | 2036-12-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0R0ASS2 IRS USD R V 12MUSCPI SL0R0ASS2_FLO CCPINFLATIONZERO / Short: BL0R0ASS2 IRS USD P F  2.42500 SL0R0ASS2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $2063545.20   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                                                                              | CUSIP: 46649GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    658000 | PA      | $599673.56    | 0.02%             | 2031-04-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Credit Agricole SA                                      | Credit Agricole SA                                                                                                                         | CUSIP: 225313AF2<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |   3558000 | PA      | $3426414.49   | 0.13%             | 2025-03-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                                                             | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $183757.10    | 0.01%             | 2026-06-09      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| Aon Corp                                                | Aon Corp                                                                                                                                   | CUSIP: 037389AK9<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1235531.12   | 0.05%             | 2027-01-01      | Fixed         | 8.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2014-USA OA LLC                                                                                                                       | CUSIP: 12649AAE9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  39135267 | PA      | $461710.05    | 0.02%             | 2037-09-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2022-2                                                                                                            | CUSIP: 67578XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3751634 | PA      | $3703591.42   | 0.14%             | 2028-02-22      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | Long: SLP80ZCE0 IRS USD R V 00MCPURN SLP80ZCE0-_INF INFLATIONZERO / Short: SLP80ZCE0 IRS USD P F  1.95000 SLP80ZCE0_FIX INFLATIONZERO      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |  10000000 | OU      | $1347235.70   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLFH0M1K8 IRS USD R V 12MUSCPI SLFH0M1K8_FLO CCPINFLATIONZERO / Short: BLFH0M1K8 IRS USD P F  2.45700 SLFH0M1K8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $992732.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                  | Santander Drive Auto Receivables Trust 2021-1                                                                                              | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    742635 | PA      | $730530.30    | 0.03%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                | Microchip Technology Inc                                                                                                                   | CUSIP: 595017BB9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   4530000 | PA      | $4287344.98   | 0.16%             | 2024-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| MVW Owner Trust                                         | MVW Owner Trust 2017-1                                                                                                                     | CUSIP: 553896AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49006 | PA      | $47742.08     | 0.00%             | 2034-12-20      | Fixed         | 2.42%                 | No            |                  2 | On Loan: No      |
| LUXE Commercial Mortgage Trust                          | LUXE Trust 2021-TRIP                                                                                                                       | CUSIP: 55066WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $921178.00    | 0.03%             | 2038-10-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                                                                                 | CUSIP: 05369AAK7<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    346000 | PA      | $301994.94    | 0.01%             | 2026-01-30      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SL2I3A610 IRS USD R F  1.61800 SL2I3A610_FIX INFLATIONZERO / Short: SL2I3A610 IRS USD P V 12MUSCPI CPI URBAN CONSUMER                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |  15000000 | OU      | $-1982347.95  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Capital One Prime Auto Receivables Trust                | Capital One Prime Auto Receivables Trust 2022-2                                                                                            | CUSIP: 14043GAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8030000 | PA      | $7930877.68   | 0.30%             | 2025-09-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                            | TICP CLO XIV Ltd                                                                                                                           | CUSIP: 87250CAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7780000 | PA      | $7616620.00   | 0.29%             | 2032-10-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                        | OneMain Financial Issuance Trust 2018-2                                                                                                    | CUSIP: 68269CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    210000 | PA      | $205369.16    | 0.01%             | 2033-03-14      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                     | PFS Financing Corp                                                                                                                         | CUSIP: 69335PDT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    904000 | PA      | $865882.66    | 0.03%             | 2025-10-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GJY6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2758000 | PA      | $2676868.99   | 0.10%             | 2024-06-14      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                | Huntington National Bank/The                                                                                                               | CUSIP: 44644MAD3<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   1213000 | PA      | $1187708.08   | 0.04%             | 2025-05-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| BAT Capital Corp                                        | BAT Capital Corp                                                                                                                           | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |   5957000 | PA      | $5747412.13   | 0.22%             | 2024-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636ABC4<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2565000 | PA      | $2349216.22   | 0.09%             | 2028-04-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2012-WLDN                                                                             | CUSIP: 46637TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4504703 | PA      | $3631531.73   | 0.14%             | 2030-05-05      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                            | Navient Corp                                                                                                                               | CUSIP: 63938CAB4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   5921000 | PA      | $5759761.10   | 0.22%             | 2024-10-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2013-GCJ12                                                                                                    | CUSIP: 36197XAM6<br>LEI: 549300SSCQUZ3RRV2T53 | Long             | ABS-MBS          | CORP              | US        |  15185676 | PA      | $15872.07     | 0.00%             | 2046-06-10      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd         | Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd                                                                                     | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6890000 | PA      | $6620327.54   | 0.25%             | 2034-08-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| HAT HOLDINGS I LLC/HAT                                  | HAT Holdings I LLC / HAT Holdings II LLC                                                                                                   | CUSIP: 418751AE3<br>LEI: N/A                  | Long             | DBT              |  | US        |   1418000 | PA      | $1235269.43   | 0.05%             | 2026-06-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust 2019-2                                                                                                        | CUSIP: 26208RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542646 | PA      | $538331.83    | 0.02%             | 2026-08-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   4400000 | PA      | $4339491.95   | 0.16%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                         | Venture 33 CLO Ltd                                                                                                                         | CUSIP: 92330YAN3<br>LEI: 549300NQPL9XHZ20E278 | Long             | ABS-CBDO         | CORP              | KY        |   3500000 | PA      | $3429195.77   | 0.13%             | 2031-07-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Signal Peak CLO, LLC                                    | Signal Peak CLO 8 Ltd                                                                                                                      | CUSIP: 56845NAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  11005000 | PA      | $10698284.16  | 0.40%             | 2033-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-R2                                                                                                         | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    551379 | PA      | $502196.73    | 0.02%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                 | Park Aerospace Holdings Ltd                                                                                                                | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |   4399000 | PA      | $4377555.71   | 0.17%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2017-SLCT                                                                                                                         | CUSIP: 05607DAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1938850 | PA      | $1864242.47   | 0.07%             | 2034-07-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2020-6                                                                                                            | CUSIP: 03465AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157007 | PA      | $133551.54    | 0.01%             | 2065-05-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLWS0JQY  IRS USD R V 12MUSCPI SLWS0JQY_INF CCPINFLATIONZERO / Short: BLWS0JQY  IRS USD P F  1.97950 SLWS0JQY_FIX CCPINFLATIONZERO   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $716251.05    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-ADV                                                                                                                              | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6130000 | PA      | $5830014.96   | 0.22%             | 2038-07-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| VITERRA FINANCE BV                                      | Viterra Finance BV                                                                                                                         | CUSIP: 92852LAA7<br>LEI: 213800HBZGEIZLKJBI17 | Long             | DBT              | CORP              | NL        |   7352000 | PA      | $6338777.14   | 0.24%             | 2026-04-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                         | CFCRE Commercial Mortgage Trust 2016-C4                                                                                                    | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    862130 | PA      | $35023.35     | 0.00%             | 2058-05-10      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                         | CFCRE Commercial Mortgage Trust 2018-TAN                                                                                                   | CUSIP: 12528DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3500000 | PA      | $3450092.45   | 0.13%             | 2033-02-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                  | VICI Properties LP / VICI Note Co Inc                                                                                                      | CUSIP: 92564RAD7<br>LEI: N/A                  | Long             | DBT              |  | US        |   2599000 | PA      | $2347949.60   | 0.09%             | 2027-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ORBIA ADVANCE CORP SAB                                  | Orbia Advance Corp SAB de CV                                                                                                               | CUSIP: 68560EAA6<br>LEI: 549300MVHZ20SBIOEQ79 | Long             | DBT              | CORP              | MX        |   3810000 | PA      | $3326739.60   | 0.13%             | 2026-05-11      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2021-c                                                                                           | CUSIP: 63942JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3394324 | PA      | $2934674.99   | 0.11%             | 2069-10-15      | Fixed         | 1.06%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC                   | Charter Communications Operating, LLC 2019 Term Loan B1                                                                                    | CUSIP: 16117LBW8<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |  15326362 | PA      | $15110796.67  | 0.57%             | 2025-04-30      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2019-2 LLC                                                                                                           | CUSIP: 784034AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1232195 | PA      | $1211345.08   | 0.05%             | 2026-04-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                  | UBS-Barclays Commercial Mortgage Trust 2013-C5                                                                                             | CUSIP: 90270YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635141 | PA      | $627909.98    | 0.02%             | 2046-03-10      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| LAREDO PETROLEUM INC                                    | Laredo Petroleum Inc                                                                                                                       | CUSIP: 516806AF3<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |   3251000 | PA      | $3255762.72   | 0.12%             | 2025-01-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1, LLC                                   | LFT CRE 2021-FL1 Ltd                                                                                                                       | CUSIP: 50203JAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3520000 | PA      | $3420189.59   | 0.13%             | 2039-06-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Verde CLO Ltd                                           | VERDE CLO Ltd                                                                                                                              | CUSIP: 92338BAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6000000 | PA      | $5874000.00   | 0.22%             | 2032-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding Ltd                       | Halcyon Loan Advisors Funding 2015-2 Ltd                                                                                                   | CUSIP: 40538KAN2<br>LEI: 5493006GMMSBMRMTK635 | Long             | ABS-CBDO         | CORP              | KY        |    190766 | PA      | $191380.65    | 0.01%             | 2027-07-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL31117N9 IRS USD R V 12MUSCPI SL31117N9_FLO CCPINFLATIONZERO / Short: BL31117N9 IRS USD P F  2.44250 SL31117N9_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1016545.40   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM7                                                                                                                             | CUSIP: 12662QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920829 | PA      | $740510.33    | 0.03%             | 2066-10-25      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| TRITON CONTAINER                                        | Triton Container International Ltd                                                                                                         | CUSIP: 89680YAB1<br>LEI: 549300O4LZFLCX53XZ54 | Long             | DBT              | CORP              | BM        |   2518000 | PA      | $2326299.12   | 0.09%             | 2024-06-07      | Fixed         | 1.15%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                                                                                       | CUSIP: 78016EZH3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   2564000 | PA      | $2523822.97   | 0.10%             | 2024-07-26      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| STELLANTIS NV                                           | Stellantis NV                                                                                                                              | CUSIP: 31562QAF4<br>LEI: 549300LKT9PW7ZIBDF31 | Long             | DBT              | CORP              | NL        |   7615000 | PA      | $7595315.23   | 0.29%             | 2023-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Cowen Inc                                               | Cowen Inc Term Loan B                                                                                                                      | CUSIP: 22362KAB7<br>LEI: 5493008QI0EFC5WBED75 | Long             | LON              | CORP              | US        |   6823297 | PA      | $6806238.68   | 0.26%             | 2028-03-24      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS 2018-TALL Mortgage Trust                                                                                                             | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $3181972.96   | 0.12%             | 2037-03-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                            | ING Groep NV                                                                                                                               | CUSIP: 000000000<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   2626000 | PA      | $2557936.71   | 0.10%             | 2028-03-22      | Fixed         | 4.70%                 | Yes           |                  2 | On Loan: No      |
| ENDEAVOR ENERGY RESOURCE                                | Endeavor Energy Resources LP / EER Finance Inc                                                                                             | CUSIP: 29260FAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    462000 | PA      | $455349.51    | 0.02%             | 2028-01-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY                                                                             | CUSIP: 46642MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $2325000.00   | 0.09%             | 2027-06-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                                                                       | CUSIP: 378272AL2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   1567000 | PA      | $1516903.10   | 0.06%             | 2025-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | Wells Fargo & Co                                                                                                                           | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   5134000 | PA      | $5017949.83   | 0.19%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COMISION FEDERAL DE ELEC                                | Comision Federal de Electricidad                                                                                                           | CUSIP: 200447AD2<br>LEI: 4469000001BFPONMPF32 | Long             | DBT              | CORP              | MX        |   1128000 | PA      | $1115772.48   | 0.04%             | 2024-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0H00QI0 IRS USD R V 12MUSCPI SL0H00QI0_FLO CCPINFLATIONZERO / Short: BL0H00QI0 IRS USD P F  2.52125 SL0H00QI0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  13000000 | OU      | $944602.62    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                           | UniCredit SpA                                                                                                                              | CUSIP: 904678AU3<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   2520000 | PA      | $2218302.50   | 0.08%             | 2026-09-22      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle US Clo 2017-2 Ltd                                                                                                                  | CUSIP: 14315JAQ2<br>LEI: 549300VC6J79YJCFU884 | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3911920.96   | 0.15%             | 2031-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                            | World Omni Select Auto Trust 2019-A                                                                                                        | CUSIP: 98163BAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    572000 | PA      | $561945.56    | 0.02%             | 2025-12-15      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                          | Mariner Finance Issuance Trust 2021-B                                                                                                      | CUSIP: 56847JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3340000 | PA      | $2818465.68   | 0.11%             | 2036-11-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                | Lloyds Banking Group PLC                                                                                                                   | CUSIP: 53944YAB9<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |   3048000 | PA      | $2900265.67   | 0.11%             | 2026-03-24      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SLFI2J7B5 IRS USD R V 12MUSCPI SLFI2J7B5_INF INFLATIONZERO / Short: SLFI2J7B5 IRS USD P F  2.20700 SLFI2J7B5_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  20000000 | OU      | $1952746.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                 | GA Global Funding Trust                                                                                                                    | CUSIP: 36143L2C8<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |   1032000 | PA      | $939834.88    | 0.04%             | 2024-09-13      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                  | VICI Properties LP / VICI Note Co Inc                                                                                                      | CUSIP: 92564RAF2<br>LEI: N/A                  | Long             | DBT              |  | US        |   2277000 | PA      | $2257813.50   | 0.09%             | 2024-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5101000 | PA      | $5003706.59   | 0.19%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0W0WKO0 IRS USD R V 12MUSCPI SL0W0WKO0_FLO CCPINFLATIONZERO / Short: BL0W0WKO0 IRS USD P F  2.52150 SL0W0WKO0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1307401.35   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                                                                       | CUSIP: 378272AH1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |  10553000 | PA      | $10435833.21  | 0.39%             | 2024-04-29      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORP                                    | Parker-Hannifin Corp                                                                                                                       | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |   1633000 | PA      | $1596854.33   | 0.06%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd                                             | OCP Clo 2019-17 Ltd                                                                                                                        | CUSIP: 67113LAL0<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |   5700000 | PA      | $5551650.03   | 0.21%             | 2032-07-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                 | BDS 2022-FL11 LLC                                                                                                                          | CUSIP: 054980AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  20400000 | PA      | $19887257.42  | 0.75%             | 2039-03-19      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| WEATHERFORD INTL LTD                                    | Weatherford International Ltd                                                                                                              | CUSIP: 947075AP2<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |    328000 | PA      | $336922.83    | 0.01%             | 2024-12-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6004000 | PA      | $5652899.83   | 0.21%             | 2025-10-22      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                                | EQT Corp                                                                                                                                   | CUSIP: 26884LAM1<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |   3925000 | PA      | $3627623.71   | 0.14%             | 2026-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31419AWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25632 | PA      | $25940.39     | 0.00%             | 2040-12-01      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GATES GLOBAL/GATES CORP                                 | Gates Global LLC / Gates Corp                                                                                                              | CUSIP: 36740LAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1109000 | PA      | $1070839.31   | 0.04%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | CARLYLE US CLO 2017-3 Ltd                                                                                                                  | CUSIP: 14314FAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    822819 | PA      | $811561.29    | 0.03%             | 2029-07-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GKE8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   2411000 | PA      | $2215197.99   | 0.08%             | 2025-12-06      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LP                                | Viper Energy Partners LP                                                                                                                   | CUSIP: 92763MAA3<br>LEI: 5299009LINL232255G03 | Long             | DBT              | CORP              | US        |   2857000 | PA      | $2712855.66   | 0.10%             | 2027-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                                 | BDS 2021-FL8                                                                                                                               | CUSIP: 05493JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3830986 | PA      | $3688486.74   | 0.14%             | 2036-01-18      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust 2013-C11                                                                                                   | CUSIP: 92937EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1006631 | PA      | $1004067.78   | 0.04%             | 2045-03-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Reynolds American Inc                                   | Reynolds American Inc                                                                                                                      | CUSIP: 761713BG0<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1817996.98   | 0.07%             | 2025-06-12      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLP40QVE8 IRS USD R V 12MUSCPI SLP40QVE8_FLO CCPINFLATIONZERO / Short: BLP40QVE8 IRS USD P F  2.44625 SLP40QVE8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $478464.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Newell Brands Inc                                       | Newell Brands Inc                                                                                                                          | CUSIP: 651229AW6<br>LEI: 549300LWGYFM1TVO1Z12 | Long             | DBT              | CORP              | US        |   2302000 | PA      | $2174515.24   | 0.08%             | 2026-04-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Vornado Realty LP                                       | Vornado Realty LP                                                                                                                          | CUSIP: 929043AJ6<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   3565000 | PA      | $3323631.64   | 0.13%             | 2025-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL3X39J98 IRS USD R V 12MUSCPI SL3X39J98_INF INFLATIONZERO / Short: SL3X39J98 IRS USD P F  1.74650 SL3X39J98_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  20000000 | OU      | $3051674.60   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                              | Humana Inc                                                                                                                                 | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1698000 | PA      | $1738321.52   | 0.07%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Caesars Resort Collection, LLC                          | Caesars Resort Collection, LLC 2017 1st Lien Term Loan B                                                                                   | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |   4509752 | PA      | $4486188.86   | 0.17%             | 2024-12-23      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Chase Issuance Trust                                    | Chase Issuance Trust                                                                                                                       | CUSIP: 161571HS6<br>LEI: 5493008SHVCX2Y068L12 | Long             | ABS-O            | CORP              | US        |   4165000 | PA      | $4080708.31   | 0.15%             | 2027-09-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2021-ROSS                                                                                                | CUSIP: 36264YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4706954.50   | 0.18%             | 2026-05-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2022-P1                                                                                                     | CUSIP: 14688DAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  12310000 | PA      | $11813458.92  | 0.45%             | 2027-02-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Ausgrid Finance Pty Ltd                                 | Ausgrid Finance Pty Ltd                                                                                                                    | CUSIP: 052113AA5<br>LEI: 549300DN8D7YR73BKB57 | Long             | DBT              | CORP              | AU        |   2235000 | PA      | $2218994.52   | 0.08%             | 2023-05-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SLFI2I9M1 IRS USD R V 12MUSCPI SLFI2I9M1_INF INFLATIONZERO / Short: SLFI2I9M1 IRS USD P F  2.22750 SLFI2I9M1_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  15000000 | OU      | $1454464.80   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CHORD ENERGY CORP                                       | Chord Energy Corp                                                                                                                          | CUSIP: 674215AL2<br>LEI: 529900FA4V2YNIKZ0M71 | Long             | DBT              | CORP              | US        |   2978000 | PA      | $2914375.03   | 0.11%             | 2026-06-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-GAM                                                                                                                              | CUSIP: 12624UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79893 | PA      | $79140.32     | 0.00%             | 2028-02-10      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST                    | Mercedes-Benz Auto Receivables Trust 2022-1                                                                                                | CUSIP: 58768PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2575000 | PA      | $2578755.12   | 0.10%             | 2027-08-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1O65W41 IRS USD R V 12MUSCPI SL1O65W41_INF CCPINFLATIONZERO / Short: BL1O65W41 IRS USD P F  1.93500 SL1O65W41_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $760345.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                                                                    | CUSIP: 05578QAE3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    786000 | PA      | $750632.52    | 0.03%             | 2026-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| UBS-Barclays Commercial Mortgage Trust                  | UBS-Barclays Commercial Mortgage Trust 2013-C6                                                                                             | CUSIP: 90349GAG0<br>LEI: 549300G1IXWLFE766Q13 | Long             | ABS-MBS          | CORP              | US        |  12278076 | PA      | $2885.35      | 0.00%             | 2046-04-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Applied Systems, Inc.                                   | Applied Systems, Inc. 2017 1st Lien Term Loan                                                                                              | CUSIP: 03827FAX9<br>LEI: 549300NSKGF0SY5SWQ62 | Long             | LON              | CORP              | US        |   2374877 | PA      | $2372169.46   | 0.09%             | 2024-09-19      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                          | Amazon.com Inc                                                                                                                             | CUSIP: 023135CP9<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |   3954000 | PA      | $3986933.26   | 0.15%             | 2027-12-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                     | DBGS 2021-W52 Mortgage Trust                                                                                                               | CUSIP: 23308LAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9905000 | PA      | $9007286.08   | 0.34%             | 2036-10-15      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| TCI-Flatiron CLO Ltd                                    | TCI-Flatiron Clo 2017-1 Ltd                                                                                                                | CUSIP: 87231BAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3919800.68   | 0.15%             | 2030-11-18      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM6                                                                                                                             | CUSIP: 12662KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5393956 | PA      | $4321286.88   | 0.16%             | 2066-07-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLWS00YG6 IRS USD R V 12MUSCPI SLWS00YG6_INF CCPINFLATIONZERO / Short: BLWS00YG6 IRS USD P F  2.37900 SLWS00YG6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1370227.05   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL2I4FXT7 IRS USD R V 12MUSCPI SL2I4FXT7_FLO CCPINFLATIONZERO / Short: BL2I4FXT7 IRS USD P F  2.46800 SL2I4FXT7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $972685.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2020-F                                                                                           | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    586167 | PA      | $519994.66    | 0.02%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| Madison Park Funding Ltd                                | Madison Park Funding XI Ltd                                                                                                                | CUSIP: 55818KAV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2906948 | PA      | $2851483.12   | 0.11%             | 2029-07-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   6842000 | PA      | $6720875.60   | 0.25%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                               | Qorvo Inc                                                                                                                                  | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |   1840000 | PA      | $1688650.80   | 0.06%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST                                                                             | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5800000 | PA      | $4813433.34   | 0.18%             | 2036-12-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                    | IHO Verwaltungs GmbH                                                                                                                       | CUSIP: 80627DAC0<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |   1642563 | PA      | $1405503.61   | 0.05%             | 2026-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                                                                               | CUSIP: 212015AS0<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   5076000 | PA      | $4673612.84   | 0.18%             | 2028-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL942DIC2 IRS USD R V 12MUSCPI SL942DIC2_FLO CCPINFLATIONZERO / Short: BL942DIC2 IRS USD P F  2.58500 SL942DIC2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1199995.35   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL4H4WBK3 IRS USD R V 12MUSCPI INF_SL4H4WBK3 CCPINFLATIONZERO / Short: BL4H4WBK3 IRS USD P F  2.48125 FIX_SL4H4WBK3 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1186998.90   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | Long: SL603Z6L6 IRS USD R V 12MUSCPI SL603Z6L6_INF INFLATIONZERO / Short: SL603Z6L6 IRS USD P F  1.64900 SL603Z6L6_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   5000000 | OU      | $713027.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA                                                                                                                        | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   2302000 | PA      | $2224887.51   | 0.08%             | 2026-01-15      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                             | Netflix Inc                                                                                                                                | CUSIP: 64110LAN6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3866989.52   | 0.15%             | 2026-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                                | Microchip Technology Inc                                                                                                                   | CUSIP: 595017AP9<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   4111000 | PA      | $4094085.54   | 0.15%             | 2023-06-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                     | DBWF Mortgage Trust                                                                                                                        | CUSIP: 23306NAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    429611 | PA      | $3392.41      | 0.00%             | 2034-06-10      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9J06BC3 IRS USD R V 12MUSCPI SL9J06BC3_FLO CCPINFLATIONZERO / Short: BL9J06BC3 IRS USD P F  2.45250 SL9J06BC3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $997315.20    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 853254AL4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   3559000 | PA      | $3520994.79   | 0.13%             | 2024-01-26      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Resorts World Las Vegas LLC                             | Resorts World Las Vegas LLC Term Loan A                                                                                                    | CUSIP: 76120KAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4400000 | PA      | $4356000.00   | 0.16%             | 2024-04-16      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GRANITE US HOLDINGS CORP                                | Granite US Holdings Corp                                                                                                                   | CUSIP: 38748YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1856000 | PA      | $1948243.20   | 0.07%             | 2027-10-01      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ARES CLO Ltd                                            | ARES L CLO Ltd                                                                                                                             | CUSIP: 04018LAJ4<br>LEI: 549300S7Y78W7UJHZZ39 | Long             | ABS-CBDO         | CORP              | KY        |   4180000 | PA      | $4080515.54   | 0.15%             | 2032-01-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GJK6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6122000 | PA      | $5437236.85   | 0.21%             | 2026-10-24      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                                                                                    | CUSIP: 404119BR9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    611000 | PA      | $610280.22    | 0.02%             | 2025-02-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Project Alpha Intermediate Holding, Inc.                | Project Alpha Intermediate Holding, Inc. 2021 Term Loan B                                                                                  | CUSIP: 74339DAE8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1885281 | PA      | $1842861.88   | 0.07%             | 2024-04-26      | Floating      | 8.08%                 | No            |                  2 | On Loan: No      |
| CNO Financial Group Inc                                 | CNO Financial Group Inc                                                                                                                    | CUSIP: 12621EAK9<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   2103000 | PA      | $2093178.55   | 0.08%             | 2025-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3H6GN32 IRS USD R V 12MUSCPI SL3H6GN32_INF CCPINFLATIONZERO / Short: BL3H6GN32 IRS USD P F  1.88750 SL3H6GN32_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $758030.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ENVIVA PARTNERS LP/FIN C                                | Enviva Partners LP / Enviva Partners Finance Corp                                                                                          | CUSIP: 29413XAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2685000 | PA      | $2564378.79   | 0.10%             | 2026-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOF                                | Take-Two Interactive Software Inc                                                                                                          | CUSIP: 874054AF6<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |    499000 | PA      | $481519.92    | 0.02%             | 2025-04-14      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA                                                                                                                        | CUSIP: 46115HAT4<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   8728000 | PA      | $8412031.39   | 0.32%             | 2024-06-26      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS 2018-TALL Mortgage Trust                                                                                                             | CUSIP: 05548WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3350000 | PA      | $2860177.07   | 0.11%             | 2037-03-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM3                                                                                                                             | CUSIP: 12660LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    863659 | PA      | $706436.95    | 0.03%             | 2066-04-25      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Suncor Energy Inc                                       | Suncor Energy Inc                                                                                                                          | CUSIP: 71644EAE2<br>LEI: 549300W70ZOQDVLCHY06 | Long             | DBT              | CORP              | CA        |   3151000 | PA      | $3400174.05   | 0.13%             | 2026-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SL4Q2ZCQ4 IRS USD R V 12MUSCPI SL4Q2ZCQ4_INF INFLATIONZERO / Short: SL4Q2ZCQ4 IRS USD P F  2.51750 SL4Q2ZCQ4_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  15000000 | OU      | $443981.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL6K5U4K5 IRS USD R V 12MUSCPI SL6K5U4K5_INF INFLATIONZERO / Short: SL6K5U4K5 IRS USD P F  2.36000 SL6K5U4K5_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $967746.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2022-1 LLC                                                                                                           | CUSIP: 784033AS1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7240000 | PA      | $6810220.57   | 0.26%             | 2029-07-20      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                         | CFCRE Commercial Mortgage Trust 2016-C6                                                                                                    | CUSIP: 12532ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2602517 | PA      | $84810.56     | 0.00%             | 2049-11-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Kinross Gold Corp                                       | Kinross Gold Corp                                                                                                                          | CUSIP: 496902AN7<br>LEI: 549300UEBMAQDN0K0R06 | Long             | DBT              | CORP              | CA        |   1963000 | PA      | $1970791.60   | 0.07%             | 2024-03-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                                                                            | CUSIP: 37045XCX2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1378000 | PA      | $1298243.26   | 0.05%             | 2025-06-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                                                                               | CUSIP: 212015AN1<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |  10168000 | PA      | $9905605.20   | 0.37%             | 2024-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                                | Targa Resources Partners LP / Targa Resources Partners Finance Corp                                                                        | CUSIP: 87612BBL5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5879000 | PA      | $5918565.67   | 0.22%             | 2027-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL1O55ZD9 IRS USD R V 12MUSCPI SL1O55ZD9_INF INFLATIONZERO / Short: SL1O55ZD9 IRS USD P F  2.30125 SL1O55ZD9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $508540.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                            | Illumina Inc                                                                                                                               | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   1213000 | PA      | $1220003.32   | 0.05%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX 2021-MFM1                                                                                                                               | CUSIP: 05608VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $135372.10    | 0.01%             | 2034-01-15      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1T53PO0 IRS USD R V 12MUSCPI INF_SL1T53PO0 CCPINFLATIONZERO / Short: BL1T53PO0 IRS USD P F  2.54000 FIX_SL1T53PO0 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1323666.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HMH Trust                                               | HMH Trust 2017-NSS                                                                                                                         | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    974000 | PA      | $940191.97    | 0.04%             | 2031-07-05      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                             | Diamond Resorts Owner Trust 2018-1                                                                                                         | CUSIP: 252724AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    239970 | PA      | $234704.58    | 0.01%             | 2031-01-21      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                | FactSet Research Systems Inc                                                                                                               | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |   2005000 | PA      | $1833445.96   | 0.07%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL6V41MJ9 IRS USD R V 12MUSCPI SL6V41MJ9_INF INFLATIONZERO / Short: SL6V41MJ9 IRS USD P F  2.37000 SL6V41MJ9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $478704.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORPORATION                              | American Tower Corporation 2021 First Lien Delayed Draw Term loan                                                                          | CUSIP: 000000000<br>LEI: 5493006ORUSIL88JOE18 | Long             | LON              | CORP              | US        |   4455475 | PA      | $4433197.63   | 0.17%             | 2023-12-08      | Floating      | 5.19%                 | No            |                  3 | On Loan: No      |
| LCH Limited                                             | Long: BL4Q4AK39 IRS USD R V 12MUSCPI SL4Q4AK39_INF CCPINFLATIONZERO / Short: BL4Q4AK39 IRS USD P F  2.38400 SL4Q4AK39_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $912719.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GWQ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    320000 | PA      | $308242.45    | 0.01%             | 2025-09-29      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLF030QK3 IRS USD R V 12MUSCPI SLF030QK3_INF CCPINFLATIONZERO / Short: BLF030QK3 IRS USD P F  2.37000 SLF030QK3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $523234.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust                     | Starwood Mortgage Residential Trust 2020-1                                                                                                 | CUSIP: 85573AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24445 | PA      | $23486.58     | 0.00%             | 2050-02-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                  | Canadian Imperial Bank of Commerce                                                                                                         | CUSIP: 13607H6M9<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |   5013000 | PA      | $4880480.69   | 0.18%             | 2025-08-04      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GHC6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   3830000 | PA      | $3825565.05   | 0.14%             | 2023-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Dell Equipment Finance Trust                            | Dell Equipment Finance Trust 2021-2                                                                                                        | CUSIP: 24702VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1989340 | PA      | $1961526.38   | 0.07%             | 2026-12-22      | Fixed         | 0.33%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 853254BJ8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2377000 | PA      | $2359856.36   | 0.09%             | 2024-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Mountain View CLO Ltd                                   | Mountain View CLO X Ltd                                                                                                                    | CUSIP: 62432CAQ4<br>LEI: 549300RHYK4B5L898W39 | Long             | ABS-CBDO         | CORP              | KY        |    112695 | PA      | $112110.48    | 0.00%             | 2027-10-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| BBVA BANCOMER SA TEXAS                                  | BBVA Bancomer SA/Texas                                                                                                                     | CUSIP: 05533UAD0<br>LEI: 549300WIWQK5Q9MCUN92 | Long             | DBT              | CORP              | MX        |   1187000 | PA      | $1172192.18   | 0.04%             | 2024-04-10      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5I1O1M8 IRS USD R V 12MUSCPI INF_SL5I1O1M8 CCPINFLATIONZERO / Short: BL5I1O1M8 IRS USD P F  2.50150 FIX_SL5I1O1M8 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1379989.40   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL3A2HFF1 IRS USD R V 12MUSCPI SL3A2HFF1_INF INFLATIONZERO / Short: SL3A2HFF1 IRS USD P F  1.96000 SL3A2HFF1_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | GB        |  10000000 | OU      | $1040962.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL3X3E808 IRS USD R V 12MUSCPI SL3X3E808_INF INFLATIONZERO / Short: SL3X3E808 IRS USD P F  2.20500 SL3X3E808_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  15000000 | OU      | $1480949.40   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                                                             | CUSIP: 09659W2J2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   5406000 | PA      | $5089910.32   | 0.19%             | 2025-11-19      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL514DCF9 IRS USD R V 12MUSCPI SL514DCF9_INF INFLATIONZERO / Short: SL514DCF9 IRS USD P F  2.14750 SL514DCF9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | AU        |  10000000 | OU      | $1272250.30   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLP82DHM4 IRS USD R V 12MUSCPI SLP82DHM4_FLO CCPINFLATIONZERO / Short: BLP82DHM4 IRS USD P F  2.48000 SLP82DHM4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $491425.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                              | Hudsons Bay Simon JV Trust 2015-HBS                                                                                                        | CUSIP: 44422PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1732023 | PA      | $1421746.84   | 0.05%             | 2034-08-05      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Ally Financial Inc                                      | Ally Financial Inc                                                                                                                         | CUSIP: 02005NBH2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   5389000 | PA      | $5245370.22   | 0.20%             | 2024-05-21      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                                                                                 | CUSIP: 05369AAC5<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   9000000 | PA      | $8894589.75   | 0.34%             | 2023-05-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891CBB8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   6181000 | PA      | $5953615.60   | 0.22%             | 2024-06-20      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| SK HYNIX INC                                            | SK Hynix Inc                                                                                                                               | CUSIP: 78392BAB3<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    316000 | PA      | $273755.04    | 0.01%             | 2026-01-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| PFP III                                                 | PFP 2021-7 Ltd                                                                                                                             | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1192194 | PA      | $1163961.47   | 0.04%             | 2038-04-14      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLP30N2P4 IRS USD R V 12MUSCPI SLP30N2P4_FLO CCPINFLATIONZERO / Short: BLP30N2P4 IRS USD P F  2.55900 SLP30N2P4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1723263.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Puget Energy Inc                                        | Puget Energy Inc                                                                                                                           | CUSIP: 745310AH5<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   4587000 | PA      | $4370646.16   | 0.16%             | 2025-05-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ACREC 2021-FL1 Ltd                                      | ACREC 2021-FL1 Ltd                                                                                                                         | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8973000 | PA      | $8558123.92   | 0.32%             | 2036-10-16      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Invitation Homes Operating Partnership LP               | Invitation Homes Operating Partnership LP 2020 Term Loan A                                                                                 | CUSIP: 46187CAF8<br>LEI: 549300147YMUQB3GW319 | Long             | LON              | CORP              | US        |   2245570 | PA      | $2206272.53   | 0.08%             | 2025-01-31      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3H5Y773 IRS USD R V 12MUSCPI SL3H5Y773_INF CCPINFLATIONZERO / Short: BL3H5Y773 IRS USD P F  1.75600 SL3H5Y773_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1190323.70   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31326GDC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147736 | PA      | $145906.18    | 0.01%             | 2043-11-01      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Newark BSL CLO 2 Ltd.                                   | Newark BSL CLO 2 Ltd                                                                                                                       | CUSIP: 65023PAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2977956 | PA      | $2928854.77   | 0.11%             | 2030-07-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                        | Bank of Montreal                                                                                                                           | CUSIP: 06368D3S1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |   3004000 | PA      | $2929321.82   | 0.11%             | 2025-06-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                            | Upstart Securitization Trust 2021-2                                                                                                        | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    471348 | PA      | $461340.50    | 0.02%             | 2031-06-20      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAIN INC                                   | Caesars Entertainment Inc                                                                                                                  | CUSIP: 28470RAH5<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |   2800000 | PA      | $2771082.94   | 0.10%             | 2025-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Waikiki Beach Hotel Trust                               | WAIKIKI BEACH HOTEL TRUST 2019-WBM                                                                                                         | CUSIP: 93065PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1100000 | PA      | $1032641.39   | 0.04%             | 2033-12-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                            | Drive Auto Receivables Trust 2019-4                                                                                                        | CUSIP: 26209AAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    952313 | PA      | $935146.53    | 0.04%             | 2027-02-16      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Nutrition & Biosciences, Inc.                           | Nutrition & Biosciences, Inc. 3 Year Delayed Draw Term Loan                                                                                | CUSIP: 000000000<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | LON              | CORP              | US        |    495689 | PA      | $495069.39    | 0.02%             | 2023-01-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                          | Long: SL5D2CZF  IRS USD R V 00MCPURN CPURNSA / Short: SL5D2CZF  IRS USD P F  2.46500                                                       | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | US        |   5000000 | OU      | $112447.40    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Monongahela Power Co                                    | Monongahela Power Co                                                                                                                       | CUSIP: 610202BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4000000 | PA      | $3925092.84   | 0.15%             | 2024-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                                 | American Electric Power Co Inc                                                                                                             | CUSIP: 025537AV3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1736119.51   | 0.07%             | 2027-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31402RUL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73105 | PA      | $73767.34     | 0.00%             | 2035-10-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL4R0DXA5 IRS USD R V 12MUSCPI SL4R0DXA5_INF CCPINFLATIONZERO / Short: BL4R0DXA5 IRS USD P F  2.26900 SL4R0DXA5_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1092676.20   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2021-RENT                                                                                                | CUSIP: 36260XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  15856709 | PA      | $15140752.96  | 0.57%             | 2035-11-21      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                      | F&G Global Funding                                                                                                                         | CUSIP: 30321L2B7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   1368000 | PA      | $1249268.00   | 0.05%             | 2024-09-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLEH0KQW0 IRS USD R V 12MUSCPI SLEH0KQW0_FLO CCPINFLATIONZERO / Short: BLEH0KQW0 IRS USD P F  2.29500 SLEH0KQW0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $630312.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC Trust 2016-NXSR                                                                                                                       | CUSIP: 12594PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20135000 | PA      | $177659.16    | 0.01%             | 2049-12-15      | Variable      | 0.35%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | Commercial Mortgage Pass Through Certificates                                                                                              | CUSIP: 12624NAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1033603 | PA      | $885553.41    | 0.03%             | 2030-10-05      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL1S3MWH9 IRS USD R V 12MUSCPI SL1S3MWH9_INF INFLATIONZERO / Short: SL1S3MWH9 IRS USD P F  2.44500 SL1S3MWH9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  40000000 | OU      | $1348210.80   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891ABK2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    960000 | PA      | $961799.40    | 0.04%             | 2025-04-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                  | Santander Holdings USA Inc                                                                                                                 | CUSIP: 80282KBE5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   1676000 | PA      | $1669747.01   | 0.06%             | 2026-09-09      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3X43A99 IRS USD R V 12MUSCPI SL3X43A99_INF CCPINFLATIONZERO / Short: BL3X43A99 IRS USD P F  2.10700 SL3X43A99_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $657955.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL6Q4GZI5 IRS USD R V 00MCPURN SL6Q4GZI5 IRS USD R V 00MCPURN / Short: BL6Q4GZI5 IRS USD P F  2.38000 P F 2.3 LCH                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1365293.10   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                | Ford Credit Auto Owner Trust 2019-REV1                                                                                                     | CUSIP: 34532PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1143000 | PA      | $1116269.00   | 0.04%             | 2030-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967NQ0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2053000 | PA      | $2015638.23   | 0.08%             | 2025-05-24      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2021-1                                                                                                 | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    960000 | PA      | $916385.86    | 0.03%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                     | Macquarie Group Ltd                                                                                                                        | CUSIP: 55608JBA5<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   6843000 | PA      | $6251871.21   | 0.24%             | 2025-10-14      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38378NQB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6309 | PA      | $2084.96      | 0.00%             | 2054-08-16      | Variable      | 0.59%                 | No            |                  3 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                | Plains All American Pipeline LP / PAA Finance Corp                                                                                         | CUSIP: 72650RBJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2491000 | PA      | $2454648.26   | 0.09%             | 2025-10-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 3128S5QA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16113 | PA      | $16264.48     | 0.00%             | 2038-10-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| Moneygram International, Inc                            | Moneygram International, Inc 2021 Term Loan B                                                                                              | CUSIP: 60935QAP1<br>LEI: 5299002DLX0Q04KC4156 | Long             | LON              | CORP              | US        |   9268115 | PA      | $9216027.91   | 0.35%             | 2026-07-21      | Floating      | 8.57%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2022-NQM1                                                                                                                             | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4850273 | PA      | $3948055.19   | 0.15%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| TENGIZCHEVROIL FIN CO IN                                | Tengizchevroil Finance Co International Ltd                                                                                                | CUSIP: 88034QAB3<br>LEI: 5493001VEV2XTJIBZH31 | Long             | DBT              | CORP              | BM        |   3500000 | PA      | $2992500.00   | 0.11%             | 2025-08-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                             | Southern Co/The                                                                                                                            | CUSIP: 842587DD6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   3494000 | PA      | $3486245.45   | 0.13%             | 2027-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                                                                                | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   8247000 | PA      | $7487653.02   | 0.28%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0R05UM3 IRS USD R V 12MUSCPI SL0R05UM3_FLO CCPINFLATIONZERO / Short: BL0R05UM3 IRS USD P F  2.11200 SL0R05UM3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $654529.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL3Y3KXN4 IRS USD R F  2.15000 SL3Y3KXN4_FIX INFLATIONZERO / Short: SL3Y3KXN4 IRS USD P V 12MUSCPI SL3Y3KXN4_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  30000000 | OU      | $-2924056.80  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL333HBB9 IRS USD R V 12MUSCPI SL333HBB9_INF INFLATIONZERO / Short: SL333HBB9 IRS USD P F  2.12750 SL333HBB9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | GB        |  10000000 | OU      | $1008652.80   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1, LLC                                   | LFT CRE 2021-FL1 Ltd                                                                                                                       | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2230000 | PA      | $2153685.61   | 0.08%             | 2039-06-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                         | Benefit Street Partners CLO III Ltd                                                                                                        | CUSIP: 08180EBJ2<br>LEI: 549300Y1V90IQ456QX97 | Long             | ABS-CBDO         | CORP              | KY        |   2063461 | PA      | $2040268.09   | 0.08%             | 2029-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                                                                                          | CUSIP: 404280CU1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1219000 | PA      | $1167135.35   | 0.04%             | 2024-08-17      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                                     | American Express Co                                                                                                                        | CUSIP: 025816DB2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2181000 | PA      | $2265774.97   | 0.09%             | 2027-11-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust             | MF1 2021-FL7 Ltd                                                                                                                           | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  18740000 | PA      | $17959875.35  | 0.68%             | 2036-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLNE1S2Q8 IRS USD R V 12MUSCPI SLNE1S2Q8_INF INFLATIONZERO / Short: SLNE1S2Q8 IRS USD P F  2.29750 SLNE1S2Q8_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $509745.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Popular Inc                                             | Popular Inc                                                                                                                                | CUSIP: 733174AK2<br>LEI: 5493008CARDZMVQ3LO89 | Long             | DBT              | CORP              | PR        |    382000 | PA      | $383419.13    | 0.01%             | 2023-09-14      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                   | Bank of Ireland Group PLC                                                                                                                  | CUSIP: 06279JAB5<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   5505000 | PA      | $4575339.99   | 0.17%             | 2027-09-30      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-R3                                                                                                         | CUSIP: 92538EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815964 | PA      | $707528.09    | 0.03%             | 2064-04-25      | Variable      | 1.02%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 853254CB4<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $188723.64    | 0.01%             | 2025-03-23      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2021-ROSS                                                                                                | CUSIP: 36264YAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    560000 | PA      | $468841.63    | 0.02%             | 2026-05-15      | Floating      | 9.78%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL324HP66 IRS USD R V 12MUSCPI SL324HP66_INF INFLATIONZERO / Short: SL324HP66 IRS USD P F  2.35400 SL324HP66_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  10000000 | OU      | $1031679.40   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BankUnited Inc                                          | BankUnited Inc                                                                                                                             | CUSIP: 06652KAA1<br>LEI: 96OVUWEW5D4YX6PFXD91 | Long             | DBT              | CORP              | US        |   6803000 | PA      | $6750063.14   | 0.25%             | 2025-11-17      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XXI Ltd                     | Octagon Investment Partners XXI Ltd                                                                                                        | CUSIP: 67590QBK2<br>LEI: 549300XIS9D4AHDX5A35 | Long             | ABS-CBDO         | CORP              | KY        |   1960000 | PA      | $1923589.53   | 0.07%             | 2031-02-14      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| NRG Energy Inc                                          | NRG Energy Inc                                                                                                                             | CUSIP: 629377CK6<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |   4197000 | PA      | $4058239.37   | 0.15%             | 2024-06-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SLNE1IIV2 IRS USD R F  1.66700 SLNE1IIV2_FIX INFLATIONZERO / Short: SLNE1IIV2 IRS USD P V 12MUSCPI SLNE1IIV2_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  20000000 | OU      | $-2763984.80  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                      | Ally Financial Inc                                                                                                                         | CUSIP: 02005NBL3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   4223000 | PA      | $4078928.09   | 0.15%             | 2023-10-02      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EHHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5717 | PA      | $5752.29      | 0.00%             | 2037-08-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| Standard Chartered PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 853254BN9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1940000 | PA      | $1859579.94   | 0.07%             | 2025-05-21      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| HONO 2021-LULU Mortgage Trust                           | HONO 2021-LULU Mortgage Trust                                                                                                              | CUSIP: 40390MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13950000 | PA      | $13328692.11  | 0.50%             | 2036-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                   | KKR CLO 30 Ltd                                                                                                                             | CUSIP: 48250EAN5<br>LEI: 549300NB16RGUJOZXI16 | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $9754063.90   | 0.37%             | 2031-10-17      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust                            | Ford Credit Auto Owner Trust 2020-C                                                                                                        | CUSIP: 34533YAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    691735 | PA      | $673344.03    | 0.03%             | 2025-07-15      | Fixed         | 0.41%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                     | Dominion Energy Inc                                                                                                                        | CUSIP: 25746UDH9<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   4387000 | PA      | $4378927.96   | 0.17%             | 2023-09-15      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL3V0V7A6 IRS USD R V 12MUSCPI SL3V0V7A6_INF INFLATIONZERO / Short: SL3V0V7A6 IRS USD P F  2.27500 SL3V0V7A6_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  20000000 | OU      | $1909100.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-RIVR                                                                                                | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2355942 | PA      | $2203565.85   | 0.08%             | 2035-07-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| PVH CORP                                                | PVH Corp                                                                                                                                   | CUSIP: 693656AC4<br>LEI: 123WALMHY1GZXG2YDL90 | Long             | DBT              | CORP              | US        |   5561000 | PA      | $5402447.16   | 0.20%             | 2025-07-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| PDC Energy Inc                                          | PDC Energy Inc                                                                                                                             | CUSIP: 69327RAJ0<br>LEI: 5493008W8H2T511J5Y59 | Long             | DBT              | CORP              | US        |   2443000 | PA      | $2336534.06   | 0.09%             | 2026-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners XIV LTD                     | Octagon Investment Partners XIV Ltd                                                                                                        | CUSIP: 67590ABP6<br>LEI: 549300QEN35HTPJ3BX33 | Long             | ABS-CBDO         | CORP              | KY        |    716285 | PA      | $707644.94    | 0.03%             | 2029-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-ATLS                                                                                                                             | CUSIP: 05549GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8630000 | PA      | $7880808.13   | 0.30%             | 2035-07-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                     | DBGS 2018-5BP Mortgage Trust                                                                                                               | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1120000 | PA      | $1069339.94   | 0.04%             | 2033-06-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3A3HZE1 IRS USD R V 12MUSCPI SL3A3HZE1_INF CCPINFLATIONZERO / Short: BL3A3HZE1 IRS USD P F  2.38000 SL3A3HZE1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $916370.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                               | Anchorage Capital CLO 3-R Ltd                                                                                                              | CUSIP: 03330AAA0<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | KY        |    951406 | PA      | $933425.88    | 0.04%             | 2031-01-28      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Santander Retail Auto Lease Trust                       | Santander Retail Auto Lease Trust 2021-A                                                                                                   | CUSIP: 80286TAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2915000 | PA      | $2828927.92   | 0.11%             | 2024-07-22      | Fixed         | 0.51%                 | No            |                  2 | On Loan: No      |
| HGI CRE CLO Ltd                                         | HGI CRE CLO 2021-FL2 Ltd                                                                                                                   | CUSIP: 40390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6890000 | PA      | $6640548.45   | 0.25%             | 2036-09-17      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                                                                              | CUSIP: 46645WAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  95152000 | PA      | $140037.10    | 0.01%             | 2033-07-05      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLQJ13U54 IRS USD R V 12MUSCPI SLQJ13U54_INF INFLATIONZERO / Short: SLQJ13U54 IRS USD P F  2.37000 SLQJ13U54_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $951479.90    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL394VT90 IRS USD R V 12MUSCPI INF_SL394VT90 CCPINFLATIONZERO / Short: BL394VT90 IRS USD P F  2.43650 FIX_SL394VT90 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $793588.40    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-1B PTT                                  | Air Canada 2015-1 Class B Pass Through Trust                                                                                               | CUSIP: 009090AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    184874 | PA      | $182976.57    | 0.01%             | 2023-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL1S3MW71 IRS USD R V 12MUSCPI SL1S3MW71_INF INFLATIONZERO / Short: SL1S3MW71 IRS USD P F  2.44750 SL1S3MW71_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  30000000 | OU      | $1003116.60   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES GROUP                                 | American Airlines Group Inc                                                                                                                | CUSIP: 02376RAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2743000 | PA      | $2404734.34   | 0.09%             | 2025-03-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BLF506BX0 IRS USD R V 12MUSCPI INF_SLF506BX0 CCPINFLATIONZERO / Short: BLF506BX0 IRS USD P F  2.50000 FIX_SLF506BX0 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  50000000 | OU      | $251091.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                              | Hudsons Bay Simon JV Trust 2015-HBS                                                                                                        | CUSIP: 44422PBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1007204.16   | 0.04%             | 2034-08-05      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                         | LSTAR Commercial Mortgage Trust 2017-5                                                                                                     | CUSIP: 54910TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1606537 | PA      | $1606588.15   | 0.06%             | 2050-03-10      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                  | Credit Suisse Group AG                                                                                                                     | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   2557000 | PA      | $2266509.10   | 0.09%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 5YR NOTE (CBT) MAR23                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       823 | NC      | $506066.89    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2022-1                                                                                                            | CUSIP: 67571EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5807676 | PA      | $5670124.84   | 0.21%             | 2028-03-20      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140EUEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75475 | PA      | $78005.18     | 0.00%             | 2045-12-01      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL6K78C07 IRS USD R V 12MUSCPI SL6K78C07_FLO CCPINFLATIONZERO / Short: BL6K78C07 IRS USD P F  2.56400 SL6K78C07_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1666492.60   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FELLS POINT FUNDING TR                                  | Fells Point Funding Trust                                                                                                                  | CUSIP: 314382AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4277000 | PA      | $3895917.20   | 0.15%             | 2027-01-31      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11                                                                             | CUSIP: 46639YAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    975338 | PA      | $961.78       | 0.00%             | 2046-04-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                 | Imperial Brands Finance PLC                                                                                                                | CUSIP: 45262BAA1<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   1871000 | PA      | $1785415.63   | 0.07%             | 2024-07-26      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund                         | Bayview MSR Opportunity Master Fund Trust 2021-INV4                                                                                        | CUSIP: 07336GAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8806068 | PA      | $7977482.53   | 0.30%             | 2051-10-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| Galaxy CLO Ltd                                          | Galaxy XIX CLO Ltd                                                                                                                         | CUSIP: 36319QBN1<br>LEI: 5493000B2531UL3WQV87 | Long             | ABS-CBDO         | CORP              | KY        |    947377 | PA      | $929108.02    | 0.04%             | 2030-07-24      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL4H4Q34  IRS USD R V 12MUSCPI SL4H4Q34_FLO CCPINFLATIONZERO / Short: BL4H4Q34  IRS USD P F  2.47375 SL4H4Q34_FIX CCPINFLATIONZERO   | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $984612.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N-Star Real Estate CDO Ltd                              | N-Star REL CDO VIII Ltd                                                                                                                    | CUSIP: 62940FAD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    689300 | PA      | $588469.45    | 0.02%             | 2041-02-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| Marlette Funding Trust                                  | Marlette Funding Trust 2021-3                                                                                                              | CUSIP: 57108QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5555000 | PA      | $5195281.53   | 0.20%             | 2031-12-15      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                                | Western Midstream Operating LP                                                                                                             | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    493000 | PA      | $492022.61    | 0.02%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                                  | Aviation Capital Group LLC                                                                                                                 | CUSIP: 05369AAF8<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $976855.42    | 0.04%             | 2024-01-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                            | Illumina Inc                                                                                                                               | CUSIP: 452327AP4<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1007582.99   | 0.04%             | 2027-12-13      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd         | Arbor Realty Commercial Real Estate Notes 2021-FL4 Ltd                                                                                     | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5940000 | PA      | $5764565.01   | 0.22%             | 2036-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| AIB Group PLC                                           | AIB Group PLC                                                                                                                              | CUSIP: 00135TAB0<br>LEI: 635400AKJBGNS5WNQL34 | Long             | DBT              | CORP              | IE        |  12000000 | PA      | $11558438.04  | 0.44%             | 2025-04-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLQG1F7L4 IRS USD R V 12MUSCPI SLQG1F7L4_INF INFLATIONZERO / Short: SLQG1F7L4 IRS USD P F  2.36250 SLQG1F7L4_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $530535.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PCH7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2899000 | PA      | $2697275.46   | 0.10%             | 2025-06-01      | Fixed         | 0.82%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust            | American Express Credit Account Master Trust                                                                                               | CUSIP: 02582JJV3<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  11805000 | PA      | $11497022.90  | 0.43%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL3Z35H28 IRS USD R V 12MUSCPI SL3Z35H28_INF INFLATIONZERO / Short: SL3Z35H28 IRS USD P F  2.23000 SL3Z35H28_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10000000 | OU      | $962848.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                                                                                          | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   7055000 | PA      | $7061243.46   | 0.27%             | 2028-06-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-ATLS                                                                                                                             | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2639902 | PA      | $2535716.42   | 0.10%             | 2035-07-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GKS7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   5123000 | PA      | $4997600.79   | 0.19%             | 2025-04-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2015-GC31                                                                                              | CUSIP: 17323YAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5447495 | PA      | $39899.63     | 0.00%             | 2048-06-10      | Variable      | 0.46%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                                            | CUSIP: 46649XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        | 129394000 | PA      | $273940.04    | 0.01%             | 2031-07-05      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                  | Standard Chartered PLC                                                                                                                     | CUSIP: 85325WAA6<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2530000 | PA      | $2341058.08   | 0.09%             | 2026-01-30      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| W & T OFFSHORE INC                                      | W&T Offshore Inc                                                                                                                           | CUSIP: 92922PAL0<br>LEI: 549300Q7EOY2YIO3YK85 | Long             | DBT              | CORP              | US        |    800000 | PA      | $792552.00    | 0.03%             | 2023-11-01      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Credit Card Trust                       | BA Credit Card Trust                                                                                                                       | CUSIP: 05522RDF2<br>LEI: 5493006DQ60M1CRKHH19 | Long             | ABS-O            | CORP              | US        |   2415000 | PA      | $2417884.23   | 0.09%             | 2028-04-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLFH0M7F3 IRS USD R V 12MUSCPI SLFH0M7F3_FLO CCPINFLATIONZERO / Short: BLFH0M7F3 IRS USD P F  2.43900 SLFH0M7F3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1021050.50   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAP0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1392000 | PA      | $1375139.33   | 0.05%             | 2023-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5D3TMS0 IRS USD R V 12MUSCPI SL5D3TMS0_INF CCPINFLATIONZERO / Short: BL5D3TMS0 IRS USD P F  2.33500 SL5D3TMS0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8000000 | OU      | $905241.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2017-1 Ltd                                                                                                         | CUSIP: 05682QAQ9<br>LEI: 549300GUKNMHLHIJO049 | Long             | ABS-CBDO         | CORP              | KY        |   5904035 | PA      | $5809688.19   | 0.22%             | 2030-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                              | Zoetis Inc                                                                                                                                 | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |   1232000 | PA      | $1250948.97   | 0.05%             | 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        |   2287000 | PA      | $2240505.61   | 0.08%             | 2024-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL                                | Jackson National Life Global Funding                                                                                                       | CUSIP: 46849LUV1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   1966000 | PA      | $1822914.26   | 0.07%             | 2025-01-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | Long: SL3B1V1D9 IRS USD R V 12MUSCPI INFLATIONZERO / Short: SL3B1V1D9 IRS USD P F  2.98000 SL3B1V1D9_FIX INFLATIONZERO                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  10000000 | OU      | $-878476.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                                                                            | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   2094000 | PA      | $2099491.31   | 0.08%             | 2027-11-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC                   | New Economy Assets Phase 1 Sponsor LLC                                                                                                     | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16590000 | PA      | $14058414.11  | 0.53%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Towd Point Asset Trust 2018-SL1                         | Towd Point Asset Trust 2018-SL1                                                                                                            | CUSIP: 89174UAA4<br>LEI: 54930022FYEFQVX02P24 | Long             | ABS-O            | CORP              | US        |    454301 | PA      | $451312.71    | 0.02%             | 2046-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL4R0BSM9 IRS USD R V 12MUSCPI SL4R0BSM9_INF CCPINFLATIONZERO / Short: BL4R0BSM9 IRS USD P F  2.39000 SL4R0BSM9_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $891425.50    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FNDG LTD                                | Avolon Holdings Funding Ltd                                                                                                                | CUSIP: 05401AAB7<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   6298000 | PA      | $6215062.02   | 0.23%             | 2023-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLFH0MFZ0 IRS USD R V 12MUSCPI SLFH0MFZ0_FLO CCPINFLATIONZERO / Short: BLFH0MFZ0 IRS USD P F  2.47600 SLFH0MFZ0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1449642.75   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                     | DBWF 2016-85T Mortgage Trust                                                                                                               | CUSIP: 23307CAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  61529000 | PA      | $114878.33    | 0.00%             | 2036-12-10      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lendmark Funding Trust 2022-1                                                                                                              | CUSIP: 52608JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5810000 | PA      | $5626387.15   | 0.21%             | 2032-07-20      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd         | Arbor Realty Commercial Real Estate Notes 2022-FL1 Ltd                                                                                     | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13000000 | PA      | $12642500.00  | 0.48%             | 2037-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31300LV69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60867 | PA      | $61572.49     | 0.00%             | 2036-12-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain Fuji US Clo I Ltd                                                                                                             | CUSIP: 09629CAL9<br>LEI: 549300XC3G26BPOECZ28 | Long             | ABS-CBDO         | CORP              | KY        |   1187519 | PA      | $1163725.26   | 0.04%             | 2029-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                                                                                      | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5880895 | PA      | $5729166.14   | 0.22%             | 2034-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                  | VICI Properties LP / VICI Note Co Inc                                                                                                      | CUSIP: 92564RAC9<br>LEI: N/A                  | Long             | DBT              |  | US        |   6577000 | PA      | $6199033.62   | 0.23%             | 2025-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | Long: SL7C1UZ14 IRS USD R F  1.64500 / Short: SL7C1UZ14 IRS USD P V 00MCPI CPURNSA-CPI UBRAN CONSUMER                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   5000000 | OU      | $-649987.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                    | Royal Bank of Canada                                                                                                                       | CUSIP: 78016FZU1<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |   1989000 | PA      | $2070638.05   | 0.08%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLFH0LQB3 IRS USD R V 12MUSCPI SLFH0LQB3_FLO CCPINFLATIONZERO / Short: BLFH0LQB3 IRS USD P F  2.47500 SLFH0LQB3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $983197.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                                                                                         | CUSIP: 05608RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10070000 | PA      | $9123686.86   | 0.34%             | 2036-10-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891ABW6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1692000 | PA      | $1461033.93   | 0.06%             | 2026-06-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                  | Mitsubishi UFJ Financial Group Inc                                                                                                         | CUSIP: 606822BW3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |   2237000 | PA      | $2075395.83   | 0.08%             | 2025-07-19      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                                 | CF Hippolyta Issuer LLC                                                                                                                    | CUSIP: 12530MAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4694541 | PA      | $3931109.89   | 0.15%             | 2061-03-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Octagon Investment Partners 32 Ltd                      | Octagon Investment Partners 32 Ltd                                                                                                         | CUSIP: 67578BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4980721 | PA      | $4916628.81   | 0.19%             | 2029-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust 2019-1                                                                                               | CUSIP: 68267EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  10899000 | PA      | $10422707.16  | 0.39%             | 2027-09-14      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2020-1                                                                                                            | CUSIP: 03464RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107999 | PA      | $101250.20    | 0.00%             | 2059-12-25      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                                                                             | CUSIP: 61747YEQ4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3253000 | PA      | $3171541.20   | 0.12%             | 2025-04-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5H0P6C5 IRS USD R V 12MUSCPI INF_SL5H0P6C5 CCPINFLATIONZERO / Short: BL5H0P6C5 IRS USD P F  2.42900 FIX_SL5H0P6C5 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1794950.20   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                      | BSPRT 2021-FL7 Issuer Ltd                                                                                                                  | CUSIP: 05602CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7600000 | PA      | $7290928.98   | 0.28%             | 2038-12-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GKM0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   6858000 | PA      | $6532777.66   | 0.25%             | 2026-04-02      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                  | Westinghouse Air Brake Technologies Corp                                                                                                   | CUSIP: 960386AH3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   1937000 | PA      | $1915484.23   | 0.07%             | 2023-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                            | CD 2016-CD1 Mortgage Trust                                                                                                                 | CUSIP: 12514MBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795058 | PA      | $29034.80     | 0.00%             | 2049-08-10      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing LLC                                                                                                                | CUSIP: 42806MAD1<br>LEI: 5493004IHDYOZ9K9WF47 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4491633.00   | 0.17%             | 2025-12-26      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                                                                       | CUSIP: 378272AN8<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   5273000 | PA      | $5022618.19   | 0.19%             | 2027-03-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VeriSign Inc                                            | VeriSign Inc                                                                                                                               | CUSIP: 92343EAH5<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |    147000 | PA      | $147750.14    | 0.01%             | 2025-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Matador Resources Co                                    | Matador Resources Co                                                                                                                       | CUSIP: 576485AE6<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |   4895000 | PA      | $4855595.25   | 0.18%             | 2026-09-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                      | One New York Plaza Trust 2020-1NYP                                                                                                         | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4719430.50   | 0.18%             | 2036-01-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Trust 2015-VFM                                                                                                                       | CUSIP: 05546JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409323 | PA      | $2847.46      | 0.00%             | 2036-03-12      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                     | American Tower Corp                                                                                                                        | CUSIP: 03027XAR1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    238000 | PA      | $219059.47    | 0.01%             | 2028-01-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                                                                             | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3835000 | PA      | $3607886.05   | 0.14%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| IPALCO Enterprises Inc                                  | IPALCO Enterprises Inc                                                                                                                     | CUSIP: 462613AM2<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1453486.83   | 0.05%             | 2024-09-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                     | NatWest Markets PLC                                                                                                                        | CUSIP: 63906YAG3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |   3692000 | PA      | $3539497.07   | 0.13%             | 2025-03-22      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                                                                                     | CUSIP: 225401AG3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    785000 | PA      | $761843.46    | 0.03%             | 2024-06-12      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| Discover Bank                                           | Discover Bank                                                                                                                              | CUSIP: 25466AAE1<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1215291.56   | 0.05%             | 2026-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2015-C29                                                                                             | CUSIP: 94989KAY9<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |   3180661 | PA      | $39907.43     | 0.00%             | 2048-06-15      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| NORDEA BANK ABP                                         | Nordea Bank Abp                                                                                                                            | CUSIP: 65558RAA7<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   2676000 | PA      | $2594608.18   | 0.10%             | 2025-06-06      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | Credit Suisse Group AG                                                                                                                     | CUSIP: 225401AD0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   5000000 | PA      | $4950055.55   | 0.19%             | 2023-12-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GM Financial Automobile Leasing Trust                   | GM Financial Automobile Leasing Trust 2022-2                                                                                               | CUSIP: 36266FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8300000 | PA      | $8096269.86   | 0.31%             | 2025-06-20      | Fixed         | 3.42%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL4R0Z0Y0 IRS USD R V 12MUSCPI SL4R0Z0Y0_FLO CCPINFLATIONZERO / Short: BL4R0Z0Y0 IRS USD P F  2.08500 SL4R0Z0Y0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1291970.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                                                                               | CUSIP: 212015AU5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   4431000 | PA      | $3837024.45   | 0.14%             | 2026-11-15      | Fixed         | 2.27%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2018-PTC                                                                              | CUSIP: 46649GAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449000 | PA      | $410829.12    | 0.02%             | 2031-04-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967JL6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2023000 | PA      | $1979247.79   | 0.07%             | 2025-03-26      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Atalaya Equipment Leasing Fund I LP                     | Atalaya Equipment Leasing Trust 21-1                                                                                                       | CUSIP: 046497AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5264166 | PA      | $5102739.58   | 0.19%             | 2026-05-15      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANCSHARES                                   | Huntington Bancshares Inc/OH                                                                                                               | CUSIP: 446150BB9<br>LEI: 549300XTVCVV9I7B5T19 | Long             | DBT              | CORP              | US        |   2177000 | PA      | $2069502.57   | 0.08%             | 2028-08-04      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Generate CLO Ltd.                                       | Generate CLO 2 Ltd                                                                                                                         | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1320000 | PA      | $1300891.73   | 0.05%             | 2031-01-22      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trust                         | Residential Mortgage Loan Trust 2020-1                                                                                                     | CUSIP: 76119CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69696 | PA      | $65171.72     | 0.00%             | 2060-01-26      | Variable      | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140EUEP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233220 | PA      | $240968.91    | 0.01%             | 2045-12-01      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                                                                                          | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   5532000 | PA      | $5623837.56   | 0.21%             | 2023-08-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BPKK09R19 CDS USD R V 03MEVENT P_SPKK09R19 CCPCDX / Short: BPKK09R19 CDS USD P F  5.00000 F_SPKK09R19 CCPCDX                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   4250000 | OU      | $-121757.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUS 2021-EQAZ Mortgage Trust                           | EQUS 2021-EQAZ Mortgage Trust                                                                                                              | CUSIP: 29478JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2639947 | PA      | $2506667.78   | 0.09%             | 2038-10-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                        | Carlyle Global Market Strategies CLO 2015-1 Ltd                                                                                            | CUSIP: 14311DBN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2137913 | PA      | $2087421.66   | 0.08%             | 2031-07-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   5146000 | PA      | $5042017.66   | 0.19%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| CarMax Auto Owner Trust                                 | CarMax Auto Owner Trust 2020-2                                                                                                             | CUSIP: 14315VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46120 | PA      | $45741.27     | 0.00%             | 2024-11-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                        | ABN AMRO Bank NV                                                                                                                           | CUSIP: 00084DAL4<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   2000000 | PA      | $1906992.94   | 0.07%             | 2026-04-18      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | Petroleos Mexicanos                                                                                                                        | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   5338000 | PA      | $5064237.47   | 0.19%             | 2026-08-04      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                        | OneMain Financial Issuance Trust 2019-2                                                                                                    | CUSIP: 68269BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  16497000 | PA      | $14775917.48  | 0.56%             | 2036-10-14      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Delos Finance Sarl                                      | Delos Finance Sarl 2018 Term Loan B                                                                                                        | CUSIP: 000000000<br>LEI: 549300HX549YWOJQT076 | Long             | LON              | CORP              | LU        |   5277221 | PA      | $5267880.23   | 0.20%             | 2023-10-06      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL2I4HEU1 IRS USD R V 12MUSCPI INF_SL2I4HEU1 CCPINFLATIONZERO / Short: BL2I4HEU1 IRS USD P F  2.48125 FIX_SL2I4HEU1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1248369.00   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE SA                                        | Altice France SA/France                                                                                                                    | CUSIP: 02156LAA9<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |   6750000 | PA      | $6439263.75   | 0.24%             | 2027-02-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                  | Lendmark Funding Trust 2021-1                                                                                                              | CUSIP: 52607MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  14200000 | PA      | $11560964.08  | 0.44%             | 2031-11-20      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                            | Navient Corp                                                                                                                               | CUSIP: 78442FET1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   3263000 | PA      | $3255152.49   | 0.12%             | 2024-03-25      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-2B PTT                                  | Air Canada 2015-2 Class B Pass Through Trust                                                                                               | CUSIP: 009088AC9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   2199994 | PA      | $2153827.09   | 0.08%             | 2023-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL333YGI2 IRS USD R F  1.98800 SL333YGI2_FIX INFLATIONZERO / Short: SL333YGI2 IRS USD P V 12MUSCPI SL333YGI2_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10000000 | OU      | $-1058632.60  | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2019-70P                                                                                                 | CUSIP: 36257MAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1245442 | PA      | $1175653.28   | 0.04%             | 2036-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST TRANSPRTN DEV CORPSPL FAC REVENUE           | New York Transportation Development Corp                                                                                                   | CUSIP: 650116DZ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    110000 | PA      | $110000.00    | 0.00%             | 2022-12-01      | Fixed         | 1.61%                 | No            |                  2 | On Loan: No      |
| DEVON ENERGY CORPORATION                                | Devon Energy Corp                                                                                                                          | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |   5729000 | PA      | $5751905.69   | 0.22%             | 2027-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                                                                                    | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    610000 | PA      | $605586.16    | 0.02%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-N1                                                                                                     | CUSIP: 14687DAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    277227 | PA      | $259484.03    | 0.01%             | 2028-01-10      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                                                                                      | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7950000 | PA      | $7648962.92   | 0.29%             | 2034-04-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | BRCCAP~3.74~20221201                                                                                                                       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | RA               | CORP              | US        |  12999690 | PA      | $12999690.00  | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC                                                                                                   | CUSIP: 05377RDL5<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   8464000 | PA      | $8130178.15   | 0.31%             | 2025-09-22      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2015-C29                                                                                             | CUSIP: 94989KAZ6<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |  58000000 | PA      | $69240.40     | 0.00%             | 2048-06-15      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| Israel Electric Corp Ltd                                | Israel Electric Corp Ltd                                                                                                                   | CUSIP: 46507MAE2<br>LEI: 254900JW7GE35YNJGJ55 | Long             | DBT              | CORP              | IL        |   3385000 | PA      | $3410759.85   | 0.13%             | 2023-06-21      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / FIN II                                 | GLP Capital LP / GLP Financing II Inc                                                                                                      | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1275000 | PA      | $1250984.52   | 0.05%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GE HEALTHCARE HLDG LLC                                  | GE Healthcare Holding LLC                                                                                                                  | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2526026.85   | 0.10%             | 2025-11-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891ABY2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   1088000 | PA      | $999756.50    | 0.04%             | 2024-09-17      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-CCRE8 Mortgage Trust                                                                                                             | CUSIP: 12625KAF2<br>LEI: 549300NGGFIEJ2ER3D22 | Long             | ABS-MBS          | CORP              | US        |  10150455 | PA      | $3360.82      | 0.00%             | 2046-06-10      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                | International Flavors & Fragrances Inc                                                                                                     | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |   2984000 | PA      | $2639765.31   | 0.10%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 31419APE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15783 | PA      | $16032.08     | 0.00%             | 2040-10-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3114PR4 IRS USD R V 12MUSCPI SL3114PR4_FLO CCPINFLATIONZERO / Short: BL3114PR4 IRS USD P F  2.42000 SL3114PR4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $990420.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                     | Intesa Sanpaolo SpA                                                                                                                        | CUSIP: 46115HBC0<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   1966000 | PA      | $1960315.06   | 0.07%             | 2023-01-12      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust 2021-2                                                                                               | CUSIP: 96042RAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1633887 | PA      | $1613001.97   | 0.06%             | 2025-04-15      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1152000 | PA      | $1095521.10   | 0.04%             | 2026-03-17      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                | Angel Oak Mortgage Trust 2021-6                                                                                                            | CUSIP: 03465JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3859973 | PA      | $3077430.61   | 0.12%             | 2066-09-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                            | Navient Corp                                                                                                                               | CUSIP: 63938CAE8<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |   2997000 | PA      | $3001364.77   | 0.11%             | 2023-09-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| US BANCORP                                              | US Bancorp                                                                                                                                 | CUSIP: 91159HJF8<br>LEI: N1GZ7BBF3NP8GI976H15 | Long             | DBT              | CORP              | US        |   3554000 | PA      | $3476290.12   | 0.13%             | 2028-07-22      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SLNE1IIM2 IRS USD R F  1.67250 SLNE1IIM2_FIX INFLATIONZERO / Short: SLNE1IIM2 IRS USD P V 12MUSCPI SLNE1IIM2_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  20000000 | OU      | $-2755630.00  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9J07PS1 IRS USD R V 12MUSCPI SL9J07PS1_FLO CCPINFLATIONZERO / Short: BL9J07PS1 IRS USD P F  2.49250 SL9J07PS1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  25000000 | OU      | $2178830.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                 | Long: SLF016QR  IRS USD R V 00MCPI / Short: SLF016QR  IRS USD P F  2.95500                                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |   5000000 | OU      | $-409491.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                                                                            | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   5776000 | PA      | $5669015.37   | 0.21%             | 2024-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2021-1                                                                                                 | CUSIP: 30165XAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1675000 | PA      | $1507905.35   | 0.06%             | 2027-04-15      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SL1G0P8B1 IRS USD R F  1.65000 SL1G0P8B1_FIX INFLATIONZERO / Short: SL1G0P8B1 IRS USD P V 12MUSCPI SL1G0P8B1_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | DE        |  10000000 | OU      | $-1568454.50  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY INC                                  | CenterPoint Energy Inc                                                                                                                     | CUSIP: 15189TAZ0<br>LEI: 21TPXMRRHFKOBHDC8J74 | Long             | DBT              | CORP              | US        |   4038000 | PA      | $3980892.42   | 0.15%             | 2024-05-13      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AMER PIPELINE                                | Plains All American Pipeline LP / PAA Finance Corp                                                                                         | CUSIP: 72650RBD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2036000 | PA      | $2009189.38   | 0.08%             | 2023-10-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                                                                                             | CUSIP: 36266CAA4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |  11500000 | PA      | $11106703.45  | 0.42%             | 2036-11-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                                            | CUSIP: 46649XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  50413000 | PA      | $38112.23     | 0.00%             | 2031-07-05      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                        | Great Wolf Trust 2019-WOLF                                                                                                                 | CUSIP: 39152TAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  10000000 | PA      | $9563682.00   | 0.36%             | 2036-12-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM1                                                                                                                             | CUSIP: 126407AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2334848 | PA      | $2082313.55   | 0.08%             | 2065-05-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| CSN Resources SA                                        | CSN Resources SA                                                                                                                           | CUSIP: 12644VAC2<br>LEI: 222100ZEX458NMOXZP08 | Long             | DBT              | CORP              | LU        |    929000 | PA      | $924313.20    | 0.03%             | 2026-04-17      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL2I3L7D9 IRS USD R V 12MUSCPI SL2I3L7D9_INF INFLATIONZERO / Short: SL2I3L7D9 IRS USD P F  2.34500 SL2I3L7D9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  30000000 | OU      | $2961536.70   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Four Seasons Hotels Limited                             | Four Seasons Hotels Limited New 1st Lien Term Loan                                                                                         | CUSIP: 35100DAR7<br>LEI: 5493009FUVX8LHYY2202 | Long             | LON              | CORP              | CA        |   2659217 | PA      | $2658605.51   | 0.10%             | 2023-11-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortgage Loan Trust             | MF1 2021-FL6 Ltd                                                                                                                           | CUSIP: 55283TAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   7030000 | PA      | $6625947.02   | 0.25%             | 2036-07-16      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1T522M1 IRS USD R V 12MUSCPI SL1T522M1_FLO CCPINFLATIONZERO / Short: BL1T522M1 IRS USD P F  2.49600 SL1T522M1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $963957.80    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                     | Citigroup Commercial Mortgage Trust 2014-GC23                                                                                              | CUSIP: 17322VAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3452000 | PA      | $10780.25     | 0.00%             | 2047-07-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| Donlen Fleet Lease Funding                              | Donlen Fleet Lease Funding 2 LLC                                                                                                           | CUSIP: 257812AD9<br>LEI: 549300ZWUQETU54FDP26 | Long             | ABS-O            | CORP              | US        |   3617470 | PA      | $3486572.29   | 0.13%             | 2034-12-11      | Fixed         | 0.56%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLB1049Y9 IRS USD R V 12MUSCPI SLB1049Y9_FLO CCPINFLATIONZERO / Short: BLB1049Y9 IRS USD P F  2.56000 SLB1049Y9_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1327275.90   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAN5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   5376000 | PA      | $5435501.94   | 0.21%             | 2025-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                     | Macquarie Group Ltd                                                                                                                        | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |    403000 | PA      | $348601.16    | 0.01%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                        | ABN AMRO Bank NV                                                                                                                           | CUSIP: 00080QAF2<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   5620000 | PA      | $5400288.91   | 0.20%             | 2025-07-28      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                  | Santander Holdings USA Inc                                                                                                                 | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    898000 | PA      | $825723.11    | 0.03%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GRP NY                                | Australia & New Zealand Banking Group Ltd/New York NY                                                                                      | CUSIP: 05254JAA8<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   1960000 | PA      | $1977299.29   | 0.07%             | 2025-12-08      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLP30PK53 IRS USD R V 12MUSCPI INF_SLP30PK53 CCPINFLATIONZERO / Short: BLP30PK53 IRS USD P F  2.46250 FIX_SLP30PK53 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1567495.80   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                                | Capital One Financial Corp                                                                                                                 | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   2893000 | PA      | $2815675.75   | 0.11%             | 2025-05-09      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                         | LSTAR Commercial Mortgage Trust 2016-4                                                                                                     | CUSIP: 50219QBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  19753000 | PA      | $338042.97    | 0.01%             | 2049-03-10      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SLQG13H30 IRS USD R V 12MUSCPI SLQG13H30_INF INFLATIONZERO / Short: SLQG13H30 IRS USD P F  2.22250 SLQG13H30_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  30000000 | OU      | $2773782.30   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust 2015-C29                                                                                        | CUSIP: 46644RBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1417782 | PA      | $15833.65     | 0.00%             | 2048-05-15      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                             | Netflix Inc                                                                                                                                | CUSIP: 64110LAY2<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   1025000 | PA      | $985281.25    | 0.04%             | 2025-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY LP                                       | Vornado Realty LP                                                                                                                          | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              |  | US        |   1231000 | PA      | $1040934.81   | 0.04%             | 2026-06-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| NUTRIEN LTD                                             | Nutrien Ltd                                                                                                                                | CUSIP: 67077MAY4<br>LEI: 5493002QQ7GD21OWF963 | Long             | DBT              | CORP              | CA        |   3878000 | PA      | $3959989.88   | 0.15%             | 2025-11-07      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Danske Bank A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636AAT8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |  16478000 | PA      | $16395596.65  | 0.62%             | 2024-01-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                              | Apidos Clo Xxv                                                                                                                             | CUSIP: 03762YAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   6970000 | PA      | $6813770.73   | 0.26%             | 2031-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding XIV CLO Ltd                                                                                                                  | CUSIP: 15034AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2340000 | PA      | $2293177.04   | 0.09%             | 2033-07-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                                 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                                                                           | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1719259 | PA      | $1652835.43   | 0.06%             | 2025-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER MEXICO                                  | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand                                                           | CUSIP: 05969BAD5<br>LEI: SCRYQ25DTVRHYYMM6P89 | Long             | DBT              | CORP              | MX        |   4894000 | PA      | $4863339.09   | 0.18%             | 2025-04-17      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON NATIONAL BANK                                | Huntington National Bank/The                                                                                                               | CUSIP: 44644MAH4<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   4314000 | PA      | $4321812.74   | 0.16%             | 2025-11-18      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL9J07OZ6 IRS USD R V 12MUSCPI SL9J07OZ6_FLO CCPINFLATIONZERO / Short: BL9J07OZ6 IRS USD P F  2.48400 SL9J07OZ6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1767643.20   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2014-150E                                                                                                   | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11430000 | PA      | $10102528.94  | 0.38%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                    | Bank of America Corp                                                                                                                       | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    605000 | PA      | $546113.41    | 0.02%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EJJ41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23626 | PA      | $24008.16     | 0.00%             | 2038-12-01      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                                 | SCF Equipment Leasing 2021-1 LLC                                                                                                           | CUSIP: 783897AC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1800000 | PA      | $1703277.00   | 0.06%             | 2028-08-21      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| LoanCore 2022-CRE7 Issuer Ltd.                          | LoanCore 2022-CRE7 Issuer Ltd                                                                                                              | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10880000 | PA      | $10458699.20  | 0.39%             | 2037-01-17      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| World OMNI Select Auto Trust                            | World Omni Select Auto Trust 2019-A                                                                                                        | CUSIP: 98163BAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    226000 | PA      | $222675.59    | 0.01%             | 2025-12-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                          | Bombardier Inc                                                                                                                             | CUSIP: 097751BV2<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |   3122000 | PA      | $3071251.89   | 0.12%             | 2026-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LTD                                     | Macquarie Group Ltd                                                                                                                        | CUSIP: 55608JBF4<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | CORP              | AU        |   5321000 | PA      | $5279692.17   | 0.20%             | 2026-08-09      | Fixed         | 5.11%                 | 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        |   3450000 | PA      | $3391669.82   | 0.13%             | 2046-06-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS CO                                       | General Motors Co                                                                                                                          | CUSIP: 37045VAW0<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |   8747000 | PA      | $8760350.81   | 0.33%             | 2023-10-02      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BXHPP TRUST                                             | BXHPP Trust 2021-FILM                                                                                                                      | CUSIP: 05609JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20000000 | PA      | $18756278.00  | 0.71%             | 2036-08-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL8M3AGQ9 IRS USD R V 12MUSCPI SL8M3AGQ9_INF INFLATIONZERO / Short: SL8M3AGQ9 IRS USD P F  2.39750 SL8M3AGQ9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $489134.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Loan Obligation Ltd         | Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd                                                                                     | CUSIP: 03881EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1980000 | PA      | $1926509.33   | 0.07%             | 2036-05-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Trust 2015-VFM                                                                                                                       | CUSIP: 05546JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191898 | PA      | $177978.03    | 0.01%             | 2036-03-10      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                                                                               | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1648000 | PA      | $1633080.08   | 0.06%             | 2024-05-16      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| Hudsons Bay Simon JV Trust                              | Hudsons Bay Simon JV Trust 2015-HBS                                                                                                        | CUSIP: 44422PBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559000 | PA      | $381066.50    | 0.01%             | 2034-08-05      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| JFIN CLO Ltd                                            | JFIN CLO 2013 Ltd                                                                                                                          | CUSIP: 46616KAN4<br>LEI: 254900FKAMPTOJBLLD47 | Long             | ABS-CBDO         | CORP              | KY        |    690295 | PA      | $682195.50    | 0.03%             | 2030-01-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3H6NK06 IRS USD R V 12MUSCPI SL3H6NK06_FLO CCPINFLATIONZERO / Short: BL3H6NK06 IRS USD P F  2.46800 SL3H6NK06_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $992518.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                                                                                   | CUSIP: 92840VAK8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   4211000 | PA      | $4118358.00   | 0.16%             | 2024-05-13      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                                  | Philip Morris International Inc                                                                                                            | CUSIP: 718172CU1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |   1398000 | PA      | $1397450.26   | 0.05%             | 2025-11-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SLUC01LF7 IRS USD R V 00MCPURN SLUC01LF7_FL  INFLATIONZERO / Short: SLUC01LF7 IRS USD P F  1.87400 SLUC01LF7_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  10000000 | OU      | $1418047.60   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| West Town Mall Trust                                    | West Town Mall Trust 2017-KNOX                                                                                                             | CUSIP: 95630LAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  33253864 | PA      | $11007.03     | 0.00%             | 2030-07-05      | Variable      | 0.37%                 | No            |                  2 | On Loan: No      |
| Irvine Core Office Trust                                | Irvine Core Office Trust 2013-IRV                                                                                                          | CUSIP: 46361TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1532000 | PA      | $1508248.79   | 0.06%             | 2048-05-15      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38379KAP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18400 | PA      | $17974.47     | 0.00%             | 2055-10-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SLMH1ULY9 IRS USD R V 12MUSCPI SLMH1ULY9_INF INFLATIONZERO / Short: SLMH1ULY9 IRS USD P F  2.35000 SLMH1ULY9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10000000 | OU      | $1090840.70   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Octane Receivables Trust                                | Octane Receivables Trust 2021-1                                                                                                            | CUSIP: 67571AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    463244 | PA      | $446619.83    | 0.02%             | 2027-03-22      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 3128S5PA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     97266 | PA      | $97195.04     | 0.00%             | 2038-02-01      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23                                                                                | CUSIP: 61690QAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5412036 | PA      | $59391.15     | 0.00%             | 2050-07-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31300LV36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66426 | PA      | $67209.43     | 0.00%             | 2036-09-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLEH0KK71 IRS USD R V 12MUSCPI SLEH0KK71_FLO CCPINFLATIONZERO / Short: BLEH0KK71 IRS USD P F  2.30150 SLEH0KK71_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $601669.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| B.A. Securities, Inc.                                   | Long: SLP80VDL2 IRS USD R F  1.81300 SLP80VDL2_FIX INFLATIONZERO / Short: SLP80VDL2 IRS USD P V 12MUSCPI SLP80VDL2_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PH        |   5000000 | OU      | $-732331.60   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD 2019-DPLO                                                                                                                             | CUSIP: 054970AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2780000 | PA      | $2706108.16   | 0.10%             | 2034-10-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BWAY Mortgage Trust                                     | BWAY 2013-1515 Mortgage Trust                                                                                                              | CUSIP: 05604FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  47800000 | PA      | $373968.08    | 0.01%             | 2033-03-10      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                                | Trans-Allegheny Interstate Line Co                                                                                                         | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2520000 | PA      | $2438087.88   | 0.09%             | 2025-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                                  | Westinghouse Air Brake Technologies Corp                                                                                                   | CUSIP: 960386AN0<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |   2004000 | PA      | $1972259.99   | 0.07%             | 2024-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Buckeye Partners, L.P.                                  | Buckeye Partners, L.P. 2021 Term Loan B                                                                                                    | CUSIP: 11823LAK1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | LON              | CORP              | US        |   2088125 | PA      | $2066064.01   | 0.08%             | 2026-11-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYJ03ZM4 IRS USD R V 12MUSCPI SLYJ03ZM4_FLO CCPINFLATIONZERO / Short: BLYJ03ZM4 IRS USD P F  2.56400 SLYJ03ZM4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  30000000 | OU      | $2501935.50   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ADANI PORTS AND SPECIAL                                 | Adani Ports & Special Economic Zone Ltd                                                                                                    | CUSIP: 00652MAF9<br>LEI: 335800QOAXP5TM7OYP69 | Long             | DBT              | CORP              | IN        |   1400000 | PA      | $1320492.49   | 0.05%             | 2024-07-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| UniCredit SpA                                           | UniCredit SpA                                                                                                                              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   8170000 | PA      | $8176352.34   | 0.31%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                               | Prosus NV                                                                                                                                  | CUSIP: 74365PAG3<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   4000000 | PA      | $3519391.64   | 0.13%             | 2027-01-19      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | BRCCAP~-10~20220726                                                                                                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | Short            | RA               | CORP              | US        |    -45500 | PA      | $-45500.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLA21TWD2 IRS USD R V 12MUSCPI SLA21TWD2_INF CCPINFLATIONZERO / Short: BLA21TWD2 IRS USD P F   .90250 SLA21TWD2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $2368875.15   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2020-AFC1 Trust                                                                                                                       | CUSIP: 12597MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328146 | PA      | $302577.78    | 0.01%             | 2050-02-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PCY0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2527000 | PA      | $2441125.62   | 0.09%             | 2028-02-24      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                                       | KREF 2021-FL2 Ltd                                                                                                                          | CUSIP: 48275RAA5<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   9930000 | PA      | $9563831.25   | 0.36%             | 2039-02-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ONE GAS INC                                             | ONE Gas Inc                                                                                                                                | CUSIP: 68235PAL2<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |   1737000 | PA      | $1653411.22   | 0.06%             | 2024-03-11      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| FREEPORT INDONESIA PT                                   | Freeport Indonesia PT                                                                                                                      | CUSIP: 69377FAA4<br>LEI: 549300T4HTQHRKLNE619 | Long             | DBT              | CORP              | ID        |   2132000 | PA      | $2059512.00   | 0.08%             | 2027-04-14      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3Y3HBQ8 IRS USD R V 12MUSCPI SL3Y3HBQ8_INF CCPINFLATIONZERO / Short: BL3Y3HBQ8 IRS USD P F  2.33500 SL3Y3HBQ8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1130245.30   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                     | DBGS 2021-W52 Mortgage Trust                                                                                                               | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4750000 | PA      | $4505245.80   | 0.17%             | 2036-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                              | Navient Private Education Refi Loan Trust 2022-A                                                                                           | CUSIP: 63942MAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6577688 | PA      | $5730182.85   | 0.22%             | 2070-07-15      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                          | Carvana Auto Receivables Trust 2021-N2                                                                                                     | CUSIP: 14686KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    787370 | PA      | $772934.16    | 0.03%             | 2028-03-10      | Fixed         | 0.32%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0R0DQE9 IRS USD R V 12MUSCPI INF_SL0R0DQE9 CCPINFLATIONZERO / Short: BL0R0DQE9 IRS USD P F  2.49800 FIX_SL0R0DQE9 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1440441.80   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636ABA8<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   2040000 | PA      | $1849355.80   | 0.07%             | 2025-09-10      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2012-CCRE1 Mortgage Trust                                                                                                             | CUSIP: 12624BAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370826 | PA      | $1368004.37   | 0.05%             | 2045-05-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| American Express Credit Account Master Trust            | American Express Credit Account Master Trust                                                                                               | CUSIP: 02582JJT8<br>LEI: 549300Y4SA5G3GIJTP18 | Long             | ABS-O            | CORP              | US        |  11400000 | PA      | $11027108.28  | 0.42%             | 2027-05-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| SFO Commerical Mortgage Trust                           | SFO Commercial Mortgage Trust 2021-555                                                                                                     | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1615307.75   | 0.06%             | 2038-05-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                                                                                | CUSIP: 68389XBT1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   2664000 | PA      | $2521129.17   | 0.10%             | 2025-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3140E7A91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53084 | PA      | $54534.24     | 0.00%             | 2045-10-01      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MBB0<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1596000 | PA      | $1465799.26   | 0.06%             | 2024-10-29      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                       | Credit Acceptance Auto Loan Trust 2021-3                                                                                                   | CUSIP: 22535GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1325000 | PA      | $1250166.25   | 0.05%             | 2030-05-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                  | US 2YR NOTE (CBT) MAR23                                                                                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      6189 | NC      | $3232507.12   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JPMCC Commercial Mortgage Securities Trust 2017-JP7                                                                                        | CUSIP: 465968AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7501818 | PA      | $245971.86    | 0.01%             | 2050-09-15      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                         | Csail 2015-C2 Commercial Mortgage Trust                                                                                                    | CUSIP: 12634NAW8<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |  82732000 | PA      | $105615.67    | 0.00%             | 2057-06-15      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                              | Apidos CLO XXXI                                                                                                                            | CUSIP: 03767VAG3<br>LEI: 549300IG6PHVJ3WBR394 | Long             | ABS-CBDO         | CORP              | KY        |   5000000 | PA      | $4900000.00   | 0.18%             | 2031-04-15      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLP40MPH7 IRS USD R V 12MUSCPI SLP40MPH7_FLO CCPINFLATIONZERO / Short: BLP40MPH7 IRS USD P F  2.30900 SLP40MPH7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $597165.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                      | Ready Capital Mortgage Financing 2022-FL8 LLC                                                                                              | CUSIP: 75574PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |  10000000 | PA      | $9684768.20   | 0.37%             | 2037-01-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Acres PLC                                               | ACRES Commercial Realty 2021-FL2 Ltd                                                                                                       | CUSIP: 00500JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  13290000 | PA      | $12888839.09  | 0.49%             | 2037-01-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL334EA75 IRS USD R V 12MUSCPI SL334EA75_INF CCPINFLATIONZERO / Short: BL334EA75 IRS USD P F  2.35800 SL334EA75_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $928074.10    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SLB6242Q0 IRS USD R V 12MUSCPI SLB6242Q0_INF INFLATIONZERO / Short: SLB6242Q0 IRS USD P F  2.15750 SLB6242Q0_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  10000000 | OU      | $1030552.10   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EGYN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27511 | PA      | $27740.29     | 0.00%             | 2040-04-01      | Floating      | 2.44%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                            | BB-UBS Trust                                                                                                                               | CUSIP: 05490AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2149000 | PA      | $1925645.19   | 0.07%             | 2030-06-05      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLDT3LMV6 IRS USD R V 12MUSCPI SLDT3LMV6_INF CCPINFLATIONZERO / Short: BLDT3LMV6 IRS USD P F  2.28500 SLDT3LMV6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1018165.20   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding XI Clo Ltd                                                                                                                   | CUSIP: 15033LAQ5<br>LEI: 2549004YLPCISGLL7978 | Long             | ABS-CBDO         | CORP              | KY        |   3220000 | PA      | $3162072.20   | 0.12%             | 2032-05-29      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                   | Toronto-Dominion Bank/The                                                                                                                  | CUSIP: 89115A2A9<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |   6338000 | PA      | $6170971.90   | 0.23%             | 2025-06-06      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2020-4                                                                                                          | CUSIP: 92538LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162293 | PA      | $145625.73    | 0.01%             | 2065-05-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                                                                            | CUSIP: 80281LAA3<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   3337000 | PA      | $3175964.39   | 0.12%             | 2025-09-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2020-1                                                                                                          | CUSIP: 92536PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96918 | PA      | $91456.31     | 0.00%             | 2060-01-25      | Variable      | 2.42%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-AFC1 Trust                                                                                                                       | CUSIP: 12657LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541639 | PA      | $422714.62    | 0.02%             | 2056-03-25      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                      | F&G Global Funding                                                                                                                         | CUSIP: 30321L2D3<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3285435.19   | 0.12%             | 2027-04-11      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYH0DHW4 IRS USD R V 12MUSCPI SLYH0DHW4_FLO CCPINFLATIONZERO / Short: BLYH0DHW4 IRS USD P F  2.11250 SLYH0DHW4_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $613081.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3B47AI8 IRS USD R V 12MUSCPI SL3B47AI8_INF CCPINFLATIONZERO / Short: BL3B47AI8 IRS USD P F  2.34100 SL3B47AI8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $944946.50    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2670000 | PA      | $2619937.82   | 0.10%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SLMH1V962 IRS USD R V 12MUSCPI SLMH1V962_INF INFLATIONZERO / Short: SLMH1V962 IRS USD P F  2.38000 SLMH1V962_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $942490.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                               | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8                                                                                 | CUSIP: 61761QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $991474.10    | 0.04%             | 2048-12-15      | Variable      | 3.71%                 | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                      | One New York Plaza Trust 2020-1NYP                                                                                                         | CUSIP: 68249DAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3250000 | PA      | $3052809.18   | 0.12%             | 2036-01-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Cash Management Bill                                                                                                         | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  61869000 | PA      | $61496393.95  | 2.32%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                          | Morgan Stanley                                                                                                                             | CUSIP: 61744YAQ1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   6519000 | PA      | $6474635.34   | 0.24%             | 2024-04-24      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| GREENKO MAURITIUS LTD                                   | Greenko Mauritius Ltd                                                                                                                      | CUSIP: 39531LAA7<br>LEI: 2138005EDWGI4914B264 | Long             | DBT              | CORP              | MU        |    700000 | PA      | $696500.00    | 0.03%             | 2023-02-21      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                     | NatWest Markets PLC                                                                                                                        | CUSIP: 63906YAB4<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    613000 | PA      | $565946.24    | 0.02%             | 2024-08-12      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                                 | Dryden 72 CLO Ltd                                                                                                                          | CUSIP: 26252NAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5720000 | PA      | $5589112.79   | 0.21%             | 2032-05-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank NV                                        | ABN AMRO Bank NV                                                                                                                           | CUSIP: 000000000<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |   4600000 | PA      | $4497052.00   | 0.17%             | 2028-03-27      | Fixed         | 4.40%                 | Yes           |                  2 | On Loan: No      |
| HMH Trust                                               | HMH Trust 2017-NSS                                                                                                                         | CUSIP: 40390AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    629000 | PA      | $599575.95    | 0.02%             | 2031-07-05      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Humana Inc.                                             | Humana Inc. Delayed Draw Term Loan                                                                                                         | CUSIP: 44485JAM2<br>LEI: 529900YLDW34GJAO4J06 | Long             | LON              | CORP              | US        |   1722914 | PA      | $1713222.61   | 0.06%             | 2024-05-28      | Floating      | 5.32%                 | No            |                  3 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL3Y2P745 IRS USD R F  2.06250 SL3Y2P745_FIX INFLATIONZERO / Short: SL3Y2P745 IRS USD P V 12MUSCPI SL3Y2P745_INF INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  15000000 | OU      | $-1258108.80  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                                  | Santander Holdings USA Inc                                                                                                                 | CUSIP: 80282KAS5<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   3651000 | PA      | $3647272.77   | 0.14%             | 2023-01-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                                 | Long: SL6A3ANZ9 IRS USD R V 12MUSCPI SL6A3ANZ9_INF INFLATIONZERO / Short: SL6A3ANZ9 IRS USD P F  2.07400 SL6A3ANZ9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DIR              |  | US        |  35000000 | OU      | $2652633.20   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| Discover Card Execution Note Trust                      | Discover Card Execution Note Trust                                                                                                         | CUSIP: 254683CW3<br>LEI: 549300CKCX1QE4RUW216 | Long             | ABS-O            | CORP              | US        |   9165000 | PA      | $8803879.75   | 0.33%             | 2027-07-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| VASA Trust                                              | VASA Trust 2021-VASA                                                                                                                       | CUSIP: 92230AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6000000 | PA      | $5536369.80   | 0.21%             | 2039-07-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                         | CSAIL 2016-C7 Commercial Mortgage Trust                                                                                                    | CUSIP: 12637UAY5<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |   4147247 | PA      | $108549.62    | 0.00%             | 2049-11-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Earthstone Energy Inc                                   | Earthstone Energy Inc                                                                                                                      | CUSIP: 27032D304<br>LEI: 54930081UTV7CK45XG14 | Long             | EC               | CORP              | US        |       193 | NS      | $3057.12      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Netflix Inc                                             | Netflix Inc                                                                                                                                | CUSIP: 64110LAL0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |   8000000 | PA      | $8092451.52   | 0.31%             | 2025-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                                                                                 | CUSIP: 034863AP5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   1542000 | PA      | $1514082.88   | 0.06%             | 2025-05-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Ford Credit Auto Owner Trust/Ford Credit                | Ford Credit Auto Owner Trust 2022-REV1                                                                                                     | CUSIP: 34528EAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8255000 | PA      | $7904622.30   | 0.30%             | 2034-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-NINE                                                                           | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4340000 | PA      | $3859325.04   | 0.15%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0X0QKA1 IRS USD R V 12MUSCPI INF_SL0X0QKA1 CCPINFLATIONZERO / Short: BL0X0QKA1 IRS USD P F  2.43900 FIX_SL0X0QKA1 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $783457.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTENE CORP                                            | Centene Corp                                                                                                                               | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1044000 | PA      | $879025.24    | 0.03%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                          | Pagaya AI Debt Trust 2022-1                                                                                                                | CUSIP: 69546MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8041905 | PA      | $7704498.61   | 0.29%             | 2029-10-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                | Long: SL3Z1HZH  IRS USD R V 01MCPI CPURNSA / Short: SL3Z1HZH  IRS USD P F  2.78750 CPI URBAN CONSUMER                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              |  | US        |   5000000 | OU      | $-231165.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                                                                            | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    280000 | PA      | $279035.85    | 0.01%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| WYNN LAS VEGAS LLC/CORP                                 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp                                                                                           | CUSIP: 983130AU9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    965000 | PA      | $956826.45    | 0.04%             | 2023-05-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                              | GLS Auto Receivables Issuer Trust 2021-3                                                                                                   | CUSIP: 36263LAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1072173 | PA      | $1064597.35   | 0.04%             | 2025-01-15      | Fixed         | 0.42%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SLP71KVE3 IRS USD R V 12MUSCPI SLP71KVE3_INF INFLATIONZERO / Short: SLP71KVE3 IRS USD P F  2.37750 SLP71KVE3_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   5000000 | OU      | $471980.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 3128S5GH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62568 | PA      | $63443.58     | 0.00%             | 2037-02-01      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BLYP18FX6 IRS USD R V 12MUSCPI INF_SLYP18FX6 CCPINFLATIONZERO / Short: BLYP18FX6 IRS USD P F  2.57750 FIX_SLYP18FX6 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  10000000 | OU      | $-128072.70   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                                | Univision Communications Inc                                                                                                               | CUSIP: 914906AS1<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |   2725000 | PA      | $2633262.88   | 0.10%             | 2025-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTHWEST GAS CORP                                      | Southwest Gas Corp                                                                                                                         | CUSIP: 845011AF2<br>LEI: OQQR1IQTGBKH0UR88X59 | Long             | DBT              | CORP              | US        |   2002000 | PA      | $2022337.08   | 0.08%             | 2027-12-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                                | Warnermedia Holdings Inc                                                                                                                   | CUSIP: 55903VAC7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2337000 | PA      | $2269798.89   | 0.09%             | 2024-03-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                          | Long: SLMH0CO1  IRS USD R V 00MCPURN CPURNSA 0.00BPS / Short: SLMH0CO1  IRS USD P F  2.50500                                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | US        |   5000000 | OU      | $66786.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                         | CFCRE Commercial Mortgage Trust 2016-C7                                                                                                    | CUSIP: 12532BAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3439449 | PA      | $75550.93     | 0.00%             | 2054-12-10      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GYM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   5566000 | PA      | $4875680.86   | 0.18%             | 2027-10-21      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                            | UBS Group AG                                                                                                                               | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1756000 | PA      | $1711992.64   | 0.06%             | 2026-05-12      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL PWR & LT                                 | Jersey Central Power & Light Co                                                                                                            | CUSIP: 476556DB8<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   5530000 | PA      | $5459041.42   | 0.21%             | 2024-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138ELS95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    251662 | PA      | $254638.31    | 0.01%             | 2042-03-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Barclays PLC                                            | Barclays PLC                                                                                                                               | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   4407000 | PA      | $4275100.78   | 0.16%             | 2026-05-12      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HLDGS                                | Santander UK Group Holdings PLC                                                                                                            | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |   2488000 | PA      | $2119975.11   | 0.08%             | 2028-01-11      | Fixed         | 2.47%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING                                 | Alcoa Nederland Holding BV                                                                                                                 | CUSIP: 013822AC5<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |   3513000 | PA      | $3414562.65   | 0.13%             | 2028-05-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Orange Lake Timeshare Trust                             | Orange Lake Timeshare Trust 2019-A                                                                                                         | CUSIP: 68504UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145762 | PA      | $138036.60    | 0.01%             | 2038-04-09      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYN05VE2 IRS USD R V 12MUSCPI SLYN05VE2_INF CCPINFLATIONZERO / Short: BLYN05VE2 IRS USD P F  2.36250 SLYN05VE2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $516112.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                   | Bank of Ireland Group PLC                                                                                                                  | CUSIP: 06279JAA7<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   5242000 | PA      | $5144695.95   | 0.19%             | 2023-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC                | Avis Budget Rental Car Funding AESOP LLC                                                                                                   | CUSIP: 05377REQ3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $4223077.50   | 0.16%             | 2026-08-20      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Glencore Funding LLC                                    | Glencore Funding LLC                                                                                                                       | CUSIP: 378272AT5<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |   4797000 | PA      | $4721492.29   | 0.18%             | 2024-03-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                   | Long: SL1T25VB  IRS USD R V 00MCPI CPI URBAN CONSUMER / Short: SL1T25VB  IRS USD P F  2.82500 ZERO COUPON SWAP                             | CUSIP: 000000000<br>LEI: 9DJT3UXIJIZJI4WXO774 | N/A              | DIR              |  | US        |   5000000 | OU      | $-272223.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                            | TICP CLO IX Ltd                                                                                                                            | CUSIP: 87249AAA3<br>LEI: 549300T5OQR4UD880D68 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $984639.88    | 0.04%             | 2031-01-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY                                                                             | CUSIP: 46642MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1292000 | PA      | $268.66       | 0.00%             | 2027-06-10      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                                | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                                                                                  | CUSIP: 00774MAQ8<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   1224000 | PA      | $1181271.41   | 0.04%             | 2024-02-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-CCRE7 Mortgage Trust                                                                                                             | CUSIP: 12625FAF3<br>LEI: 549300FVY7JUBJ0PIH53 | Long             | ABS-MBS          | CORP              | US        |   3597484 | PA      | $1197.96      | 0.00%             | 2046-03-10      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| BANK OF IRELAND GROUP                                   | Bank of Ireland Group PLC                                                                                                                  | CUSIP: 06279JAC3<br>LEI: 635400C8EK6DRI12LJ39 | Long             | DBT              | CORP              | IE        |   1715000 | PA      | $1681568.36   | 0.06%             | 2026-09-16      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLA219FL7 IRS USD R V 12MUSCPI SLA219FL7_INF CCPINFLATIONZERO / Short: BLA219FL7 IRS USD P F  2.39300 SLA219FL7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $897098.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Amur Equipment Finance Receivables VII LLC              | Amur Equipment Finance Receivables VII LLC                                                                                                 | CUSIP: 03237MAB6<br>LEI: 5493008OAETJ1UTO4Q72 | Long             | ABS-O            | CORP              | US        |     40501 | PA      | $40421.95     | 0.00%             | 2024-06-20      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                            | Comcast Corp                                                                                                                               | CUSIP: 20030NEA5<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   1477000 | PA      | $1522637.20   | 0.06%             | 2027-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                                  | Toll Brothers Finance Corp                                                                                                                 | CUSIP: 88947EAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3897000 | PA      | $3744654.85   | 0.14%             | 2025-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| American Money Management Corporation                   | AMMC CLO 23 Ltd                                                                                                                            | CUSIP: 00177JAS4<br>LEI: 549300ICO4ZE2FVC2Y46 | Long             | ABS-CBDO         | CORP              | KY        |  15000000 | PA      | $14631465.00  | 0.55%             | 2031-10-17      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Air Lease Corp                                          | Air Lease Corp                                                                                                                             | CUSIP: 00912XAT1<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1961147.00   | 0.07%             | 2023-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                                               | CUSIP: 3137BTUP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13842129 | PA      | $85207.99     | 0.00%             | 2026-11-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BL335NDB2 IRS USD R V 12MUSCPI INF_SL335NDB2 CCPINFLATIONZERO / Short: BL335NDB2 IRS USD P F  2.75400 FIX_SL335NDB2 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  20000000 | OU      | $-667440.20   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYH093U2 IRS USD R V 12MUSCPI SLYH093U2_INF CCPINFLATIONZERO / Short: BLYH093U2 IRS USD P F   .76000 SLYH093U2_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $2464470.75   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp                                             | Oracle Corp                                                                                                                                | CUSIP: 68389XBM6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1013885.11   | 0.04%             | 2026-07-15      | Fixed         | 2.65%                 | 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        |   4556000 | PA      | $4655300.16   | 0.18%             | 2026-06-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | Long: SL3A1WMZ7 IRS USD R V 12MUSCPI SL3A1WMZ7_INF INFLATIONZERO / Short: SL3A1WMZ7 IRS USD P F  2.77250 SL3A1WMZ7_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |  20000000 | OU      | $-338798.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                        | COLT 2021-2 Mortgage Loan Trust                                                                                                            | CUSIP: 19685WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5665399 | PA      | $4624188.81   | 0.17%             | 2066-08-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL4K5ADF2 IRS USD R V 12MUSCPI SL4K5ADF2_INF INFLATIONZERO / Short: SL4K5ADF2 IRS USD P F  2.15900 SL4K5ADF2_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  15000000 | OU      | $1548976.50   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORP                                    | OneMain Finance Corp                                                                                                                       | CUSIP: 85172FAP4<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   3996000 | PA      | $3902293.80   | 0.15%             | 2024-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                             | State of Illinois                                                                                                                          | CUSIP: 452151LE1<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |    318818 | PA      | $318750.87    | 0.01%             | 2023-06-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Cedar Funding Ltd                                       | Cedar Funding V CLO Ltd                                                                                                                    | CUSIP: 15032AAN7<br>LEI: 635400NWFWJ92O7QGD64 | Long             | ABS-CBDO         | CORP              | KY        |   3400000 | PA      | $3340823.41   | 0.13%             | 2031-07-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                 | Eni SpA                                                                                                                                    | CUSIP: 26874RAG3<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    660000 | PA      | $650134.37    | 0.02%             | 2023-09-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                                                                                            | CUSIP: 3138EJ5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37807 | PA      | $38445.13     | 0.00%             | 2038-01-01      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| Navient Corp                                            | Navient Corp                                                                                                                               | CUSIP: 78442FEQ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    249000 | PA      | $248658.87    | 0.01%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALEXANDER FUNDING TRUST                                 | Alexander Funding Trust                                                                                                                    | CUSIP: 014621AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2465000 | PA      | $2324915.04   | 0.09%             | 2023-11-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                     | JPMorgan Chase & Co                                                                                                                        | CUSIP: 46647PCX2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3765000 | PA      | $3686432.36   | 0.14%             | 2026-02-24      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BL3H75RJ6 IRS USD R V 12MUSCPI INF_SL3H75RJ6 CCPINFLATIONZERO / Short: BL3H75RJ6 IRS USD P F  2.70000 FIX_SL3H75RJ6 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  70000000 | OU      | $51397.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL1O52ND9 IRS USD R V 12MUSCPI SL1O52ND9_INF INFLATIONZERO / Short: SL1O52ND9 IRS USD P F  2.39250 SL1O52ND9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   5000000 | OU      | $487429.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL6K7XV76 IRS USD R V 12MUSCPI SL6K7XV76_FLO CCPINFLATIONZERO / Short: BL6K7XV76 IRS USD P F  2.51000 SL6K7XV76_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20000000 | OU      | $1704426.20   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                                   | Brooklyn Union Gas Co/The                                                                                                                  | CUSIP: 114259AV6<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |   3505000 | PA      | $3371443.76   | 0.13%             | 2027-08-05      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| XPO Logistics, Inc.                                     | XPO Logistics, Inc. 2018 Term Loan B                                                                                                       | CUSIP: 98379EAE6<br>LEI: 54930096DB9LCLPN7H13 | Long             | LON              | CORP              | US        |     77225 | PA      | $76838.88     | 0.00%             | 2025-02-24      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967HB0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   9523000 | PA      | $9672593.47   | 0.36%             | 2025-09-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CLARIOS GLOBAL LP/US FIN                                | Clarios Global LP / Clarios US Finance Co                                                                                                  | CUSIP: 69867DAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3201000 | PA      | $3136826.03   | 0.12%             | 2027-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BL394YL84 IRS USD R V 12MUSCPI INF_SL394YL84 CCPINFLATIONZERO / Short: BL394YL84 IRS USD P F  2.66500 FIX_SL394YL84 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  17000000 | OU      | $-66031.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLK704GJ1 IRS USD R V 12MUSCPI SLK704GJ1_FLO CCPINFLATIONZERO / Short: BLK704GJ1 IRS USD P F  2.56500 SLK704GJ1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $875633.60    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2017-GPTX                                                                                                | CUSIP: 36257CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1060000 | PA      | $992868.50    | 0.04%             | 2034-05-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                                     | Ashtead Capital Inc                                                                                                                        | CUSIP: 045054AJ2<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |   7005000 | PA      | $6341184.34   | 0.24%             | 2028-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                              | FIXED INC CLEARING CORP.REPO                                                                                                               | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  10479593 | PA      | $10479592.77  | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| Diamond Resorts Owner Trust                             | Diamond Resorts Owner Trust 2018-1                                                                                                         | CUSIP: 252724AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400868 | PA      | $391314.20    | 0.01%             | 2031-01-21      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORP                                       | Hyatt Hotels Corp                                                                                                                          | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   6396000 | PA      | $6179099.23   | 0.23%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL3A3AVU4 IRS USD R V 12MUSCPI SL3A3AVU4_INF INFLATIONZERO / Short: SL3A3AVU4 IRS USD P F  2.21300 SL3A3AVU4_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $651169.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| World Omni Automobile Lease Securitization Trust        | World Omni Automobile Lease Securitization Trust 2020-B                                                                                    | CUSIP: 98163GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    338594 | PA      | $335414.81    | 0.01%             | 2024-02-15      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                        | WFRBS Commercial Mortgage Trust 2014-C21                                                                                                   | CUSIP: 92939FBB4<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |  15000000 | PA      | $161395.50    | 0.01%             | 2047-08-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| FORTRESS TRANS & INFRAST                                | Fortress Transportation and Infrastructure Investors LLC                                                                                   | CUSIP: 34960PAB7<br>LEI: 529900E7PUVK6BC8PE80 | Long             | DBT              | CORP              | US        |   1577000 | PA      | $1516640.33   | 0.06%             | 2025-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA3                                                                                                    | CUSIP: 35564KJG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2609942 | PA      | $2491820.51   | 0.09%             | 2041-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                                     | LCM Loan Income Fund I Income Note Issuer Ltd                                                                                              | CUSIP: 50200JAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   8250000 | PA      | $8088221.63   | 0.31%             | 2031-07-16      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                                  | General Motors Financial Co Inc                                                                                                            | CUSIP: 37045XCR5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   6578000 | PA      | $6558685.02   | 0.25%             | 2024-01-17      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL4F5B669 IRS USD R V 12MUSCPI SL4F5B669_INF INFLATIONZERO / Short: SL4F5B669 IRS USD P F  2.31700 SL4F5B669_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   5000000 | OU      | $503454.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-ATLS                                                                                                                             | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12254000 | PA      | $11457753.46  | 0.43%             | 2035-07-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.        | Freddie Mac Multifamily Structured Pass Through Certificates                                                                               | CUSIP: 3137BEWS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229690 | PA      | $100970.32    | 0.00%             | 2032-02-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                | Cheniere Corpus Christi Holdings LLC                                                                                                       | CUSIP: 16412XAD7<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |   5100000 | PA      | $5172661.08   | 0.20%             | 2024-06-30      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC             | BBCMS Trust 2018-BXH                                                                                                                       | CUSIP: 05491RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1492237 | PA      | $1433605.44   | 0.05%             | 2037-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust              | JPMBB Commercial Mortgage Securities Trust 2014-C24                                                                                        | CUSIP: 46643GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2362268 | PA      | $25705.72     | 0.00%             | 2047-11-15      | Variable      | 1.01%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                 | Bayer US Finance II LLC                                                                                                                    | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1322708.70   | 0.05%             | 2023-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| KKR Financial CLO Ltd                                   | KKR Clo 24 Ltd                                                                                                                             | CUSIP: 48252RAL8<br>LEI: 549300LGO0WGOG6NE245 | Long             | ABS-CBDO         | CORP              | KY        |   4980000 | PA      | $4873289.21   | 0.18%             | 2032-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FIRST QUANTUM MINERALS L                                | First Quantum Minerals Ltd                                                                                                                 | CUSIP: 335934AL9<br>LEI: 549300I7UVBGWRYMYZ18 | Long             | DBT              | CORP              | CA        |   3448000 | PA      | $3402279.28   | 0.13%             | 2025-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                 | Bayer US Finance II LLC                                                                                                                    | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   4207000 | PA      | $4140827.93   | 0.16%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                          | Sabre GLBL Inc                                                                                                                             | CUSIP: 78573NAF9<br>LEI: F2TJC7HPPHLHU1AQMP98 | Long             | DBT              | CORP              | US        |   2870000 | PA      | $2737822.15   | 0.10%             | 2025-09-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967MQ1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   9576000 | PA      | $9087116.76   | 0.34%             | 2026-04-08      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                 | HCA Inc                                                                                                                                    | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    952000 | PA      | $948463.32    | 0.04%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2017-GPTX                                                                                                | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1159000 | PA      | $1091270.94   | 0.04%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| Axalta Coating Systems US Holdings Inc.                 | Axalta Coating Systems US Holdings Inc. USD Term Loan B3                                                                                   | CUSIP: 90347BAH1<br>LEI: 549300NZ43V4QV4UGN28 | Long             | LON              | CORP              | US        |   1908745 | PA      | $1908029.71   | 0.07%             | 2024-06-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                                  | Long: SL3B38FR2 IRS USD R V 12MUSCPI SL3B38FR2_INF INFLATIONZERO / Short: SL3B38FR2 IRS USD P F  1.56750 SL3B38FR2_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   8000000 | OU      | $1196097.20   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL5D3V4U0 IRS USD R V 12MUSCPI SL5D3V4U0_INF INFLATIONZERO / Short: SL5D3V4U0 IRS USD P F  2.40950 SL5D3V4U0_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  10000000 | OU      | $949585.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PARSLEY ENERGY LLC/FINAN                                | Parsley Energy LLC / Parsley Finance Corp                                                                                                  | CUSIP: 701885AJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1930000 | PA      | $1776213.70   | 0.07%             | 2028-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2021-1                                                                                                          | CUSIP: 92537QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326199 | PA      | $265907.08    | 0.01%             | 2066-01-25      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3106YV1 IRS USD R V 12MUSCPI SL3106YV1_INF CCPINFLATIONZERO / Short: BL3106YV1 IRS USD P F  2.36500 SL3106YV1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1054847.00   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY                                                                             | CUSIP: 46642MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2906000 | PA      | $2229.28      | 0.00%             | 2027-06-10      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5H0O0A8 IRS USD R V 12MUSCPI SL5H0O0A8_FLO CCPINFLATIONZERO / Short: BL5H0O0A8 IRS USD P F  2.62250 SL5H0O0A8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $817711.00    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                  | United States Treasury Bill                                                                                                                | CUSIP: 912796Z69<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  62403000 | PA      | $61643750.19  | 2.33%             | 2023-03-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BB-UBS Trust                                            | BB-UBS Trust                                                                                                                               | CUSIP: 05490AAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2569809.30   | 0.10%             | 2030-06-05      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                                     | American Tower Corp                                                                                                                        | CUSIP: 03027XBV1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |   3421000 | PA      | $3198216.34   | 0.12%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NATIONAL FUEL GAS CO                                    | National Fuel Gas Co                                                                                                                       | CUSIP: 636180BQ3<br>LEI: 8JB38FFW1Y3C1HM8E841 | Long             | DBT              | CORP              | US        |   1183000 | PA      | $1186207.80   | 0.04%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RES                                  | CenterPoint Energy Resources Corp                                                                                                          | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |   1612000 | PA      | $1610799.32   | 0.06%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL2I4FVH5 IRS USD R V 12MUSCPI SL2I4FVH5_FLO CCPINFLATIONZERO / Short: BL2I4FVH5 IRS USD P F  2.48300 SL2I4FVH5_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $961106.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTRICA PLC                                            | Centrica PLC                                                                                                                               | CUSIP: 15639KAA0<br>LEI: E26EDV109X6EEPBKVH76 | Long             | DBT              | CORP              | GB        |   2450000 | PA      | $2402620.90   | 0.09%             | 2023-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                                  | NextEra Energy Capital Holdings Inc                                                                                                        | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    236000 | PA      | $233049.35    | 0.01%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891ABM8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2272000 | PA      | $2195440.87   | 0.08%             | 2023-09-18      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                                 | Nationwide Building Society                                                                                                                | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   1361000 | PA      | $1350210.63   | 0.05%             | 2024-03-08      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL0W0WK85 IRS USD R V 12MUSCPI SL0W0WK85_FLO CCPINFLATIONZERO / Short: BL0W0WK85 IRS USD P F  2.56600 SL0W0WK85_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1283906.40   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                                    | BlueMountain CLO 2013-2 Ltd                                                                                                                | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |   1176463 | PA      | $1157632.11   | 0.04%             | 2030-10-22      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| VISTRA OPERATIONS CO LLC                                | Vistra Operations Co LLC                                                                                                                   | CUSIP: 92840VAD4<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   3863000 | PA      | $3705717.45   | 0.14%             | 2024-07-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                     | Intesa Sanpaolo SpA                                                                                                                        | CUSIP: 46115HBJ5<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   3928000 | PA      | $3698889.11   | 0.14%             | 2024-09-23      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38378XFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140817 | PA      | $127635.22    | 0.00%             | 2048-01-16      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| KNDR Trust 2021-KIND                                    | KIND Trust 2021-KIND                                                                                                                       | CUSIP: 482606AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6066158 | PA      | $5734342.61   | 0.22%             | 2038-08-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Suzano Austria GmbH                                     | Suzano Austria GmbH                                                                                                                        | CUSIP: 05674XAA9<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |    984000 | PA      | $982428.10    | 0.04%             | 2026-07-14      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PFS Financing Corp.                                     | PFS Financing Corp                                                                                                                         | CUSIP: 69335PDX0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    647000 | PA      | $607851.07    | 0.02%             | 2026-02-15      | Fixed         | 0.97%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: BLP824HS1 IRS USD R V 03MSOFR SLP824HS1_FLO CCPOIS / Short: BLP824HS1 IRS USD P F   .17314 SLP824HS1_FIX CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    165637 | OU      | $17603.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNB CORP                                                | FNB Corp/PA                                                                                                                                | CUSIP: 30260NAA9<br>LEI: PCYSKIGYNYFDTBLVZU83 | Long             | DBT              | CORP              | US        |    510000 | PA      | $506421.34    | 0.02%             | 2023-02-24      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                 | Hyundai Capital America                                                                                                                    | CUSIP: 44891ABV8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   3034000 | PA      | $2819753.94   | 0.11%             | 2024-06-14      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                                  | Toll Brothers Finance Corp                                                                                                                 | CUSIP: 88947EAN0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    615000 | PA      | $611821.86    | 0.02%             | 2023-04-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2020-5                                                                                                          | CUSIP: 92538CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    153018 | PA      | $139687.91    | 0.01%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Aircastle Ltd                                           | Aircastle Ltd                                                                                                                              | CUSIP: 00928QAP6<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   1840000 | PA      | $1833948.94   | 0.07%             | 2023-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bayer US Finance II LLC                                 | Bayer US Finance II LLC                                                                                                                    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |   3750000 | PA      | $3638419.13   | 0.14%             | 2025-12-15      | Fixed         | 4.25%                 | 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        |   1360546 | PA      | $1350202.04   | 0.05%             | 2031-04-10      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL1O5LIK7 IRS USD R V 12MUSCPI SL1O5LIK7_INF CCPINFLATIONZERO / Short: BL1O5LIK7 IRS USD P F  2.40750 SL1O5LIK7_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $445543.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CONTINENTAL RESOURCES                                   | Continental Resources Inc/OK                                                                                                               | CUSIP: 212015AL5<br>LEI: XXRTID9RYWOZ0UPIVR53 | Long             | DBT              | CORP              | US        |   4718000 | PA      | $4703279.84   | 0.18%             | 2023-04-15      | Fixed         | 4.50%                 | 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        |   3464630 | PA      | $3392354.04   | 0.13%             | 2034-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS                                 | Park Aerospace Holdings Ltd                                                                                                                | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |  10000000 | PA      | $9856797.70   | 0.37%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                                                             | CUSIP: 05565AAR4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    436000 | PA      | $414954.35    | 0.02%             | 2026-05-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FIFTH THIRD BANCORP                                     | Fifth Third Bancorp                                                                                                                        | CUSIP: 316773DJ6<br>LEI: THRNG6BD57P9QWTQLG42 | Long             | DBT              | CORP              | US        |   1762000 | PA      | $1825654.14   | 0.07%             | 2028-10-27      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| CPS Auto Trust                                          | CPS Auto Receivables Trust 2019-C                                                                                                          | CUSIP: 12596UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    118316 | PA      | $117829.96    | 0.00%             | 2025-06-16      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trust                         | LSTAR Commercial Mortgage Trust 2016-4                                                                                                     | CUSIP: 50219QAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    892378 | PA      | $19630.18     | 0.00%             | 2049-03-10      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2012-CCRE3 Mortgage Trust                                                                                                             | CUSIP: 12624PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    617000 | PA      | $540800.50    | 0.02%             | 2045-10-15      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10                                                                              | CUSIP: 46639JAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3522650 | PA      | $81.73        | 0.00%             | 2047-12-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | Credit Suisse Mortgage Capital Certificates                                                                                                | CUSIP: 12659LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69693 | PA      | $67281.80     | 0.00%             | 2065-04-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC Holdings PLC                                                                                                                          | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    679000 | PA      | $624889.59    | 0.02%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Trans Union, LLC                                        | Trans Union, LLC 2019 Term Loan B5                                                                                                         | CUSIP: 89334GAX2<br>LEI: X8NPN6PWJOM1QCTYFV34 | Long             | LON              | CORP              | US        |   3181453 | PA      | $3100771.17   | 0.12%             | 2026-11-16      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd                                          | Romark CLO Ltd                                                                                                                             | CUSIP: 77587UAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |  10000000 | PA      | $9555985.00   | 0.36%             | 2030-10-23      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                 | BPCE SA                                                                                                                                    | CUSIP: 05583JAG7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    696000 | PA      | $646066.57    | 0.02%             | 2025-01-14      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BLFH0QW82 IRS USD R V 12MUSCPI INF_SLFH0QW82 CCPINFLATIONZERO / Short: BLFH0QW82 IRS USD P F  3.15000 FIX_SLFH0QW82 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  80000000 | OU      | $1189467.20   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL940IFQ5 IRS USD R V 12MUSCPI SL940IFQ5_INF INFLATIONZERO / Short: SL940IFQ5 IRS USD P F  2.59000 SL940IFQ5_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  40000000 | OU      | $563694.40    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SLA20Z4Z1 IRS USD R V 12MUSCPI SLA20Z4Z1 _INF INFLATIONZERO / Short: SLA20Z4Z1 IRS USD P F  2.39000 SLA20Z4Z1 _FIX INFLATIONZERO     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |   5000000 | OU      | $488486.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                | Long: SL3B1NGN9 IRS USD R V 00MCPI CPURNSA / Short: SL3B1NGN9 IRS USD P F  2.81500 CPI URBAN CONSUMER                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              |  | US        |   5000000 | OU      | $-283545.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust                 | DBJPM 2016-C3 Mortgage Trust                                                                                                               | CUSIP: 23312VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9123517 | PA      | $364385.06    | 0.01%             | 2049-08-10      | Variable      | 1.56%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967JT9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3586000 | PA      | $3528650.57   | 0.13%             | 2025-06-10      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | Government National Mortgage Association                                                                                                   | CUSIP: 38378NMX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30981 | PA      | $2096.26      | 0.00%             | 2055-01-16      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-AON                                                                            | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9500000 | PA      | $8901812.55   | 0.34%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | Morgan Stanley                                                                                                                             | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   3468000 | PA      | $3214478.66   | 0.12%             | 2025-05-30      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                             | BNP Paribas SA                                                                                                                             | CUSIP: 09659W2N3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    246000 | PA      | $213782.53    | 0.01%             | 2027-01-13      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| ALCOA NEDERLAND HOLDING                                 | Alcoa Nederland Holding BV                                                                                                                 | CUSIP: 013822AE1<br>LEI: 5493000UL1QLQLT1VQ42 | Long             | DBT              | CORP              | NL        |   3757000 | PA      | $3606720.00   | 0.14%             | 2027-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                                  | Pacific Gas and Electric Co                                                                                                                | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   7690729 | PA      | $7129865.28   | 0.27%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| HMH Trust                                               | HMH Trust 2017-NSS                                                                                                                         | CUSIP: 40390AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    618000 | PA      | $577850.70    | 0.02%             | 2031-07-05      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                   | Wells Fargo Commercial Mortgage Trust 2016-BNK1                                                                                            | CUSIP: 95000GBB9<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |   1623519 | PA      | $78141.13     | 0.00%             | 2049-08-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| DBWF Mortgage Trust                                     | DBWF Mortgage Trust                                                                                                                        | CUSIP: 23306NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214805 | PA      | $197953.33    | 0.01%             | 2034-06-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Capital One Multi-Asset Execution Trust                 | Capital One Multi-Asset Execution Trust                                                                                                    | CUSIP: 14041NGA3<br>LEI: R42WS16M9R97TJJKGU15 | Long             | ABS-O            | CORP              | US        |  14055000 | PA      | $13598402.24  | 0.51%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities, Inc.                          | Long: SL3X1UXF3 IRS USD R V 00MCPURN CPURNSA0.00BPS / Short: SL3X1UXF3 IRS USD P F  2.75000                                                | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DIR              |  | US        |   6000000 | OU      | $-245016.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL324D5J9 IRS USD R V 12MUSCPI SL324D5J9_INF INFLATIONZERO / Short: SL324D5J9 IRS USD P F  1.67600 SL324D5J9_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  15000000 | OU      | $2412429.30   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                                     | DBGS 2018-BIOD Mortgage Trust                                                                                                              | CUSIP: 23306GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1239062 | PA      | $1212373.06   | 0.05%             | 2035-05-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BLYP18FO6 IRS USD R V 12MUSCPI INF_SLYP18FO6 CCPINFLATIONZERO / Short: BLYP18FO6 IRS USD P F  2.85000 FIX_SLYP18FO6 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  30000000 | OU      | $-186370.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3A3GHT0 IRS USD R V 12MUSCPI SL3A3GHT0_INF CCPINFLATIONZERO / Short: BL3A3GHT0 IRS USD P F  2.37000 SL3A3GHT0_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  25000000 | OU      | $2380683.75   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                        | Societe Generale SA                                                                                                                        | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4992000 | PA      | $4572414.36   | 0.17%             | 2026-01-21      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                                | Public Service Enterprise Group Inc                                                                                                        | CUSIP: 744573AV8<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   1877000 | PA      | $1934682.26   | 0.07%             | 2027-11-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                        | CIFC Funding 2013-II Ltd                                                                                                                   | CUSIP: 12549BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   4000000 | PA      | $3933084.00   | 0.15%             | 2030-10-18      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL1O55C10 IRS USD R V 12MUSCPI SL1O55C10_INF INFLATIONZERO / Short: SL1O55C10 IRS USD P F  2.34750 SL1O55C10_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   5000000 | OU      | $516652.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2021-NQM6                                                                                                                             | CUSIP: 12662KAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3531848 | PA      | $2764658.92   | 0.10%             | 2066-07-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL4K5UVM3 IRS USD R V 12MUSCPI SL4K5UVM3_INF CCPINFLATIONZERO / Short: BL4K5UVM3 IRS USD P F  2.35250 SL4K5UVM3_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $953042.30    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Affirm Inc                                              | Affirm Asset Securitization Trust 2022-X1                                                                                                  | CUSIP: 00834HAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   8810654 | PA      | $8551862.90   | 0.32%             | 2027-02-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| KREF 2021-FL2 Ltd                                       | KREF 2021-FL2 Ltd                                                                                                                          | CUSIP: 48275RAC1<br>LEI: 54930083ELM2GCMVTQ91 | Long             | ABS-CBDO         | CORP              | KY        |   4830000 | PA      | $4608114.24   | 0.17%             | 2039-02-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                       | Long: SL4H2K1U0 IRS USD R V 12MUSCPI SL4H2K1U0_INF INFLATIONZERO / Short: SL4H2K1U0 IRS USD P F  2.94500 SL4H2K1U0_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |  15000000 | OU      | $-1481544.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ReadyCap Commercial Mortgage Trust                      | Ready Capital Mortgage Financing 2021-FL6 LLC                                                                                              | CUSIP: 75575TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   5636424 | PA      | $5484243.06   | 0.21%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FIN PLC                                 | Imperial Brands Finance PLC                                                                                                                | CUSIP: 45262BAF0<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |   4421000 | PA      | $4426475.85   | 0.17%             | 2027-07-27      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                         | Long: BL4G51XI3 IRS USD R V 12MUSCPI INF_SL4G51XI3 CCPINFLATIONZERO / Short: BL4G51XI3 IRS USD P F  2.66500 FIX_SL4G51XI3 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DIR              |  | US        |  27000000 | OU      | $-104872.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2758000 | PA      | $2643781.32   | 0.10%             | 2024-09-10      | Fixed         | 0.66%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                                     | COMM 2013-SFS Mortgage Trust                                                                                                               | CUSIP: 12625EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48280 | PA      | $47760.53     | 0.00%             | 2035-04-12      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL324TGX1 IRS USD R V 12MUSCPI SL324TGX1_INF CCPINFLATIONZERO / Short: BL324TGX1 IRS USD P F  2.31000 SL324TGX1_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $997319.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL5H0NZ04 IRS USD R V 12MUSCPI SL5H0NZ04_FLO CCPINFLATIONZERO / Short: BL5H0NZ04 IRS USD P F  2.50700 SL5H0NZ04_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $827606.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Westlake Automobile Receivables Trust                   | Westlake Automobile Receivables Trust 2021-2                                                                                               | CUSIP: 96042RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1865000 | PA      | $1758709.92   | 0.07%             | 2026-07-15      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                                                                                | CUSIP: 68389XCD5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   3556000 | PA      | $3083753.42   | 0.12%             | 2028-03-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| OneMain Direct Auto Receivables Trust                   | OneMain Direct Auto Receivables Trust 2021-1                                                                                               | CUSIP: 682687AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5545000 | PA      | $5096644.05   | 0.19%             | 2028-07-14      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2018-ATRM                                                                                                     | CUSIP: 04965KAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288000 | PA      | $269879.96    | 0.01%             | 2035-06-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                             | Oracle Corp                                                                                                                                | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1467000 | PA      | $1503117.61   | 0.06%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                           | DTE Energy Co                                                                                                                              | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $985090.00    | 0.04%             | 2024-11-01      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs & Co. LLC                                 | Long: SL4F56LN6 IRS USD R V 12MUSCPI SL4F56LN6_INF INFLATIONZERO / Short: SL4F56LN6 IRS USD P F  2.38000 SL4F56LN6_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DIR              |  | US        |  10000000 | OU      | $997385.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                     | Exeter Automobile Receivables Trust 2020-2                                                                                                 | CUSIP: 30167YAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  15258000 | PA      | $15219089.05  | 0.57%             | 2027-09-15      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                 | Goldman Sachs Group Inc/The                                                                                                                | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   2467000 | PA      | $2202540.76   | 0.08%             | 2028-02-24      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                                                                                                  | CUSIP: 31300LRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21908 | PA      | $22018.70     | 0.00%             | 2036-05-01      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| AUST & NZ BANKING GROUP                                 | Australia & New Zealand Banking Group Ltd                                                                                                  | CUSIP: 052528AH9<br>LEI: JHE42UYNWWTJB8YTTU19 | Long             | DBT              | CORP              | AU        |   2516000 | PA      | $2481591.89   | 0.09%             | 2024-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLIUDCF37 IRS USD R V 12MUSCPI SLIUDCF37_FLO CCPINFLATIONZERO / Short: BLIUDCF37 IRS USD P F  2.45900 SLIUDCF37_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  10000000 | OU      | $1005414.70   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967MF5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   2146000 | PA      | $2075922.91   | 0.08%             | 2025-04-24      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYO0WWA8 IRS USD R V 12MUSCPI SLYO0WWA8_FLO CCPINFLATIONZERO / Short: BLYO0WWA8 IRS USD P F  2.49625 SLYO0WWA8_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $1437695.55   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust           | JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4                                                                              | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3326534 | PA      | $58615.53     | 0.00%             | 2049-12-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| ANGLO AMERICAN CAPITAL                                  | Anglo American Capital PLC                                                                                                                 | CUSIP: 034863AS9<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |   4500000 | PA      | $4361017.19   | 0.16%             | 2024-09-11      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                                    | Niagara Mohawk Power Corp                                                                                                                  | CUSIP: 65364UAK2<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |   2337000 | PA      | $2245787.10   | 0.08%             | 2024-10-01      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| EPR Properties                                          | EPR Properties                                                                                                                             | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              |  | US        |   4125000 | PA      | $3682240.90   | 0.14%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Drive Chassis HoldCo, LLC                               | Drive Chassis HoldCo, LLC 2019 2nd Lien Term Loan                                                                                          | CUSIP: 000000000<br>LEI: 5493002KRH4K9TQNG877 | Long             | LON              | CORP              | US        |   6850000 | PA      | $6837156.25   | 0.26%             | 2026-04-10      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636AAW1<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   3037000 | PA      | $2818728.71   | 0.11%             | 2024-06-22      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM                                | Cleveland Electric Illuminating Co/The                                                                                                     | CUSIP: 186108CJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2650000 | PA      | $2675678.63   | 0.10%             | 2024-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL394VW13 IRS USD R V 12MUSCPI INF_SL394VW13 CCPINFLATIONZERO / Short: BL394VW13 IRS USD P F  2.54450 FIX_SL394VW13 CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  15000000 | OU      | $986599.35    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL5Z3S4C8 IRS USD R V 12MUSCPI SL5Z3S4C8_INF INFLATIONZERO / Short: SL5Z3S4C8 IRS USD P F  2.14375 SL5Z3S4C8_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $1274135.30   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| KINGDOM OF MOROCCO                                      | Morocco Government International Bond                                                                                                      | CUSIP: 617726AF1<br>LEI: 529900F3MBW9XY5K1X07 | Long             | DBT              | NUSS              | MA        |   1500000 | PA      | $1499832.00   | 0.06%             | 2022-12-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                              | MSCG Trust 2015-ALDR                                                                                                                       | CUSIP: 55352NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    191769 | PA      | $180847.33    | 0.01%             | 2035-06-07      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| FIRST-CITIZENS BANK/TRST                                | First-Citizens Bank & Trust Co                                                                                                             | CUSIP: 125581HA9<br>LEI: L9VVX1KT5TFTKS0MLF66 | Long             | DBT              | CORP              | US        |    266000 | PA      | $262561.04    | 0.01%             | 2024-06-19      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| AIRCASTLE LTD                                           | Aircastle Ltd                                                                                                                              | CUSIP: 00928QAT8<br>LEI: 549300PNK8AKY3OIKP58 | Long             | DBT              | CORP              | BM        |   6323000 | PA      | $6071096.11   | 0.23%             | 2025-08-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                         | Danske Bank A/S                                                                                                                            | CUSIP: 23636AAY7<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |   5059000 | PA      | $5055595.70   | 0.19%             | 2023-12-08      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                        | Bain Capital Credit CLO 2018-2                                                                                                             | CUSIP: 05682VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    850000 | PA      | $833707.43    | 0.03%             | 2031-07-19      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| OGX Austria GmbH                                        | OGX Austria GmbH                                                                                                                           | CUSIP: 670849AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | AT        |    225000 | PA      | $4.50         | 0.00%             | 2018-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ONEOK Inc                                               | ONEOK Inc                                                                                                                                  | CUSIP: 682680AR4<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    672000 | PA      | $679325.04    | 0.03%             | 2023-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Ally Auto Receivables Trust                             | Ally Auto Receivables Trust 2019-3                                                                                                         | CUSIP: 02007RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    418277 | PA      | $417475.53    | 0.02%             | 2024-05-15      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                        | Long: SL332WCZ3 IRS USD R V 12MUSCPI SL332WCZ3_INF INFLATIONZERO / Short: SL332WCZ3 IRS USD P F  3.01000 SL332WCZ3_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |  15000000 | OU      | $-1416972.00  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO                                              | Apidos CLO XXIV                                                                                                                            | CUSIP: 03759CAS9<br>LEI: 549300PPHIOJQEKPJH29 | Long             | ABS-CBDO         | CORP              | KY        |    510000 | PA      | $500972.39    | 0.02%             | 2030-10-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| WEA FINANCE LLC/WESTFIEL                                | WEA Finance LLC / Westfield UK & Europe Finance PLC                                                                                        | CUSIP: 92890HAC6<br>LEI: N/A                  | Long             | DBT              |  | US        |   5314000 | PA      | $5036972.15   | 0.19%             | 2024-09-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                             | Long: SL6K6KUQ4 IRS USD R F   .18350 SL6K6KUQ4_FIX CCPOIS / Short: SL6K6KUQ4 IRS USD P V 03MFEDL SL6K6KUQ4_FLO CCPOIS                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    165637 | OU      | $-17670.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BL3X4MC53 IRS USD R V 12MUSCPI SL3X4MC53_INF CCPINFLATIONZERO / Short: BL3X4MC53 IRS USD P F  1.95250 SL3X4MC53_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   7000000 | OU      | $1018098.41   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                             | Long: BLYO080A6 IRS USD R V 12MUSCPI SLYO080A6_INF CCPINFLATIONZERO / Short: BLYO080A6 IRS USD P F  2.36250 SLYO080A6_FIX CCPINFLATIONZERO | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   5000000 | OU      | $515944.30    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Inc                                           | Citigroup Inc                                                                                                                              | CUSIP: 172967LZ2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   3413000 | PA      | $3385903.54   | 0.13%             | 2024-06-01      | Fixed         | 4.04%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                    | Long: SL1053M30 IRS USD R V 12MUSCPI SL1053M30_INF INFLATIONZERO / Short: SL1053M30 IRS USD P F  2.38000 SL1053M30_FIX INFLATIONZERO       | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |  10000000 | OU      | $938059.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-15

**Name of Applicant:** LORD ABBETT INVESTMENT TRUST

**Signature:** Michael Hebert

**Name of Signer:** Michael Hebert

**Title:** Chief Financial Officer