# EDGAR Filing Document

**Accession Number:** 0000356476
**File Stem:** 0001145549-23-010239
**Filing Date:** 2023-2
**Character Count:** 236415
**Document Hash:** db1311f19c40eec20773f1817ab27ce2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-010239.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-010239

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** EMPOWER FUNDS, INC.
- **CENTRAL INDEX KEY:** 0000356476
- **IRS NUMBER:** 840876044
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03364
- **FILM NUMBER:** 23670660

**BUSINESS ADDRESS:**
- **STREET 1:** 8515 E ORCHARD ROAD
- **CITY:** GREENWOOD VILLAGE
- **STATE:** CO
- **ZIP:** 80111
- **BUSINESS PHONE:** 303-737-3000

**MAIL ADDRESS:**
- **STREET 1:** 8515 E ORCHARD ROAD
- **CITY:** GREENWOOD VILLAGE
- **STATE:** CO
- **ZIP:** 80111

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GREAT-WEST FUNDS INC
- **DATE OF NAME CHANGE:** 20121005

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAXIM SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Empower Global Bond Fund (Series ID: S000023758)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000069835 | Investor Class      | MXGBX           |
| C000155784 | Institutional Class | MXZMX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** EMPOWER FUNDS, INC.

- **b. Investment Company Act file number:** 811-03364

- **c. CIK number of Registrant:** 0000356476

- **d. LEI of Registrant:** RUYOMHMDMSPQ01U66388

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

  - **Street Address 1:** 8515 E Orchard Road

  - **City:** Greenwood Village

  - **State:** CO

  - **Foreign country:** US

  - **Zip / Postal Code:** 80111

  - **Telephone number:** 866-831-7129

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

- **a. Name of Series:** Empower Global Bond Fund

- **b. EDGAR series identifier (if any):** S000023758

- **c. LEI of Series:** 7GR1S1AD7LQ0IIU4UM51

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $466910535.22

**Total Liabilities:** $24173990.58

**Net Assets:** $442736544.64

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 63.521504504148 | **1-Year:** 5845.625519876859 | **5-Year:** 26393.594439263224 | **10-Year:** 54512.837601815337 | **30-Year:** 31228.802571189692

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

- **3-Month:** 68.950820400243 | **1-Year:** 195.817593953203 | **5-Year:** 2093.265227783003 | **10-Year:** 5778.521194888642 | **30-Year:** 4376.587472524798

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000069835 | 0.16%                | 5.95%                | 0.76%                |
| Class ID C000155784 | 0.29%                | 5.92%                | 0.95%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-34368906.59            | $6418416.70                                |
| Month 2  | $-41433442.96            | $30363796.65                               |
| Month 3  | $-40907480.83            | $1657937.55                                |

**Designated Index Information**

- **Index Name:** Securities Portfolio

- **Index Identifier:** 7GR1S1AD7LQ0IIU4UM51

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CITIGROUP GLOBAL MARKETS INC REPO                                                    | CITIGROUP GLOBAL MARKETS INC REPO SLRPA 4.250% 01/03/2023 | CUSIP: 744900203<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |     5238414 | PA      | $5238414.00   | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES USA INC REPO.                                                        | HSBC SECURITIES USA INC REPO. SLRPA 4.250% 01/03/2023     | CUSIP: 744900199<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | RA               | CORP              | US        |       16598 | PA      | $16598.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES INC REPO.                                                            | BOFA SECURITIES INC REPO. SLRPD 4.300% 01/03/2023         | CUSIP: 744900250<br>LEI: 549300HN4UKV1E2R3U73 | Long             | RA               | CORP              | US        |     5238414 | PA      | $5238414.00   | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| RBC DOMINION SECURITIES INC REPO                                                     | RBC DOMINION SECURITIES INC REPO SLRPD 4.300% 01/03/2023  | CUSIP: 744900253<br>LEI: 549300QJJX6CVVUXLE15 | Long             | RA               | CORP              | US        |     5238414 | PA      | $5238414.00   | 1.18%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | RCV 11.33 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-66785.34    | -0.02%            | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | RCV WIBR6 PAY 5.64 01/19/2028                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $27089.29     | 0.01%             | 2028-01-19      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                                  | RCV WIBR6 PAY 6.14 01/19/2028                             | CUSIP: N/A<br>LEI: O2RNE8IBXP4R0TD8PU41       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $410.61       | 0.00%             | 2028-01-19      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | RCV 100.00 PAY 1.00 12/20/2027                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | Long             | DCR              |  | US        |       94315 | OU      | $92837.12     | 0.02%             | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | RCV 100.00 PAY 1.00 12/20/2027                            | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | Long             | DCR              |  | US        |       40730 | OU      | $40246.97     | 0.01%             | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 100.00 PAY 1.00 12/20/2027                            | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Short            | DCR              |  | US        |      -36202 | OU      | $-40261.70    | -0.01%            | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | RCV 100.00 PAY 5.00 12/20/2027                            | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | Short            | DCR              |  | US        |     -117321 | OU      | $-75596.68    | -0.02%            | 2027-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | RCV 2.71 PAY CNRR  01/19/2028                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-39953.94    | -0.01%            | 2028-01-19      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | RCV 13.41 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $85954.57     | 0.02%             | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 1.00 PAY 100.00 12/20/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Long             | DCR              |  | US        |           0 | OU      | $180491.38    | 0.04%             | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 100.00 PAY 1.00 12/20/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Short            | DCR              |  | US        |     -371056 | OU      | $-354418.35   | -0.08%            | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 100.00 PAY 5.00 12/20/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Short            | DCR              |  | US        |      -73631 | OU      | $-50742.98    | -0.01%            | 2027-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | RCV 100.00 PAY 1.00 12/20/2027                            | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DCR              |  | US        |       28120 | OU      | $27786.79     | 0.01%             | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | RCV EUR6M PAY 3.27 01/19/2028                             | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-11791.52    | -0.00%            | 2028-01-19      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 3.65 PAY TELBO 01/19/2028                             | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-519.40      | -0.00%            | 2028-01-19      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 3.43 PAY EUR6M 01/19/2033                             | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $113178.81    | 0.03%             | 2033-01-19      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | RCV 2.54 PAY CNRR  01/19/2028                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-273777.02   | -0.06%            | 2028-01-19      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV WIBR6 PAY 6.04 01/19/2028                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $14125.77     | 0.00%             | 2028-01-19      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV WIBR6 PAY 6.12 01/19/2028                             | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $2951.08      | 0.00%             | 2028-01-19      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 11.40 PAY BZACC 01/01/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $64012.99     | 0.01%             | 2027-01-01      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | RCV 13.47 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $22014.77     | 0.00%             | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 12.93 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $13417.05     | 0.00%             | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | RCV 4.16 PAY KWCD3 01/19/2028                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $70426.06     | 0.02%             | 2028-01-19      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | RCV MXIBT PAY 9.17 01/06/2033                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-122552.55   | -0.03%            | 2033-01-06      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | RCV 3.96 PAY KWCD3 01/19/2033                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $120816.16    | 0.03%             | 2033-01-19      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | RCV MXIBT PAY 9.34 01/06/2033                             | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-89821.06    | -0.02%            | 2033-01-06      | Fixed         | 9.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | RCV WIBR6 PAY 5.58 01/19/2028                             | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $33338.44     | 0.01%             | 2028-01-19      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | RCV 13.29 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: CYYGQCGNHMHPSMRL3R97       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $37746.93     | 0.01%             | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| STANDRD CHARTERED BANK                                                               | RCV 2.62 PAY CNRR  01/19/2028                             | CUSIP: N/A<br>LEI: RILFO74KP1CM8P6PCT96       | Short            | DIR              | CORP              | N/A       |           0 | OU      | $-20810.86    | -0.00%            | 2028-01-19      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 100.00 PAY 1.00 12/20/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Short            | DCR              |  | US        |        7696 | OU      | $-2217.96     | -0.00%            | 2027-12-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | RCV 12.73 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $9173.33      | 0.00%             | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | RCV 100.00 PAY 5.00 12/20/2027                            | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | Short            | DCR              |  | US        |       38264 | OU      | $-54367.47    | -0.01%            | 2027-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | RCV 13.51 PAY BZACC 01/04/2027                            | CUSIP: N/A<br>LEI: 2J5703FH5U5M97R1I237       | Long             | DIR              | CORP              | N/A       |           0 | OU      | $45419.75     | 0.01%             | 2027-01-04      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EURO BUXL 30YR BND                                        | CUSIP: 00002UBH3<br>LEI: 529900UT4DG0LG5R9O07 | Short            | DCO              | CORP              | AU        |          -7 | NC      | $186054.08    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EURO BUXL 30YR BND                                        | CUSIP: 00002UBH3<br>LEI: 529900UT4DG0LG5R9O07 | Short            | DCO              | CORP              | AU        |         -30 | NC      | $877640.72    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EURO-SCHATZ FUTURE                                        | CUSIP: 00002DUH3<br>LEI: 529900UT4DG0LG5R9O07 | Long             | DE               | CORP              | CA        |          91 | NC      | $-128097.60   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| THE MONTREAL EXCHANGE / BOURSE DE MONTREAL                                           | CANADIAN 10YR BOND FUTURES                                | CUSIP: 00002CNH3<br>LEI: N/A                  | Long             | DFE              | CORP              | HU        |          18 | NC      | $1024.55      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE                                                                       | 10-year JGB Trade Future MAR 2023                         | CUSIP: 00001JBH3<br>LEI: N/A                  | Short            | DIR              | CORP              | JP        |         -29 | NC      | $636384.62    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE                                                                       | 10-year JGB Trade Future MAR 2023                         | CUSIP: 00001JBH3<br>LEI: N/A                  | Short            | DIR              | CORP              | JP        |          -5 | NC      | $35583.66     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EUROBUND FUTURES                                          | CUSIP: 00002RXH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DE               | CORP              | US        |         -33 | NC      | $305443.80    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE ULTRA 10Y                                       | CUSIP: 0002UXYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |          29 | NC      | $-4378.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EUROBUND FUTURES                                          | CUSIP: 00002RXH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DE               | CORP              | US        |         -79 | NC      | $651237.97    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EU10YEAR TREASURY NOTE FUTURES                            | CUSIP: 0001OATH3<br>LEI: 529900UT4DG0LG5R9O07 | Short            | DCO              | CORP              | DE        |         -14 | NC      | $64187.94     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | Euro-Bobl Futures,Mar-2023,Composite                      | CUSIP: 00002OEH3<br>LEI: 529900UT4DG0LG5R9O07 | Short            | DCO              | CORP              | DE        |        -154 | NC      | $363018.39    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | Euro-Bobl Futures,Mar-2023,Composite                      | CUSIP: 00002OEH3<br>LEI: 529900UT4DG0LG5R9O07 | Long             | DCO              | CORP              | DE        |          68 | NC      | $-287157.86   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 10YR                                            | CUSIP: 00002TYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |         -43 | NC      | $117310.06    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX - TRADE24                                                                        | ASX 10 Year Treasury Bond Futures                         | CUSIP: 00002XMH3<br>LEI: N/A                  | Long             | DIR              | CORP              | AU        |          22 | NC      | $-51105.17    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND ULTRA                                           | CUSIP: 00002WNH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |           2 | NC      | $-8913.52     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EUROBUND FUTURES                                          | CUSIP: 00002RXH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DE               | CORP              | US        |          -1 | NC      | $9837.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                             | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |        -118 | NC      | $175980.95    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND ULTRA                                           | CUSIP: 00002WNH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |          18 | NC      | $-26437.50    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 10YR                                            | CUSIP: 00002TYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |           3 | NC      | $46.88        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                            | CUSIP: 00002USH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |          40 | NC      | $593.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-BOND 30YR                                            | CUSIP: 00002USH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |          -2 | NC      | $1966.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 2YR                                             | CUSIP: 00002TUH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |          10 | NC      | $1585.94      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 2YR                                             | CUSIP: 00002TUH3<br>LEI: 549300EX04Q2QBFQTQ27 | Long             | DIR              | CORP              | US        |          44 | NC      | $10818.54     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX - TRADE24                                                                        | ASX 10 Year Treasury Bond Futures                         | CUSIP: 00002XMH3<br>LEI: N/A                  | Long             | DIR              | CORP              | AU        |          30 | NC      | $-957710.76   | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EUROBUND FUTURES                                          | CUSIP: 00002RXH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DE               | CORP              | US        |        -111 | NC      | $1014954.11   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE ULTRA 10Y                                       | CUSIP: 0002UXYH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |        -106 | NC      | $78775.38     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | EURO BUXL 30YR BND                                        | CUSIP: 00002UBH3<br>LEI: 529900UT4DG0LG5R9O07 | Short            | DCO              | CORP              | AU        |          -1 | NC      | $8932.87      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONG GILT                                                                            | LONG GILT                                                 | CUSIP: 00002G9H3<br>LEI: N/A                  | Short            | DIR              |  | US        |          -2 | NC      | $168.77       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONG GILT                                                                            | LONG GILT                                                 | CUSIP: 00002G9H3<br>LEI: N/A                  | Long             | DIR              |  | US        |           1 | NC      | $-59.77       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                                               | US T-NOTE 5YR                                             | CUSIP: 00002FVH3<br>LEI: 549300EX04Q2QBFQTQ27 | Short            | DIR              | CORP              | US        |         -20 | NC      | $-156.26      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                                                    | Long-Term Euro-BTP Futures,Mar-2023,Composite             | CUSIP: 00002IKH3<br>LEI: 529900UT4DG0LG5R9O07 | Long             | DCO              | CORP              | DE        |          11 | NC      | $-98261.55    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222281<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $567800.37    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222279<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1419814.30   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222307<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $90000.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | JPMORGAN CHASE & CO                                       | CUSIP: 222222304<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $339000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222299<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $229734.60    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | JPMORGAN CHASE & CO                                       | CUSIP: 222222303<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $225000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222298<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $870000.00    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222297<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $153654.08    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222300<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $9724303.52   | 2.20%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222301<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $9722948.77   | 2.20%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | JPMORGAN CHASE & CO                                       | CUSIP: 222222302<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1483000.00   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222250<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $101444.09    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222242<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $582865.48    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222243<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $382822.24    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222244<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $308523.40    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222189<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4320000.00   | 0.98%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222188<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $740000.00    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA NEW ZEALAND BANK                                                           | AUSTRALIA NEW ZEALAND BANK                                | CUSIP: 222222187<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $359740.08    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA NEW ZEALAND BANK                                                           | AUSTRALIA NEW ZEALAND BANK                                | CUSIP: 222222186<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $93599.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222204<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1976938.75   | 0.45%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222206<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $315000.00    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | BNP PARIBAS                                               | CUSIP: 222222226<br>LEI: 2J5703FH5U5M97R1I237 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $185093.64    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222217<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $3387016.22   | 0.77%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | BNP PARIBAS                                               | CUSIP: 222222225<br>LEI: 2J5703FH5U5M97R1I237 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $3164763.73   | 0.71%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | 20230119/CZK/EUR                                          | CUSIP: 222222224<br>LEI: 2J5703FH5U5M97R1I237 | Long             | DFE              |  | US        |           1 | NC      | $397807.04    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | 20230119/CZK/EUR                                          | CUSIP: 222222223<br>LEI: 2J5703FH5U5M97R1I237 | Long             | DFE              |  | US        |           1 | NC      | $836605.38    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | BNP PARIBAS                                               | CUSIP: 222222222<br>LEI: 2J5703FH5U5M97R1I237 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $462057.46    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                          | BNP PARIBAS                                               | CUSIP: 222222221<br>LEI: 2J5703FH5U5M97R1I237 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $340000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222190<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $385081.07    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222220<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1245097.22   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222191<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $177645.16    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222193<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $680185.70    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222214<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1636318.22   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN                                                              | BROWN BROTHERS HARRIMAN                                   | CUSIP: 222222227<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $937755.90    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222195<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $13642298.12  | 3.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222203<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $89179.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222202<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $224735.83    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222201<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $18647498.31  | 4.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222200<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $895487.24    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222199<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $701398.86    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222198<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $555391.80    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222197<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4763865.65   | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222196<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $343519.21    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222194<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $8073008.91   | 1.82%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222205<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $344431.69    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA                                                                      | BANK OF AMERICA                                           | CUSIP: 222222192<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $811476.60    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222219<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $727672.78    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222218<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2719824.72   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222216<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2680351.71   | 0.61%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF SCOTLAND                                                               | ROYAL BANK OF SCOTLAND                                    | CUSIP: 222222331<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $876278.14    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF SCOTLAND                                                               | ROYAL BANK OF SCOTLAND                                    | CUSIP: 222222330<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4087201.64   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF SCOTLAND                                                               | ROYAL BANK OF SCOTLAND                                    | CUSIP: 222222329<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $35088360.07  | 7.93%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222327<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $392240.17    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222338<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $612963.52    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222326<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $624287.48    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222325<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1139795.95   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222324<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $203857.18    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222323<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $482737.88    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222322<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $3636286.10   | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222321<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2401823.43   | 0.54%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222320<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1168633.35   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222319<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4074134.60   | 0.92%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF SCOTLAND                                                               | ROYAL BANK OF SCOTLAND                                    | CUSIP: 222222332<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $717402.29    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222333<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $829593.69    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222334<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1614887.08   | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222335<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $3495795.80   | 0.79%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222207<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1286467.14   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222215<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $876026.14    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | 20230118/CZK/USD                                          | CUSIP: 222222272<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              |  | US        |           1 | NC      | $287662.38    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222213<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1733681.78   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222212<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $193169.99    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222211<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $342582.58    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN                                                              | BROWN BROTHERS HARRIMAN                                   | CUSIP: 222222229<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $911319.58    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222210<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $215154.90    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222208<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $744466.87    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222271<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $346162.85    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222249<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $853308.58    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222273<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $837607.25    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222328<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $505984.63    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222336<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $532210.62    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK INTL                                                                   | BARCLAYS BANK INTL                                        | CUSIP: 222222209<br>LEI: G5GSEF7VJP5I7OUK5573 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1141778.75   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE                                                                      | CREDIT AGRICOLE                                           | CUSIP: 222222253<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4441516.51   | 1.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE                                                                      | CREDIT AGRICOLE                                           | CUSIP: 222222254<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $6791451.62   | 1.53%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222255<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $360000.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222318<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $321642.21    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222353<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2283659.66   | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | 20230119/CZK/EUR                                          | CUSIP: 222222316<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              |  | US        |           1 | NC      | $404099.00    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222283<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $716536.78    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222291<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $397013.45    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | 20230118/CZK/EUR                                          | CUSIP: 222222290<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              |  | US        |           1 | NC      | $539016.43    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222289<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $139834.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222288<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1148000.00   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222287<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $571588.20    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222286<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $269269.07    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222285<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $230517.84    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222284<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2117149.07   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222282<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1215416.96   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                                  | SOCIETE GENERALE SA                                       | CUSIP: 222222341<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $333835.00    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDRD CHARTERED BANK                                                               | STANDRD CHARTERED BANK                                    | CUSIP: 222222342<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1543320.59   | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK                                                                    | STATE STREET BANK                                         | CUSIP: 222222343<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $780000.00    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK                                                                    | STATE STREET BANK                                         | CUSIP: 222222344<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $907236.49    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222358<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2254837.57   | 0.51%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222357<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $175981.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222356<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $606574.72    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222355<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $574677.60    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222354<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $351557.84    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222274<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $226119.87    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222294<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $251878.14    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222352<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $235870.95    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222349<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1347596.72   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                                  | SOCIETE GENERALE SA                                       | CUSIP: 222222340<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $280000.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222348<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $14775976.66  | 3.34%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222347<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1189196.00   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                                                                | TORONTO DOMINION BANK                                     | CUSIP: 222222346<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $368612.33    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BANK                                                                | TORONTO DOMINION BANK                                     | CUSIP: 222222345<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2649278.04   | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | UBS INVESTMENT BANK                                       | CUSIP: 222222351<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1431245.59   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | JPMORGAN CHASE & CO                                       | CUSIP: 222222306<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $575694.05    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222296<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $446901.79    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222308<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $358296.10    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222309<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $172000.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222278<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1253973.86   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222277<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $107615.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222276<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $544934.69    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222275<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $593140.33    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | 20230119/CZK/USD                                          | CUSIP: 222222315<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              |  | US        |           1 | NC      | $394525.71    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222293<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $377785.68    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | 20230119/CZK/EUR                                          | CUSIP: 222222280<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              |  | US        |           1 | NC      | $536828.31    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222292<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $286502.48    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                                  | JPMORGAN CHASE & CO                                       | CUSIP: 222222305<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $764000.00    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222314<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $2216085.23   | 0.50%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222313<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $293365.53    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222312<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $573671.65    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222311<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $720000.00    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | MORGAN STANLEY                                            | CUSIP: 222222310<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4521864.83   | 1.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN SECURITIES INC                                                             | JP MORGAN SECURITIES INC                                  | CUSIP: 222222295<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $567262.07    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222337<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1145037.08   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222245<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $742403.28    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222246<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1427503.30   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222268<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1091779.70   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222267<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $3181529.40   | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | 20230119/CZK/EUR                                          | CUSIP: 222222266<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              |  | US        |           1 | NC      | $547794.14    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222265<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $941540.75    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN                                                              | BROWN BROTHERS HARRIMAN                                   | CUSIP: 222222228<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $500000.00    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222263<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $118071.41    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222261<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $544902.07    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222252<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $141025.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222260<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $154615.01    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | 20230118/CZK/EUR                                          | CUSIP: 222222259<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              |  | US        |           1 | NC      | $1116624.18   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222258<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $987480.15    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222257<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4804722.93   | 1.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222256<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $814111.26    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222269<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $447265.70    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES INC                                                                  | HSBC SECURITIES INC                                       | CUSIP: 222222270<br>LEI: CYYGQCGNHMHPSMRL3R97 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $283000.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222262<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $318863.48    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222251<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $114438.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222247<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4795182.74   | 1.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | 20230119/EUR/CZK                                          | CUSIP: 222222248<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              |  | US        |           1 | NC      | $3853190.11   | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222241<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $574886.53    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222238<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $22919.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222239<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $529471.38    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222237<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $16362275.66  | 3.70%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222240<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $195117.23    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | 20230118/EUR/CZK                                          | CUSIP: 222222236<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              |  | US        |           1 | NC      | $1110649.97   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222233<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $196221.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222232<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $770278.08    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222231<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $226000.00    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN                                                              | BROWN BROTHERS HARRIMAN                                   | CUSIP: 222222230<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1340175.86   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222234<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $1241081.01   | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                              | GOLDMAN SACHS GROUP INC                                   | CUSIP: 222222264<br>LEI: FOR8UP27PHTHYVLBNG30 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $13567696.77  | 3.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS                                                             | CITIGROUP GLOBAL MARKETS                                  | CUSIP: 222222235<br>LEI: XKZZ2JZF41MRHTR1V493 | Long             | DFE              | CORP              | N/A       |           1 | NC      | $4193217.63   | 0.95%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA                                                               | SKANDINAVISKA ENSKILDA                                    | CUSIP: 222222339<br>LEI: N/A                  | Long             | DFE              | CORP              | N/A       |           1 | NC      | $363541.04    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                       | 20230119/CZK/EUR                                          | CUSIP: 222222317<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DFE              |  | US        |           1 | NC      | $530024.46    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS INVESTMENT BANK                                                                  | 20230119/CZK/EUR                                          | CUSIP: 222222350<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DFE              |  | US        |           1 | NC      | $403838.93    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.625 08/15/43                                          | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1732800 | NS      | $1592957.63   | 0.36%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V7.75 PERP 144A                                       | CUSIP: 05565AM34<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      990000 | NS      | $977625.00    | 0.22%             | 2500-12-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| CGDB COMMERCIAL MORTGAGE TRUST                                                       | CGDB 2019-MOB A                                           | CUSIP: 125284AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      425000 | NS      | $414836.38    | 0.09%             | 2036-11-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                                                  | COMM 2020-CX A                                            | CUSIP: 12656KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1150000 | NS      | $891934.14    | 0.20%             | 2046-11-10      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo S.p.A.                                                               | ISPIM V8.248 11/21/33 144A                                | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |      650000 | NS      | $659419.23    | 0.15%             | 2033-11-21      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8221                                                 | CUSIP: 3132DWD26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     4546505 | NS      | $4131811.62   | 0.93%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD8222                                                 | CUSIP: 3132DWD34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     4344705 | NS      | $4075511.02   | 0.92%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRINITY RAIL LEASING 2020-2 LLC                                                      | TRL 2020-2A A1                                            | CUSIP: 89656YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      655003 | NS      | $600906.94    | 0.14%             | 2050-11-19      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V4.751 05/12/28 144A                                  | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      400000 | NS      | $382790.32    | 0.09%             | 2028-05-12      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                 | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     5700000 | NS      | $4636723.48   | 1.05%             | 2052-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN FS3391                                                 | CUSIP: 3140XJXV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3005000 | NS      | $2584056.66   | 0.58%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4626                                                 | CUSIP: 31418ED80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     4613329 | NS      | $4327487.18   | 0.98%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4709                                                 | CUSIP: 31418EGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3690936 | NS      | $3639893.31   | 0.82%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS V4.988 08/05/33 144A                                  | CUSIP: 902613AT5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      770000 | NS      | $712774.67    | 0.16%             | 2033-08-05      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| ITRAXX EUROPE SERIES 37                                                              | CDX OPTION                                                | CUSIP: AA9LXHM21<br>LEI: N/A                  | Short            | DE               |  | US        |   -21700000 | NS      | $-937.74      | -0.00%            | 2023-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                      | SCRT 2018-4 M55D                                          | CUSIP: 35563PHK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      265495 | NS      | $254034.45    | 0.06%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                      | SCRT 2020-3 TTU                                           | CUSIP: 35563PSU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      315595 | NS      | $290596.62    | 0.07%             | 2060-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                      | SCRT 2017-4 M45T                                          | CUSIP: 35563PCS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      158323 | NS      | $154295.63    | 0.03%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale S.A.                                                                | SOCGEN V9.375 PERP 144A                                   | CUSIP: 83370RAC2<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      350000 | NS      | $359174.63    | 0.08%             | 2500-12-31      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | SLST 2018-2 A1                                            | CUSIP: 35564CAN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |      292628 | NS      | $279134.72    | 0.06%             | 2028-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Healthcare Holding LLC                                                            | GEHC 6.377 11/22/52 144A                                  | CUSIP: 36267VAL7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |      180000 | NS      | $191180.12    | 0.04%             | 2052-11-22      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Spirit Realty LP                                                                     | SRC 4 07/15/29                                            | CUSIP: 84861TAD0<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      335000 | NS      | $290745.07    | 0.07%             | 2029-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Spirit Realty LP                                                                     | SRC 3.2 02/15/31                                          | CUSIP: 84861TAG3<br>LEI: 549300GTBVIBJRX5BW73 | Long             | DBT              | CORP              | US        |      565000 | NS      | $451085.16    | 0.10%             | 2031-02-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                    | NWG V8 PERP                                               | CUSIP: 780099CK1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      469000 | NS      | $461378.75    | 0.10%             | 2500-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                      | SBATOW 2.836 01/15/25 144A                                | CUSIP: 78403DAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600000 | NS      | $565510.20    | 0.13%             | 2050-01-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 5.5 08/15/28                                            | CUSIP: 912810FE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1200000 | NS      | $1283718.74   | 0.29%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 3.375 11/15/48                                          | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3339100 | NS      | $2945451.43   | 0.67%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.875 04/13/42 REGS                                | CUSIP: X7360WBX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2123000 | NS      | $1268986.70   | 0.29%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Canada (Government of)                                                               | CAN 0.5 12/01/30                                          | CUSIP: 135087L44<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     9260000 | NS      | $5515656.76   | 1.25%             | 2030-12-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.875 05/15/28                                          | CUSIP: 9128284N7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2699400 | NS      | $2547031.53   | 0.58%             | 2028-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WEA Finance LLC / Westfield UK & Europe Finance PLC                                  | ULFP 4.75 09/17/44 144A                                   | CUSIP: 92890HAD4<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      703000 | NS      | $486083.50    | 0.11%             | 2044-09-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TenneT Holding B.V.                                                                  | TENN 2.125 11/17/29 EMTN                                  | CUSIP: N85094UC7<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | NUSS              | NL        |     1185000 | NS      | $1135605.44   | 0.26%             | 2029-11-17      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.125 05/15/25                                          | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2166800 | NS      | $2059052.49   | 0.47%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| WEA Finance LLC                                                                      | ULFP 2.875 01/15/27 144A                                  | CUSIP: 92928QAH1<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      383000 | NS      | $327812.83    | 0.07%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Australia (Commonwealth of)                                                          | ACGB 3 03/21/47 150                                       | CUSIP: Q08184MX0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      500000 | NS      | $270338.72    | 0.06%             | 2047-03-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V2.875 04/02/32                                        | CUSIP: H3698DDK7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     1923000 | NS      | $1481668.63   | 0.33%             | 2032-04-02      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Denmark (Kingdom Of)                                                                 | DGB 4.5 11/15/39                                          | CUSIP: K5675SHC6<br>LEI: 549300PTO6LS1PTM6607 | Long             | DBT              | NUSS              | DK        |     1550000 | NS      | $278068.06    | 0.06%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| European Union                                                                       | EU 0.4 02/04/37 NGEU                                      | CUSIP: N/A<br>LEI: 529900FZRK8FGMPEOM08       | Long             | DBT              | NUSS              | XX        |     5006000 | NS      | $3632395.06   | 0.82%             | 2037-02-04      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Amprion GmbH                                                                         | AMPRIO 0.625 09/23/33 EMTN                                | CUSIP: D03614AR1<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      500000 | NS      | $375122.87    | 0.08%             | 2033-09-23      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                             | EDF 2 12/09/49 EMTN                                       | CUSIP: F4065QLG3<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     1000000 | NS      | $643619.56    | 0.15%             | 2049-12-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| France (Republic Of)                                                                 | FRTR 0.75 05/25/52                                        | CUSIP: F43750KX9<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      950000 | NS      | $545616.20    | 0.12%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.1 03/20/27 346                                      | CUSIP: J2S39KRZ1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   669400000 | NS      | $5080431.70   | 1.15%             | 2027-03-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.4 03/20/50 66                                       | CUSIP: J2S39K8T6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    29150000 | NS      | $168334.36    | 0.04%             | 2050-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Belgium (Kingdom Of)                                                                 | BGB 1.9 06/22/38 76                                       | CUSIP: B1124GDP3<br>LEI: 549300SZ25JZFHRHWD76 | Long             | DBT              | NUSS              | BE        |     1025000 | NS      | $907232.36    | 0.20%             | 2038-06-22      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| European Union                                                                       | EU 1.375 10/04/29 EMTN                                    | CUSIP: L3334EAY3<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     1200000 | NS      | $1158607.14   | 0.26%             | 2029-10-04      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3.375 02/08/38 REGS                                | CUSIP: X7360WAT9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      298000 | NS      | $214994.23    | 0.05%             | 2038-02-08      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.5 02/08/30 REGS                                  | CUSIP: X7360WAR3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      151000 | NS      | $124660.86    | 0.03%             | 2030-02-08      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Abertis Infraestructuras Finance B.V.                                                | ABESM V3.248 PERP                                         | CUSIP: N0021LAD5<br>LEI: 5493007WHKI5H75YJ358 | Long             | DBT              | CORP              | NL        |     1300000 | NS      | $1174493.41   | 0.27%             | 2500-12-31      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FedEx Corporation                                                                    | FDX 0.95 05/04/33                                         | CUSIP: 31428XCC8<br>LEI: 549300E707U7WNPZN687 | Long             | DBT              | CORP              | US        |     1920000 | NS      | $1466322.70   | 0.33%             | 2033-05-04      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| British American Tobacco PLC                                                         | BATSLN V3 PERP 5.25                                       | CUSIP: G1510JSE3<br>LEI: 213800FKA5MF17RJKT63 | Long             | DBT              | CORP              | GB        |      350000 | NS      | $290099.22    | 0.07%             | 2500-12-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Canada (Government of)                                                               | CAN 3.5 12/01/45                                          | CUSIP: 135087ZS6<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |      850000 | NS      | $643576.81    | 0.15%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| National Grid North America Inc.                                                     | NGGLN 1.054 01/20/31 EMTN                                 | CUSIP: U6300ABN7<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |     1553000 | NS      | $1288917.34   | 0.29%             | 2031-01-20      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank N.V.                                                                   | ABNANV 3 06/01/32 EMTN                                    | CUSIP: N0R37XCH1<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |      500000 | NS      | $484450.70    | 0.11%             | 2032-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banque Ouest Africaine de Developpement                                              | BOAD 2.75 01/22/33 REGS                                   | CUSIP: V0136BAA6<br>LEI: 529900LIZJABE4JJS826 | Long             | DBT              | NUSS              | XX        |     3680000 | NS      | $2957582.49   | 0.67%             | 2033-01-22      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Finance Corporation                                               | BRK 1.5 03/18/30                                          | CUSIP: 084664DC2<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      880000 | NS      | $797364.65    | 0.18%             | 2030-03-18      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4625                                                 | CUSIP: 31418ED72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10301796 | NS      | $9362183.19   | 2.11%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.875 08/15/28                                          | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6725000 | NS      | $6332795.92   | 1.43%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 0.25 03/04/26                                           | CUSIP: 00206RJN3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      370000 | NS      | $354882.20    | 0.08%             | 2026-03-04      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.875 06/30/26                                          | CUSIP: 91282CCJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5406800 | NS      | $4834861.94   | 1.09%             | 2026-06-30      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Viatris Inc                                                                          | VTRS 4 06/22/50                                           | CUSIP: 92556VAF3<br>LEI: 254900ZZTSW7NL773X71 | Long             | DBT              | CORP              | US        |      646000 | NS      | $398025.05    | 0.09%             | 2050-06-22      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                                                             | CE 4.777 07/19/26                                         | CUSIP: 15089QAT1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      470000 | NS      | $478538.78    | 0.11%             | 2026-07-19      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 8.5 01/31/37 2037                                    | CUSIP: S69124TY1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   109472885 | NS      | $5105996.42   | 1.15%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Singapore (Republic of)                                                              | SIGB 2.625 05/01/28                                       | CUSIP: Y6132HNP4<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |      800000 | NS      | $586352.10    | 0.13%             | 2028-05-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Lanark Master Issuer plc                                                             | LAN 2020-1A 2A                                            | CUSIP: G53590CL0<br>LEI: 213800KIOPB5OYXIVY33 | Long             | ABS-O            | CORP              | GB        |      270000 | NS      | $326491.22    | 0.07%             | 2069-12-22      | Floating      |  | No            |                  2 | On Loan: No      |
| Orano SA                                                                             | ORANOF 2.75 03/08/28 EMTN                                 | CUSIP: F6861GAB9<br>LEI: 969500161UMNDC85C891 | Long             | DBT              | CORP              | FR        |      500000 | NS      | $481082.95    | 0.11%             | 2028-03-08      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Brass No 10 PLC                                                                      | BRASS 10A A1                                              | CUSIP: 10554PAA1<br>LEI: 213800UCE3NFG8SQKH09 | Long             | ABS-O            | CORP              | GB        |      289992 | NS      | $276576.29    | 0.06%             | 2069-04-16      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Jbs Usa Lux SA/Jbs Usa Food Company/Jbs Usa Finance Inc                              | JBSSBZ 3.625 01/15/32 144a                                | CUSIP: 46590XAT3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | CORP              | LU        |      540000 | NS      | $437400.00    | 0.10%             | 2032-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Finland (Republic Of)                                                                | RFGB 0.5 09/15/27                                         | CUSIP: X8T03RBC6<br>LEI: 743700M6Y2OQRVSBRD14 | Long             | DBT              | NUSS              | FI        |      750000 | NS      | $720216.44    | 0.16%             | 2027-09-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific (Finance I) B.V.                                            | TMO 1.625 10/18/41                                        | CUSIP: N8578GAC8<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |      150000 | NS      | $107630.25    | 0.02%             | 2041-10-18      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Canada (Government of)                                                               | CAN 1 09/01/26                                            | CUSIP: 135087L93<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1450000 | NS      | $977143.65    | 0.22%             | 2026-09-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Slovenia (Republic of)                                                               | SLOREP 0 02/12/31 RS86                                    | CUSIP: X7S28MMP0<br>LEI: 485100000LWQHIX4XX88 | Long             | DBT              | NUSS              | SI        |      350000 | NS      | $276900.10    | 0.06%             | 2031-02-12      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WEA Finance LLC                                                                      | ULFP 2.875 01/15/27 REGS                                  | CUSIP: U94303AF8<br>LEI: 3CYEJKBUJZO3UW777J80 | Long             | DBT              | CORP              | US        |      277000 | NS      | $237086.56    | 0.05%             | 2027-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Philippines (Republic Of)                                                            | PHILIP 0 02/03/23                                         | CUSIP: Y6972FZX1<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |      700000 | NS      | $746240.06    | 0.17%             | 2023-02-03      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                             | G2-30YR-Multi                                             | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     8000000 | NS      | $7348921.76   | 1.66%             | 2052-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V9.016 11/15/33 144A                                   | CUSIP: 225401BB3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      830000 | NS      | $849809.76    | 0.19%             | 2033-11-15      | Fixed         | 9.02%                 | No            |                  2 | On Loan: No      |
| FARM MORTGAGE TRUST                                                                  | FARM 2021-1 A                                             | CUSIP: 30768WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      553749 | NS      | $449605.15    | 0.10%             | 2051-01-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Fnma Pass-Thru I                                                                     | FN BU5835                                                 | CUSIP: 3140M7PV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2270375 | NS      | $1864958.80   | 0.42%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.391 03/15/62 144A                                   | CUSIP: 55903VAS2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      430000 | NS      | $313905.91    | 0.07%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.75 08/15/32                                           | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2240000 | NS      | $2039800.00   | 0.46%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Westpac Banking Corp.                                                                | WSTP V4.11 07/24/34                                       | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |      792000 | NS      | $679036.25    | 0.15%             | 2034-07-24      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| CDX.NA.IG.39                                                                         | CDX OPTIONS                                               | CUSIP: AA9LXFGH1<br>LEI: N/A                  | Long             | DE               |  | US        |    24000000 | NS      | $509.76       | 0.00%             | 2023-01-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Tower Bridge Funding 2021-2 plc                                                      | TWRBG 2021-2 A                                            | CUSIP: G8962BAA5<br>LEI: 63540046RPZ8IOOPGL28 | Long             | ABS-O            | CORP              | GB        |      461158 | NS      | $547966.91    | 0.12%             | 2063-11-20      | Floating      |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS KL3W AFLW                                            | CUSIP: 3137FJF20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      406866 | NS      | $402969.08    | 0.09%             | 2025-08-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST                                                               | IHSFR 2018-SFR4 A                                         | CUSIP: 46187XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      421162 | NS      | $418145.69    | 0.09%             | 2038-01-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.05 03/15/42 144A                                    | CUSIP: 55903VAN3<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      347000 | NS      | $265483.52    | 0.06%             | 2042-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| SLM Corporation                                                                      | SLM 4.2 10/29/25                                          | CUSIP: 78442PGD2<br>LEI: 4K8SLPBF5DXXGPW03H93 | Long             | DBT              | CORP              | US        |      250000 | NS      | $228739.06    | 0.05%             | 2025-10-29      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| National Australia Bank Ltd.                                                         | NAB V3.933 08/02/34 REGS                                  | CUSIP: G6S94TAB9<br>LEI: F8SB4JFBSYQFRQEH3Z21 | Long             | DBT              | CORP              | AU        |      487000 | NS      | $409641.25    | 0.09%             | 2034-08-02      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| Ireland (Republic Of)                                                                | IRISH 0.35 10/18/32                                       | CUSIP: G4R49GAZ6<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     2925000 | NS      | $2429184.96   | 0.55%             | 2032-10-18      | Fixed         | 0.35%                 | No            |                  2 | On Loan: No      |
| New Zealand (Government Of)                                                          | NZGB 3.5 04/14/33 0433                                    | CUSIP: Q54627BK1<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     3479000 | NS      | $2031472.71   | 0.46%             | 2033-04-14      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 3.65 03/25/41                                        | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     1074000 | NS      | $792819.66    | 0.18%             | 2041-03-25      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                                                | WFCM 2021-SAVE A                                          | CUSIP: 95003LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      590864 | NS      | $552075.08    | 0.12%             | 2040-02-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                                 | UKT 1.25 07/31/51                                         | CUSIP: G4527HUU3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     4880000 | NS      | $3186430.68   | 0.72%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| China (People's Republic Of)                                                         | CGB 3.81 09/14/50 INBK                                    | CUSIP: Y6S39BYR5<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    40050000 | NS      | $6324854.64   | 1.43%             | 2050-09-14      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Spain (Kingdom of)                                                                   | SPGB 0.7 04/30/32                                         | CUSIP: E8922AMC1<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     7055000 | NS      | $5882184.94   | 1.33%             | 2032-04-30      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP 2.1 04/07/32 EMTN                                     | CUSIP: F105CUKR1<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      600000 | NS      | $530784.10    | 0.12%             | 2032-04-07      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| General Electric Company                                                             | GE 4.125 09/19/35 EMTN                                    | CUSIP: U369638J5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |      457000 | NS      | $481847.13    | 0.11%             | 2035-09-19      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.124 07/16/31 REGS                                | CUSIP: X7360WBB7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      584000 | NS      | $429088.93    | 0.10%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Simon International Finance SCA                                                      | SPG 1.125 03/19/33                                        | CUSIP: L84465CJ7<br>LEI: 549300KMCOJGU910PF77 | Long             | DBT              | CORP              | LU        |     1773000 | NS      | $1367972.78   | 0.31%             | 2033-03-19      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 1.75 07/13/30 REGS                                 | CUSIP: X7360WBZ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      911000 | NS      | $676401.82    | 0.15%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Nasdaq Inc                                                                           | NDAQ 0.9 07/30/33                                         | CUSIP: 63111XAF8<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |     1154000 | NS      | $876256.33    | 0.20%             | 2033-07-30      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Ibercaja Banco S.A.                                                                  | CAZAR V2.75 07/23/30                                      | CUSIP: E6R028CE1<br>LEI: 549300OLBL49CW8CT155 | Long             | DBT              | CORP              | ES        |      800000 | NS      | $745030.45    | 0.17%             | 2030-07-23      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Digital Euro Finco LLC                                                               | DLR 2.625 04/15/24                                        | CUSIP: U2538NAG8<br>LEI: 635400OUEAPTXSW3SC91 | Long             | DBT              | CORP              | US        |      325000 | NS      | $337346.79    | 0.08%             | 2024-04-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.7 12/20/48 61                                       | CUSIP: J2S39KS98<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   752750000 | NS      | $4744435.63   | 1.07%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.45 03/15/35                                           | CUSIP: 00206RCJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      157000 | NS      | $136106.10    | 0.03%             | 2035-03-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                                                          | NWIDE V5.75 PERP                                          | CUSIP: G6S17GNU5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |      427000 | NS      | $461935.99    | 0.10%             | 2500-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                 | CUSIP: 01F030611<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    10500000 | NS      | $9212377.23   | 2.08%             | 2052-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 3.85 04/01/61                                        | CUSIP: 161175BY9<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      924000 | NS      | $534404.97    | 0.12%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | MSCR 2021-MN1 M1                                          | CUSIP: 35563FAA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |      160065 | NS      | $149795.27    | 0.03%             | 2051-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V3.845 06/14/25                                       | CUSIP: 46647PDE3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     2610000 | NS      | $2551852.10   | 0.58%             | 2025-06-14      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Lundin Energy Finance B.V.                                                           | AKERBP 3.1 07/15/31 144A                                  | CUSIP: 55037AAB4<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NL        |     1129000 | NS      | $925919.26    | 0.21%             | 2031-07-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Magallanes Inc.                                                                      | WBD 5.141 03/15/52 144A                                   | CUSIP: 55903VAQ6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |      475000 | NS      | $345309.05    | 0.08%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST                                                       | CRVNA 2021-N2 C                                           | CUSIP: 14686KAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      289844 | NS      | $266331.09    | 0.06%             | 2028-03-10      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Co Ltd                                                                  | NSANY 4.81 09/17/30 144A                                  | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     1062000 | NS      | $901289.39    | 0.20%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| SBA Tower Trust                                                                      | SBATOW 1.884 01/15/26 144A                                | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      840000 | NS      | $738761.77    | 0.17%             | 2050-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | SLST 2019-2 A1C                                           | CUSIP: 35564CCZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |      330988 | NS      | $304393.72    | 0.07%             | 2059-01-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Southern Co.                                                                         | SO V1.875 09/15/81                                        | CUSIP: U84258AF6<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |      510000 | NS      | $424589.64    | 0.10%             | 2081-09-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.5 09/30/24                                            | CUSIP: 912828YH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2000000 | NS      | $1899140.62   | 0.43%             | 2024-09-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.375 02/15/23                                          | CUSIP: 912828Z86<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2300000 | NS      | $2292128.50   | 0.52%             | 2023-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: —       |
| Kreditanstalt Fur Wiederaufbau                                                       | KFW 0.375 04/23/30 EMTN                                   | CUSIP: D4S46MCX1<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | NUSS              | DE        |     1070000 | NS      | $947320.93    | 0.21%             | 2030-04-23      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                             | EDF V6 PERP EMTN                                          | CUSIP: F3R92TAK0<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      400000 | NS      | $431829.39    | 0.10%             | 2500-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 3.7 01/30/27 144A                                     | CUSIP: 92840VAG7<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |     1051000 | NS      | $958324.59    | 0.22%             | 2027-01-30      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| B.A.T. International Finance PLC                                                     | BATSLN 2.25 01/16/30 EMTN                                 | CUSIP: G08820HW8<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |      825000 | NS      | $716707.88    | 0.16%             | 2030-01-16      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Anheuser-Busch InBev N.V./S.A.                                                       | ABIBB 3.7 04/02/40 EMTN                                   | CUSIP: B639CJQP6<br>LEI: 5493008H3828EMEXB082 | Long             | DBT              | CORP              | BE        |      803000 | NS      | $792117.87    | 0.18%             | 2040-04-02      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Canada (Government of)                                                               | CAN 2 12/01/51                                            | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     1100000 | NS      | $617172.30    | 0.14%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Italy (Republic Of)                                                                  | BTPS 0.95 03/01/37 16Y                                    | CUSIP: T6052BYU6<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     1002000 | NS      | $669283.53    | 0.15%             | 2037-03-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| Paragon Mortgages (No.25) Plc                                                        | PARGN 25 B                                                | CUSIP: G69027AB9<br>LEI: 21380052TU89YPMW5366 | Long             | ABS-O            | CORP              | GB        |      200000 | NS      | $240628.66    | 0.05%             | 2050-05-15      | Floating      | 1.02%                 | No            |                  2 | On Loan: No      |
| Switzerland (Government Of)                                                          | SWISS 0.5 06/27/32                                        | CUSIP: H210694S7<br>LEI: 5067006OA1BJ88912Q83 | Long             | DBT              | NUSS              | CH        |      925000 | NS      | $906110.85    | 0.20%             | 2032-06-27      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Germany (Federal Republic Of)                                                        | DBR 2.5 08/15/46                                          | CUSIP: D20658Z90<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |      531000 | NS      | $571935.53    | 0.13%             | 2046-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 4.625 04/03/49 REGS                                | CUSIP: X7360WBA9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      623000 | NS      | $481112.50    | 0.11%             | 2049-04-03      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Astm S.P.A.                                                                          | ATIM 1.5 01/25/30 EMTN                                    | CUSIP: T0510NAC5<br>LEI: 8156003F2286CFA55E20 | Long             | DBT              | CORP              | IT        |      800000 | NS      | $660590.24    | 0.15%             | 2030-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                             | EDF V5.375 PERP EMTn                                      | CUSIP: F3R92TAM6<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      500000 | NS      | $507792.85    | 0.11%             | 2500-12-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Suez SA                                                                              | SUEZFP 2.875 05/24/34 EMTN                                | CUSIP: F9155XNG6<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |      100000 | NS      | $90176.52     | 0.02%             | 2034-05-24      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Italy (Republic Of)                                                                  | BTPS 2.15 03/01/72 50Y                                    | CUSIP: T6052BZK7<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      699000 | NS      | $418659.23    | 0.09%             | 2072-03-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.4 03/20/36 156                                      | CUSIP: J2S39KMW3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   793450000 | NS      | $5678209.57   | 1.28%             | 2036-03-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| Malaysia (Government Of)                                                             | MGS 4.232 06/30/31 0411                                   | CUSIP: Y5577BCT5<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     3490000 | NS      | $802725.26    | 0.18%             | 2031-06-30      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| Portugal (Republic Of)                                                               | PGB 1.65 07/16/32                                         | CUSIP: X6694NCD1<br>LEI: 549300P6U1FJ3IMP7K42 | Long             | DBT              | NUSS              | PT        |      500000 | NS      | $455322.77    | 0.10%             | 2032-07-16      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Thailand (Kingdom Of)                                                                | THAIGB 3.39 06/17/37                                      | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    16750000 | NS      | $503639.20    | 0.11%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 3.55 12/17/32                                           | CUSIP: U04644AG2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      270000 | NS      | $273370.56    | 0.06%             | 2032-12-17      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 1.6 05/19/28                                            | CUSIP: 00206RJU7<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1650000 | NS      | $1566951.59   | 0.35%             | 2028-05-19      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo S.p.A.                                                               | ISPIM V5.875 PERP EMTN                                    | CUSIP: T5R13HX27<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     1234000 | NS      | $1060680.72   | 0.24%             | 2500-12-31      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MPT Operating Partnership, L.P.                                                      | MPW 0.993 10/15/26                                        | CUSIP: U6203BAC8<br>LEI: WUQXXXF7PXTUPGROE843 | Long             | DBT              | CORP              | US        |      475000 | NS      | $385546.30    | 0.09%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| Astm S.P.A.                                                                          | ATIM 2.375 11/25/33 EMTN                                  | CUSIP: T0510NAB7<br>LEI: 8156003F2286CFA55E20 | Long             | DBT              | CORP              | IT        |      600000 | NS      | $461202.07    | 0.10%             | 2033-11-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Ford Auto Securitization Trust II                                                    | FASTR 2022-AA A3                                          | CUSIP: 345214AE0<br>LEI: 549300OMOD4L2OWKWN21 | Long             | ABS-O            | CORP              | CA        |     1232000 | NS      | $913245.02    | 0.21%             | 2028-09-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Oracle Corporation                                                                   | ORCL 6.15 11/09/29                                        | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      520000 | NS      | $539742.28    | 0.12%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| OSCAR US Funding X LLC                                                               | OSCAR 2019-1A A4                                          | CUSIP: 68784YAF1<br>LEI: 353800SUUA8QI9Y7NC83 | Long             | ABS-O            | CORP              | JP        |      462781 | NS      | $456936.64    | 0.10%             | 2026-05-11      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 2.25 11/15/27                                           | CUSIP: 9128283F5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2900000 | NS      | $2672304.70   | 0.60%             | 2027-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 3 06/30/24                                              | CUSIP: 91282CEX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4650000 | NS      | $4538654.31   | 1.03%             | 2024-06-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ITRAXX EUROPE SERIES 37                                                              | CDX OPTION                                                | CUSIP: AA9LXHLQ1<br>LEI: N/A                  | Short            | DE               |  | US        |   -22100000 | NS      | $-172.70      | -0.00%            | 2023-01-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Germany (Federal Republic Of)                                                        | DBR 0 02/15/32                                            | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     1500000 | NS      | $1284271.93   | 0.29%             | 2032-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Vonovia Finance B.V.                                                                 | ANNGR 0.5 09/14/29 EMTN                                   | CUSIP: N9391TBS7<br>LEI: 5299009XLZLD9TALOZ03 | Long             | DBT              | CORP              | NL        |      100000 | NS      | $78446.57     | 0.02%             | 2029-09-14      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V9.75 PERP REGS                                        | CUSIP: H3698DDQ4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      700000 | NS      | $609747.16    | 0.14%             | 2500-12-31      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.1 12/20/27 349                                      | CUSIP: J2S39KUX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   600000000 | NS      | $4535568.33   | 1.02%             | 2027-12-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Braskem Idesa SAPI                                                                   | BAKIDE 6.99 02/20/32 144A                                 | CUSIP: 10554NAB4<br>LEI: YH0V7ZHY352ITDGEYB83 | Long             | DBT              | CORP              | MX        |      225000 | NS      | $160609.15    | 0.04%             | 2032-02-20      | Fixed         | 6.99%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. | CHTR 4.8 03/01/50                                         | CUSIP: 161175BT0<br>LEI: 549300TPZNMN50BJ3745 | Long             | DBT              | CORP              | US        |      683000 | NS      | $495823.21    | 0.11%             | 2050-03-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG New York Branch                                                     | DB V3.547 09/18/31                                        | CUSIP: 251526CD9<br>LEI: N/A                  | Long             | DBT              | CORP              | DE        |     1700000 | NS      | $1362870.20   | 0.31%             | 2031-09-18      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.2 06/20/32 367                                      | CUSIP: J2S39LVM3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   202000000 | NS      | $1506426.81   | 0.34%             | 2032-06-20      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| The Republic of Korea                                                                | KTB 1.875 03/10/51 5103                                   | CUSIP: Y7277FM49<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  1676920000 | NS      | $909100.21    | 0.21%             | 2051-03-10      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Intel Corporation                                                                    | INTC 4.9 08/05/52                                         | CUSIP: 458140CB4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |      520000 | NS      | $460020.90    | 0.10%             | 2052-08-05      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.75 07/31/24                                           | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6000000 | NS      | $5739140.64   | 1.30%             | 2024-07-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 1.875 02/15/32                                          | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5240300 | NS      | $4445452.92   | 1.00%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| CDX.NA.IG.39                                                                         | CDX OPTIONS                                               | CUSIP: AA9LXFGJ1<br>LEI: N/A                  | Short            | DE               |  | US        |   -48000000 | NS      | $-341.76      | -0.00%            | 2023-01-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Africa Finance Corporation                                                           | AFRFIN 4.375 04/17/26 REGS                                | CUSIP: V0055BAJ4<br>LEI: 213800LXFHRRXIJRXW97 | Long             | DBT              | NUSS              | XX        |      739000 | NS      | $692147.40    | 0.16%             | 2026-04-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                                       | INTNED V1.75 02/16/31                                     | CUSIP: N4578ELD8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |      500000 | NS      | $445525.00    | 0.10%             | 2031-02-16      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Raiffeisen Bank International AG                                                     | RBIAV 0.05 09/01/27 EMTN                                  | CUSIP: A6S36JAX0<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      100000 | NS      | $85570.78     | 0.02%             | 2027-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| Vonovia SE                                                                           | ANNGR 0.75 09/01/32 EMTN                                  | CUSIP: D9581TAL4<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |      800000 | NS      | $567300.44    | 0.13%             | 2032-09-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                                                 | JPM V1.963 03/23/30 EMTN                                  | CUSIP: U48066VG3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |      590000 | NS      | $550834.24    | 0.12%             | 2030-03-23      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| TenneT Holding B.V.                                                                  | TENN 2.375 05/17/33 eMTN                                  | CUSIP: N85094UD5<br>LEI: 724500LTUWK3JQG63903 | Long             | DBT              | NUSS              | NL        |      444000 | NS      | $409919.71    | 0.09%             | 2033-05-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UniCredit S.p.A.                                                                     | UCGIM V7.5 PERP                                           | CUSIP: T9T20LD88<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     1482000 | NS      | $1540823.75   | 0.35%             | 2500-12-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EDP Finance B.V.                                                                     | EDPPL 1.875 09/21/29 EMTN                                 | CUSIP: N2R631KZ5<br>LEI: 5299007L43AQDFOW5739 | Long             | DBT              | CORP              | NL        |      400000 | NS      | $376573.52    | 0.09%             | 2029-09-21      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                                                  | EART 2021-2A C                                            | CUSIP: 30165XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      800000 | NS      | $768789.92    | 0.17%             | 2026-06-15      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2022-NQM1                                        | NRZT 2022-NQM1 A1                                         | CUSIP: 64830JAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      577998 | NS      | $496618.52    | 0.11%             | 2061-04-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| PUREWEST FUNDING LLC                                                                 | PUREW 2021-1 A1                                           | CUSIP: 746245AA7<br>LEI: 549300CU0IQI7FATI376 | Long             | ABS-O            | CORP              | US        |      336344 | NS      | $318888.48    | 0.07%             | 2036-12-20      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                                          | TAH 2017-SFR2 A                                           | CUSIP: 89613FAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1337552 | NS      | $1296891.94   | 0.29%             | 2036-01-18      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 4.125 11/15/32                                          | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      800000 | NS      | $816375.00    | 0.18%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ITRAXX EUROPE SERIES 37                                                              | CDX OPTION                                                | CUSIP: AA9LXHLP1<br>LEI: N/A                  | Short            | DE               |  | US        |   -22100000 | NS      | $-867.74      | -0.00%            | 2023-01-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Germany (Federal Republic Of)                                                        | BKO 0.4 09/13/24                                          | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     2225000 | NS      | $2293846.65   | 0.52%             | 2024-09-13      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 2.6 05/19/38                                            | CUSIP: 00206RJW3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     1100000 | NS      | $923227.10    | 0.21%             | 2038-05-19      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD1089                                                 | CUSIP: 3132DNF65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     4093213 | NS      | $3354171.00   | 0.76%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR SD1189                                                 | CUSIP: 3132DNKA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     2822552 | NS      | $2783518.39   | 0.63%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNGT 2017-T1 A                                            | CUSIP: 3136AV6R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-O            | USGSE             | US        |      546669 | NS      | $509881.09    | 0.12%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | SLST 2019-3 A2C                                           | CUSIP: 35564CEJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |      500000 | NS      | $433327.75    | 0.10%             | 2059-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                             | EDF V2.625 PERP                                           | CUSIP: F3R505JF4<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |     1200000 | NS      | $996884.16    | 0.23%             | 2500-12-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Commerzbank AG                                                                       | CMZB V6.125 PERP                                          | CUSIP: D1706B7V2<br>LEI: 851WYGNLUQLFZBSYGB56 | Long             | DBT              | CORP              | DE        |     1200000 | NS      | $1191509.22   | 0.27%             | 2500-12-31      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 2.125 10/25/51                                        | CUSIP: P6625ABB7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     1957000 | NS      | $1136463.14   | 0.26%             | 2051-10-25      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Honeywell International Inc.                                                         | HON 4.125 11/02/34                                        | CUSIP: 438516CG9<br>LEI: ISRPG12PN4EIEOEMW547 | Long             | DBT              | CORP              | US        |     1440000 | NS      | $1521588.54   | 0.34%             | 2034-11-02      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AT&T Inc                                                                             | T 0.9 03/25/24                                            | CUSIP: 00206RMJ8<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     5446000 | NS      | $5171627.74   | 1.17%             | 2024-03-25      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                         | AVOL 4.25 04/15/26 144A                                   | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     2599000 | NS      | $2356126.72   | 0.53%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CNH Capital Canada Receivables Trust                                                 | CNHC 2021-1A A2                                           | CUSIP: 12614ADF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      899469 | NS      | $634194.13    | 0.14%             | 2026-11-16      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc.                                                                       | C V4.91 05/24/33                                          | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |      500000 | NS      | $468216.50    | 0.11%             | 2033-05-24      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | SLST 2019-1 A2                                            | CUSIP: 35564CBC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGA              | US        |      400000 | NS      | $366883.60    | 0.08%             | 2029-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GE Healthcare Holding LLC                                                            | GEHC 5.905 11/22/32 144A                                  | CUSIP: 36267VAJ2<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |      520000 | NS      | $538823.09    | 0.12%             | 2032-11-22      | Fixed         | 5.91%                 | No            |                  2 | On Loan: —       |
| Textainer Marine Containers Ltd                                                      | TMCL 2021-1A A                                            | CUSIP: 88315LAL2<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | BM        |      917333 | NS      | $770496.06    | 0.17%             | 2046-02-20      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Netherlands (Kingdom Of)                                                             | NETHER 0.75 07/15/27                                      | CUSIP: N2R466GA6<br>LEI: 254900G14ALGVKORFN62 | Long             | DBT              | NUSS              | NL        |     1810000 | NS      | $1781948.77   | 0.40%             | 2027-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Secretaria Tesouro Nacional                                                          | BNTNF 10 01/01/33 NTNF                                    | CUSIP: P8T60NKJ9<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |        4700 | NS      | $761062.17    | 0.17%             | 2033-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V0.65 01/14/28 EMTN                                    | CUSIP: H3698DCT9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      660000 | NS      | $526826.81    | 0.12%             | 2028-01-14      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Amprion GmbH                                                                         | AMPRIO 3.45 09/22/27                                      | CUSIP: D03614BH2<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      700000 | NS      | $734997.38    | 0.17%             | 2027-09-22      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Vonovia SE                                                                           | ANNGR 0.625 12/14/29 EMTN                                 | CUSIP: D9581TAG5<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |      100000 | NS      | $78590.20     | 0.02%             | 2029-12-14      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                                 | UKT 4.75 12/07/30                                         | CUSIP: G4527HNZ0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |        9541 | NS      | $12435.25     | 0.00%             | 2030-12-07      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Poland (Republic of)                                                                 | POLGB 3.25 07/25/25 0725                                  | CUSIP: X8T024MN2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     2312000 | NS      | $484051.17    | 0.11%             | 2025-07-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance B.V.                                                         | WNTRDE 1.823 09/25/31                                     | CUSIP: N9639XAD4<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |      400000 | NS      | $315640.29    | 0.07%             | 2031-09-25      | Fixed         | 1.82%                 | No            |                  2 | On Loan: No      |
| South Africa (Republic of)                                                           | SAGB 8.875 02/28/35 2035                                  | CUSIP: S69124WF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    39966000 | NS      | $1980511.85   | 0.45%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FR RA5540                                                 | CUSIP: 3133KMEM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |      936455 | NS      | $768971.66    | 0.17%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corporation                                               | FHMS KC02 A2                                              | CUSIP: 3137FHQ22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      297385 | NS      | $287247.73    | 0.06%             | 2025-07-25      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4785                                                 | CUSIP: 31418EJ76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      491099 | NS      | $484307.18    | 0.11%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Company                                                                   | F 4.75 01/15/43                                           | CUSIP: 345370CQ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      436000 | NS      | $312957.70    | 0.07%             | 2043-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MBARC Credit Canada                                                                  | SALC 2021-AA A3                                           | CUSIP: 552755BS8<br>LEI: 549300T0LAPKEKVWBV33 | Long             | ABS-O            | CORP              | CA        |     1000000 | NS      | $713525.11    | 0.16%             | 2026-02-17      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury Notes                                                         | T 0.5 03/31/25                                            | CUSIP: 912828ZF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     5000000 | NS      | $4592187.50   | 1.04%             | 2025-03-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co LLC                                                             | VST 4.3 07/15/29 144A                                     | CUSIP: 92840VAE2<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      834000 | NS      | $751304.56    | 0.17%             | 2029-07-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| E-Carat 11 Plc                                                                       | ECARA 11 A                                                | CUSIP: G2918ZAA0<br>LEI: 213800P8XQG7CEH4YG57 | Long             | ABS-O            | CORP              | GB        |      289773 | NS      | $349866.37    | 0.08%             | 2028-05-18      | Floating      |  | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific (Finance I) B.V.                                            | TMO 2 10/18/51                                            | CUSIP: N8578GAB0<br>LEI: 549300SM0PJC1F3RPL91 | Long             | DBT              | CORP              | NL        |      260000 | NS      | $174704.50    | 0.04%             | 2051-10-18      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                                 | UKT 1 01/31/32                                            | CUSIP: G4527HWK3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     3765000 | NS      | $3603102.63   | 0.81%             | 2032-01-31      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                                 | UKT 3.5 01/22/45                                          | CUSIP: G4527HDA6<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     2729140 | NS      | $3031055.82   | 0.68%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                                 | UKT 1.25 07/22/27                                         | CUSIP: G4527HHD6<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |      900000 | NS      | $980168.29    | 0.22%             | 2027-07-22      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Chc Commercial Mortgage Trust 2019-Chc                                               | CHC 2019-CHC B                                            | CUSIP: 162665AG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      297752 | NS      | $283283.98    | 0.06%             | 2034-06-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Italy (Republic Of)                                                                  | BTPS 2.45 09/01/33 15Y                                    | CUSIP: T6247A8F6<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      409000 | NS      | $356725.26    | 0.08%             | 2033-09-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Sweden (Kingdom Of)                                                                  | SGB 2.25 06/01/32 1056                                    | CUSIP: W7S73NAE1<br>LEI: ERE94C0BSULG2RM19605 | Long             | DBT              | NUSS              | SE        |     3975000 | NS      | $377396.15    | 0.09%             | 2032-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Ford Motor Company                                                                   | F 6.1 08/19/32                                            | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      864000 | NS      | $797780.88    | 0.18%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Hply Trust                                                                           | HPLY 2019-HIT A                                           | CUSIP: 40443RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      478552 | NS      | $466504.96    | 0.11%             | 2036-11-17      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.875 02/15/41                                          | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6050000 | NS      | $4276121.12   | 0.97%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDOGB 7.5 04/15/40 FR83                                  | CUSIP: Y6S86ZNH8<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 10350000000 | NS      | $682958.95    | 0.15%             | 2040-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MEX 4 03/15/15                                            | CUSIP: P9767G4W8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     3990000 | NS      | $2984844.09   | 0.67%             | 2115-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo S.p.A.                                                               | ISPIM V7.75 PERP                                          | CUSIP: T5R13HZX7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     1568000 | NS      | $1616859.95   | 0.37%             | 2500-12-31      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Banco de Sabadell SA                                                                 | SABSM V5.75 PERP                                          | CUSIP: E1581BS63<br>LEI: SI5RG2M0WQQLZCXKRM20 | Long             | DBT              | CORP              | ES        |     1200000 | NS      | $1114334.34   | 0.25%             | 2500-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                       | MS V5.148 01/25/34 GMTN                                   | CUSIP: U6176TKY3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     2013000 | NS      | $2237341.37   | 0.51%             | 2034-01-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Ireland (Republic Of)                                                                | IRISH 3.4 03/18/24                                        | CUSIP: G7S95MCD5<br>LEI: 549300KXBEJAOJ9OVF93 | Long             | DBT              | NUSS              | IE        |     2100000 | NS      | $2265920.21   | 0.51%             | 2024-03-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Autostrade per l'Italia S.p.A.                                                       | ATOSTR 2 01/15/30                                         | CUSIP: T0R553AJ6<br>LEI: 815600149448CEB9B230 | Long             | DBT              | CORP              | IT        |     1556000 | NS      | $1316618.52   | 0.30%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                                                       | INTNED V0.875 11/29/30 EMTN                               | CUSIP: N4R82BRF3<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |     1200000 | NS      | $1010117.43   | 0.23%             | 2030-11-29      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 2.25 02/15/52                                           | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3050000 | NS      | $2120941.39   | 0.48%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| France (Republic Of)                                                                 | FRTR 0 11/25/31                                           | CUSIP: F26348AH9<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |      366034 | NS      | $302607.02    | 0.07%             | 2031-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Hammerson Ireland Finance Designated Activity Company                                | HMSOLN 1.75 06/03/27                                      | CUSIP: G4271HAA7<br>LEI: 63540093EUHUMTGSHN61 | Long             | DBT              | CORP              | IE        |     1225000 | NS      | $1015934.76   | 0.23%             | 2027-06-03      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| France (Republic Of)                                                                 | FRTR 0 05/25/32                                           | CUSIP: F26348AP1<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     3200000 | NS      | $2576640.72   | 0.58%             | 2032-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                              | BPCEGP 0.25 01/14/31                                      | CUSIP: F1883FTQ3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      400000 | NS      | $319464.40    | 0.07%             | 2031-01-14      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| African Export-Import Bank                                                           | AFREXI 3.798 05/17/31 REGS                                | CUSIP: M0R08QAG6<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | XX        |     3334000 | NS      | $2756551.20   | 0.62%             | 2031-05-17      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.625 12/02/40 REGS                                | CUSIP: X7360WBR2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2579000 | NS      | $1536373.85   | 0.35%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3.624 05/26/30 REGS                                | CUSIP: X7360WBH4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |       98000 | NS      | $85562.40     | 0.02%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc.                                                                          | ABBV 2.95 11/21/26                                        | CUSIP: 00287YBV0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     1056000 | NS      | $982063.26    | 0.22%             | 2026-11-21      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FNMA-30YR                                                 | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     3000000 | NS      | $2539542.93   | 0.57%             | 2052-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes Trust                                                          | TAH 2019-SFR1 A                                           | CUSIP: 89612LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      571303 | NS      | $523402.10    | 0.12%             | 2038-03-18      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ITRAXX EUROPE SERIES 37                                                              | CDX OPTION                                                | CUSIP: AA9LXHM31<br>LEI: N/A                  | Short            | DE               |  | US        |   -21700000 | NS      | $-612.31      | -0.00%            | 2023-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                             | EDF V3 PERP                                               | CUSIP: F4065QLF5<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | CORP              | FR        |      200000 | NS      | $174579.05    | 0.04%             | 2500-12-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.1 03/20/23 135                                      | CUSIP: J2S39KG26<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  1297950000 | NS      | $9894148.82   | 2.23%             | 2023-03-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3.375 01/28/50 REGS                                | CUSIP: X7360WBF8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      457000 | NS      | $281072.19    | 0.06%             | 2050-01-28      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                                         | AVOL 2.75 02/21/28 144A                                   | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1692000 | NS      | $1358225.42   | 0.31%             | 2028-02-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN MA4684                                                 | CUSIP: 31418EF21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     8531582 | NS      | $8212790.03   | 1.86%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ford Motor Company                                                                   | F 3.25 02/12/32                                           | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      435000 | NS      | $326224.64    | 0.07%             | 2032-02-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST                                                     | OMFIT 2020-2A A                                           | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      975000 | NS      | $851731.14    | 0.19%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                                   | TMUS 5.2 01/15/33                                         | CUSIP: 87264ACV5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      470000 | NS      | $465762.41    | 0.11%             | 2033-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury Bonds                                                         | T 1.125 05/15/40                                          | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8460000 | NS      | $5294770.35   | 1.20%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| ITRAXX EUROPE SERIES 37                                                              | CDX OPTION                                                | CUSIP: AA9LXFGK1<br>LEI: N/A                  | Long             | DE               |  | US        |    21600000 | NS      | $418.27       | 0.00%             | 2023-01-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ITRAXX EUROPE SERIES 37                                                              | CDX OPTION                                                | CUSIP: AA9LXFGL1<br>LEI: N/A                  | Short            | DE               |  | US        |   -43200000 | NS      | $-314.45      | -0.00%            | 2023-01-18      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                                                         | UBS 0.875 11/03/31                                        | CUSIP: H42097CN5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1051000 | NS      | $844898.84    | 0.19%             | 2031-11-03      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| European Union                                                                       | EU 0.45 07/04/41 NGEU                                     | CUSIP: B3S09CAP1<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |     1250000 | NS      | $811387.41    | 0.18%             | 2041-07-04      | Fixed         | 0.45%                 | No            |                  2 | On Loan: No      |
| Suez SA                                                                              | SUEZFP 2.375 05/24/30 EMTN                                | CUSIP: F9155XNH4<br>LEI: 5493007LKZ37MXEN5D79 | Long             | DBT              | CORP              | FR        |     1300000 | NS      | $1218606.49   | 0.28%             | 2030-05-24      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.005 09/20/26 149                                    | CUSIP: J2S39LRB2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   125650000 | NS      | $953145.80    | 0.22%             | 2026-09-20      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 2.1 12/20/29 114                                      | CUSIP: J2615Q2Z7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   209100000 | NS      | $1775677.03   | 0.40%             | 2029-12-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3.875 10/29/35 REGS                                | CUSIP: X7360WAG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      362000 | NS      | $284959.67    | 0.06%             | 2035-10-29      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 3.624 05/26/30 144A                                | CUSIP: X7360WBL5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      405000 | NS      | $353599.74    | 0.08%             | 2030-05-26      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance 2 B.V.                                                       | WNTRDE V3 PERP NC8                                        | CUSIP: N963A2AA6<br>LEI: 529900DV88FUQZSVVL48 | Long             | DBT              | CORP              | NL        |     1300000 | NS      | $1010314.82   | 0.23%             | 2500-12-31      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V0.694 03/22/31 EMTN                                  | CUSIP: U0662LDZ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      300000 | NS      | $248409.21    | 0.06%             | 2031-03-22      | Fixed         | 0.69%                 | No            |                  2 | On Loan: No      |
| Rakuten Group Inc                                                                    | RAKUTN V4.25 PERP REGS                                    | CUSIP: J6S87BAY4<br>LEI: 529900IMXUCQKUL1H943 | Long             | DBT              | CORP              | JP        |     1957000 | NS      | $1199635.82   | 0.27%             | 2500-12-31      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ABN AMRO Bank N.V.                                                                   | ABNANV 0.5 09/23/29 EMTN                                  | CUSIP: N0R37UBV7<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     1100000 | NS      | $932622.06    | 0.21%             | 2029-09-23      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                                                             | CE 5.337 01/19/29                                         | CUSIP: 15089QAU8<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     1147000 | NS      | $1161402.11   | 0.26%             | 2029-01-19      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| Raiffeisen Bank International AG                                                     | RBIAV V7.375 12/20/32                                     | CUSIP: A6S36JBB7<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      300000 | NS      | $318115.16    | 0.07%             | 2032-12-20      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| DH Europe Finance II SARL                                                            | DHR 0.2 03/18/26                                          | CUSIP: 23291KAA3<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |      475000 | NS      | $458642.78    | 0.10%             | 2026-03-18      | Fixed         | 0.20%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-1                                      | AMCAR 2022-1 A2                                           | CUSIP: 03066TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      140308 | NS      | $138647.94    | 0.03%             | 2026-01-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BXHPP LTD                                                                            | BXHPP 2021-FILM B                                         | CUSIP: 05609JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      900000 | NS      | $817487.64    | 0.18%             | 2036-08-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                                               | CS V3.091 05/14/32 144A                                   | CUSIP: 225401AU2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |      784000 | NS      | $541702.01    | 0.12%             | 2032-05-14      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| ENEL Finance International N.V.                                                      | ENELIM 7.5 10/14/32 144A                                  | CUSIP: 29278GBA5<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |      310000 | NS      | $327597.98    | 0.07%             | 2032-10-14      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                                | FN FP0012                                                 | CUSIP: 3140XTAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     2342608 | NS      | $2096774.02   | 0.47%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Springcastle I Spv Llc                                                               | SCFT 2020-AA A                                            | CUSIP: 85022WAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      410522 | NS      | $370199.43    | 0.08%             | 2037-09-25      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Austria (Republic of)                                                                | RAGB 0 02/20/31                                           | CUSIP: A0654UTZ4<br>LEI: 529900QWWUI4XRVR7I03 | Long             | DBT              | NUSS              | AT        |     1225000 | NS      | $1024686.36   | 0.23%             | 2031-02-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Raiffeisen Bank International AG                                                     | RBIAV V2.875 06/18/32                                     | CUSIP: A6S36JAT9<br>LEI: 9ZHRYM6F437SQJ6OUG95 | Long             | DBT              | CORP              | AT        |      900000 | NS      | $781898.56    | 0.18%             | 2032-06-18      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Iceland (Republic Of)                                                                | ICEGB 4.5 02/17/42                                        | CUSIP: BU9357890<br>LEI: 254900IPCJWRC6XAJN15 | Long             | DBT              | NUSS              | IS        |   286078000 | NS      | $1678771.59   | 0.38%             | 2042-02-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                     | DB V5.625 05/19/31 EMTN                                   | CUSIP: D1T7F6D70<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      300000 | NS      | $313307.79    | 0.07%             | 2031-05-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                     | DB V1.75 11/19/30 EMTN                                    | CUSIP: D1T7F65H7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     1800000 | NS      | $1512370.72   | 0.34%             | 2030-11-19      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                                                  | PEMEX 7.19 09/12/24 REGS                                  | CUSIP: P78625DC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   234880000 | NS      | $11149462.49  | 2.52%             | 2024-09-12      | Fixed         | 7.19%                 | No            |                  2 | On Loan: No      |
| Ubisoft Entertainment S.A.                                                           | UBIFP 0.878 11/24/27                                      | CUSIP: F9396NFJ0<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     1400000 | NS      | $1150119.35   | 0.26%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                                                       | BNP V0.875 07/11/30 EMTN                                  | CUSIP: F105CUAM3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     1300000 | NS      | $1106177.97   | 0.25%             | 2030-07-11      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Italy (Republic Of)                                                                  | BTPS 0.9 04/01/31 11Y                                     | CUSIP: T6052BXZ6<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      956000 | NS      | $781077.35    | 0.18%             | 2031-04-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.1 09/20/23 137                                      | CUSIP: J2S39KQ41<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   600000000 | NS      | $4575982.83   | 1.03%             | 2023-09-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 1.5 03/20/45 46                                       | CUSIP: J2S39KGX8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   589700000 | NS      | $4600504.64   | 1.04%             | 2045-03-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.8 12/20/47 57                                       | CUSIP: J2S39KUZ7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   163700000 | NS      | $1073542.18   | 0.24%             | 2047-12-20      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| Mexico (United Mexican States)                                                       | MBONO 7.75 05/29/31 M                                     | CUSIP: P9767HEK1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   323190000 | NS      | $15347233.60  | 3.47%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: —       |
| Mexico (United Mexican States)                                                       | MBONO 5.75 03/05/26 M                                     | CUSIP: P4R07XKC9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    47500000 | NS      | $2204795.63   | 0.50%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| France (Republic Of)                                                                 | FRTR 0.25 11/25/26                                        | CUSIP: F43750GD8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     2975000 | NS      | $2892294.09   | 0.65%             | 2026-11-25      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.875 05/26/28 REGS                                | CUSIP: X7360WAK8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      654000 | NS      | $605205.00    | 0.14%             | 2028-05-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Samhallsbyggnadsbolaget I Norden AB                                                  | SBBBSS V2.624 PERP *                                      | CUSIP: W7T8BRDY3<br>LEI: 549300HX9MRFY47AH564 | Long             | DBT              | CORP              | SE        |     2388000 | NS      | $952193.88    | 0.22%             | 2500-12-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.75 02/26/26 REGS                                 | CUSIP: X7360WBG6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2229000 | NS      | $2248827.86   | 0.51%             | 2026-02-26      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Romania (Republic Of)                                                                | ROMANI 2.75 04/14/41 REGS                                 | CUSIP: X7360WBS0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2035000 | NS      | $1218804.20   | 0.28%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Bank of America Corporation                                                          | BAC V2.824 04/27/33 EMTN                                  | CUSIP: U0662LFY0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |      638000 | NS      | $596584.27    | 0.13%             | 2033-04-27      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| The Toronto-Dominion Bank                                                            | TD 1.952 04/08/30 EMTN                                    | CUSIP: Q9130ZBW7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |     1512000 | NS      | $1396114.37   | 0.32%             | 2030-04-08      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance B.V.                                                         | WNTRDE 1.332 09/25/28                                     | CUSIP: N9639XAB8<br>LEI: 529900SUC9JUI6M74U66 | Long             | DBT              | CORP              | NL        |      100000 | NS      | $86583.65     | 0.02%             | 2028-09-25      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| Celanese US Holdings Llc                                                             | CE 6.379 07/15/32                                         | CUSIP: 15089QAP9<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |      173000 | NS      | $164513.99    | 0.04%             | 2032-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Gmf Canada Leasing Trust                                                             | GCOLT 2020-1A A3                                          | CUSIP: 36252MBU3<br>LEI: N/A                  | Long             | ABS-O            | MUN               | CA        |      116049 | NS      | $85550.24     | 0.02%             | 2025-11-20      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| NatWest Group PLC                                                                    | NWG V6 PERP                                               | CUSIP: 780097BQ3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      310000 | NS      | $286268.48    | 0.06%             | 2500-12-31      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST                                                               | TESLA 2020-A B                                            | CUSIP: 88167HAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      300000 | NS      | $297686.01    | 0.07%             | 2024-01-20      | Fixed         | 1.18%                 | No            |                  2 | On Loan: No      |
| African Export-Import Bank                                                           | AFREXI 5.25 10/11/23 EMTN                                 | CUSIP: M0R08QAD3<br>LEI: 21380068LJCDYA42GJ76 | Long             | DBT              | NUSS              | XX        |      550000 | NS      | $546728.60    | 0.12%             | 2023-10-11      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Germany (Federal Republic Of)                                                        | BKO 2.2 12/12/24                                          | CUSIP: N/A<br>LEI: 529900AQBND3S6YJLY83       | Long             | DBT              | NUSS              | DE        |     3275000 | NS      | $3473439.46   | 0.78%             | 2024-12-12      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Indonesia (Republic of)                                                              | INDOGB 7 09/15/30 FR82                                    | CUSIP: Y6S86ZMP1<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 18827000000 | NS      | $1220884.22   | 0.28%             | 2030-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 0.1 09/20/31 364                                      | CUSIP: J2S39LQK3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   466150000 | NS      | $3429526.99   | 0.77%             | 2031-09-20      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 1.5 06/20/34 149                                      | CUSIP: J2615QSH9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   431500000 | NS      | $3568719.29   | 0.81%             | 2034-06-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| The Republic of Korea                                                                | KTB 3.125 09/10/52 5209                                   | CUSIP: Y7277FV64<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  3135500000 | NS      | $2220195.40   | 0.50%             | 2052-09-10      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                               | FRESR 2017-SR01 A3                                        | CUSIP: 3137FCJG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | CORP              | US        |      293264 | NS      | $272399.25    | 0.06%             | 2027-11-25      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Seasoned Credit Risk Transfer Trust                                      | SCRT 2019-3 M55D                                          | CUSIP: 35563PLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-O            | USGSE             | US        |      201800 | NS      | $191804.69    | 0.04%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Germany (Federal Republic Of)                                                        | DBR 0 08/15/52                                            | CUSIP: D14458AU3<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |     4300000 | NS      | $2299406.11   | 0.52%             | 2052-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Amprion GmbH                                                                         | AMPRIO 3.971 09/22/32                                     | CUSIP: D03614BG4<br>LEI: 529900ZIV0ETYHYZM863 | Long             | DBT              | CORP              | DE        |      600000 | NS      | $632878.96    | 0.14%             | 2032-09-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Vonovia SE                                                                           | ANNGR 2.375 03/25/32                                      | CUSIP: D9581TAP5<br>LEI: 5299005A2ZEP6AP7KM81 | Long             | DBT              | CORP              | DE        |     1200000 | NS      | $1020527.30   | 0.23%             | 2032-03-25      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Japan (Government Of)                                                                | JGB 1.7 09/20/33 146                                      | CUSIP: J2615QMS1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |    22250000 | NS      | $188187.46    | 0.04%             | 2033-09-20      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Company                                                                | WFC V1.741 05/04/30 EMTN                                  | CUSIP: U94974KY4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2031000 | NS      | $1840894.46   | 0.42%             | 2030-05-04      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-17

**Name of Applicant:** GREAT-WEST FUNDS INC

**Signature:** /s/Kelly New

**Name of Signer:** Kelly New

**Title:** Treasurer, Great-West Funds, Inc.