# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0001752724-25-210367
**Filing Date:** 2025-8
**Character Count:** 413554
**Document Hash:** 890aa5dee80a4826c42bf81c02309a3e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-210367.hdr.sgml**: 20250828

**ACCESSION NUMBER**: 0001752724-25-210367

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250828

**DATE AS OF CHANGE**: 20250828

**PERIOD START**: 20250930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK ALLOCATION TARGET SHARES
- **CENTRAL INDEX KEY:** 0001221845

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 251268867

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK BOND ALLOCATION TARGET SHARES
- **DATE OF NAME CHANGE:** 20030306

## Series and Classes Contracts Data

### BATS: Series I Portfolio (Series ID: S000084041)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000248219 | BATS: Series I Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Allocation Target Shares

- **b. Investment Company Act file number:** 811-21457

- **c. CIK number of Registrant:** 0001221845

- **d. LEI of Registrant:** 549300R5YFYF3PL2MC94

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock Allocation Target Shares: Series I Portfolio

- **b. EDGAR series identifier (if any):** S000084041

- **c. LEI of Series:** 529900DDJ5HBW49XWV44

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

- **a. Date of fiscal year-end:** 2025-09-30

- **b. Date as of which information is reported:** 2025-06-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $82967249.15

**Total Liabilities:** $9870319.13

**Net Assets:** $73096930.02

**Cash Not Reported:** $2103727.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 3459.84000000 | **1-Year:** 573.69000000 | **5-Year:** 6906.53000000 | **10-Year:** 4549.05000000 | **30-Year:** 2087.73000000

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

- **3-Month:** 90.41000000 | **1-Year:** 708.07000000 | **5-Year:** 6710.73000000 | **10-Year:** 484.85000000 | **30-Year:** 294.44000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000248219 | 0.27%                | 0.79%                | 1.18%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6007.93                | $685549.91                                 |
| Month 2  | $51352.66                | $274598.97                                 |
| Month 3  | $-95851.40               | $1055905.82                                |

**Designated Index Information**

- **Index Name:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

- **Index Identifier:** Fund`s Designated Reference Portfolio is the Fund`s Securities Portfolio

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| PRET LLC                                                                  | PRET LLC, Series 2024-NPL4, Class A1                                                    | CUSIP: 74143RAA1<br>LEI: 254900OXVJK5CT5B2O86 | Long             | ABS-MBS          | CORP              | US        |      88194 | PA      | $88331.63     | 0.12%             | 2054-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-32, Class FA     | CUSIP: 3136BVWT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146946 | PA      | $146887.32    | 0.20%             | 2055-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     609000 | PA      | $-1359.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Atos SE                                                                   | Atos SE                                                                                 | CUSIP: N/A<br>LEI: 5493001EZOOA66PTBR68       | Long             | SN               | CORP              | FR        |      35000 | PA      | $45979.19     | 0.06%             | 2029-12-18      | Variable      | 9.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2023-XL3, Class A                                  | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89501 | PA      | $89752.09     | 0.12%             | 2040-12-09      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   13400111 | PA      | $37.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     165890 | PA      | $14.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Kronos International, Inc.                                                | Kronos International, Inc.                                                              | CUSIP: N/A<br>LEI: 529900NTVDLUSYY9F493       | Long             | DBT              | CORP              | US        |     100000 | PA      | $126857.35    | 0.17%             | 2029-03-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Energizer Holdings, Inc.                                                  | Energizer Holdings, Inc.                                                                | CUSIP: 29272WAD1<br>LEI: 5493000D6NN0V57UME20 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94581.45     | 0.13%             | 2029-03-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Stena International SA                                                    | Stena International SA                                                                  | CUSIP: 85858EAD5<br>LEI: 213800A4LTGG4W55QP46 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $200619.60    | 0.27%             | 2031-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-PALM, Class A                                 | CUSIP: 05612UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86538 | PA      | $86538.46     | 0.12%             | 2037-06-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Bayer AG                                                                  | Bayer AG                                                                                | CUSIP: N/A<br>LEI: 549300J4U55H3WP1XT59       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $118376.91    | 0.16%             | 2082-03-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-44.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                         | CIFC Funding 2018-III Ltd., Series 2018-3A, Class A                                     | CUSIP: 12551YAA1<br>LEI: 635400OB7ZCBUWDQNV87 | Long             | ABS-CBDO         | CORP              | KY        |     155877 | PA      | $156088.55    | 0.21%             | 2031-07-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                     | Delta Air Lines, Inc.                                                                   | CUSIP: 247361ZT8<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95548.84     | 0.13%             | 2029-10-28      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Helios Software Holdings, Inc.                                            | Helios Software Holdings, Inc.                                                          | CUSIP: N/A<br>LEI: 2138002XO5EAYFHPPT53       | Long             | DBT              | CORP              | US        |     100000 | PA      | $121858.93    | 0.17%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Clydesdale Acquisition Holdings, Inc.                                     | Clydesdale Acquisition Holdings, Inc.                                                   | CUSIP: 18972EAB1<br>LEI: 254900QKSDYFR3K5YD98 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102282.40    | 0.14%             | 2030-04-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                            | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     104000 | PA      | $71668.74     | 0.10%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class A2B                              | CUSIP: 78448YAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      77559 | PA      | $71357.83     | 0.10%             | 2053-01-15      | Fixed         | 1.59%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2024-NQM1, Class A1                         | CUSIP: 64828DAA5<br>LEI: 213800TFYSB4XLW7QW74 | Long             | ABS-MBS          | CORP              | US        |      70435 | PA      | $70813.40     | 0.10%             | 2064-03-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                              | CUSIP: 00206RMZ2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |      32000 | PA      | $32656.54     | 0.04%             | 2056-08-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| INEOS Quattro Finance 2 plc                                               | INEOS Quattro Finance 2 plc                                                             | CUSIP: N/A<br>LEI: 213800V48W4Y5MT5Q131       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $117349.73    | 0.16%             | 2029-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Nexstar Media, Inc.                                                       | Nexstar Media, Inc.                                                                     | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99766.06     | 0.14%             | 2027-07-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1100.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nestle Finance International Ltd.                                         | Nestle Finance International Ltd.                                                       | CUSIP: N/A<br>LEI: 0KLLMNHINTFDRMU6DI05       | Long             | DBT              | CORP              | LU        |      33000 | PA      | $40293.37     | 0.06%             | 2030-01-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1413.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     456865 | PA      | $-31.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Community Health Systems, Inc.                                            | Community Health Systems, Inc.                                                          | CUSIP: 12543DBN9<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105986.70    | 0.14%             | 2032-01-15      | Fixed         | 10.88%                | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                        | CUSIP: 1248EPBX0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $99078.51     | 0.14%             | 2028-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EDvestinU Private Education Loan Issue No. LLC                            | EDvestinU Private Education Loan Issue No. LLC, Series 2021-A, Class A                  | CUSIP: 28166LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      54676 | PA      | $50201.41     | 0.07%             | 2045-11-25      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-194.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                       | CUSIP: N/A<br>LEI: PBLD0EJDB5FWOLXP3B76       | Long             | DBT              | CORP              | US        |     200000 | PA      | $235536.97    | 0.32%             | 2028-07-22      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Bausch + Lomb Corp.                                                       | Bausch + Lomb Corp.                                                                     | CUSIP: 071705AA5<br>LEI: 549300NY6OZM39SO6475 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $104375.00    | 0.14%             | 2028-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     200641 | PA      | $-30.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    4000000 | PA      | $-16120.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Clarios Global LP                                                         | Clarios Global LP                                                                       | CUSIP: 18060TAC9<br>LEI: 549300474L1ZLXZY2P98 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102645.30    | 0.14%             | 2028-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                               | Republic of Philippines                                                                 | CUSIP: N/A<br>LEI: 529900RAHBALMYIJ3T08       | Long             | DBT              | NUSS              | PH        |    1995000 | PA      | $35644.98     | 0.05%             | 2029-02-28      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $259.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hanesbrands, Inc.                                                         | Hanesbrands, Inc.                                                                       | CUSIP: 410345AQ5<br>LEI: GX5LWVWZLL5S4W1L2F20 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105872.50    | 0.14%             | 2031-02-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                               | CUSIP: 404119CL1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      45000 | PA      | $36162.80     | 0.05%             | 2052-03-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Performance Food Group, Inc.                                              | Performance Food Group, Inc.                                                            | CUSIP: 71376LAE0<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96424.89     | 0.13%             | 2029-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Xerox Holdings Corp.                                                      | Xerox Holdings Corp.                                                                    | CUSIP: 98421MAC0<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |     100000 | PA      | $75500.33     | 0.10%             | 2029-11-30      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXIX Ltd.                                     | Benefit Street Partners CLO XXIX Ltd., Series 2022-29A, Class AR                        | CUSIP: 08186EAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $249750.00    | 0.34%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     719267 | PA      | $-10.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1186616 | PA      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-4, Class A1                                     | CUSIP: 92539TAA1<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |      70509 | PA      | $70565.56     | 0.10%             | 2068-05-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Mobico Group plc                                                          | Mobico Group plc                                                                        | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $82564.90     | 0.11%             | 2025-11-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      83790 | PA      | $-5.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     497096 | PA      | $-2.65        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-330.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Organon & Co.                                                             | Organon & Co.                                                                           | CUSIP: N/A<br>LEI: 549300AMCKY57OK2CO56       | Long             | DBT              | CORP              | US        |     100000 | PA      | $114864.85    | 0.16%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2023-FUN, Class A                            | CUSIP: 36267CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100250.00    | 0.14%             | 2028-03-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Bertrand Franchise Finance SAS                                            | Bertrand Franchise Finance SAS                                                          | CUSIP: N/A<br>LEI: 969500HGPPEHSTNJFW57       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $115439.10    | 0.16%             | 2030-07-18      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2024-NPL1, Class A1                                                   | CUSIP: 58004YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92231 | PA      | $92478.06     | 0.13%             | 2054-09-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| OI European Group BV                                                      | OI European Group BV                                                                    | CUSIP: N/A<br>LEI: 72450053F5WRDY8CDZ66       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $121623.34    | 0.17%             | 2028-05-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                       | CUSIP: 26441CCD5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     100000 | PA      | $119584.37    | 0.16%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3804.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   18004115 | PA      | $-282.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Match Group Holdings II LLC                                               | Match Group Holdings II LLC                                                             | CUSIP: 57665RAG1<br>LEI: 5493003RFFE030RC9167 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99451.43     | 0.14%             | 2027-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     132529 | PA      | $348.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1              | CUSIP: 617932AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     166762 | PA      | $167790.43    | 0.23%             | 2069-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Worldline SA                                                              | Worldline SA                                                                            | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $103317.86    | 0.14%             | 2029-11-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     108984 | PA      | $-60.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banijay Entertainment SAS                                                 | Banijay Entertainment SAS                                                               | CUSIP: N/A<br>LEI: 969500CE0IE2EZ5VBG13       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $123107.55    | 0.17%             | 2029-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2020-2, Class A2                                       | CUSIP: 03464XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81611 | PA      | $79194.00     | 0.11%             | 2065-01-26      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-20.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Volkswagen Financial Services AG                                          | Volkswagen Financial Services AG                                                        | CUSIP: N/A<br>LEI: 529900SSGT49ZZSWYE62       | Long             | DBT              | CORP              | DE        |      32000 | PA      | $36283.96     | 0.05%             | 2027-02-12      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Opal Bidco SAS                                                            | Opal Bidco SAS                                                                          | CUSIP: N/A<br>LEI: 969500R96XT7XY2UJ564       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $120150.90    | 0.16%             | 2032-03-31      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-C, Class A2                               | CUSIP: 19424WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     116603 | PA      | $105797.68    | 0.14%             | 2055-07-26      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $75.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Whitebox CLO II Ltd.                                                      | Whitebox CLO II Ltd., Series 2020-2A, Class A1R2                                        | CUSIP: 96466CAW8<br>LEI: 549300C89ZJ5IWOT1F21 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250968.55    | 0.34%             | 2037-10-24      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Enterprise Fleet Financing LLC                                            | Enterprise Fleet Financing LLC, Series 2022-3, Class A3                                 | CUSIP: 29374FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     132000 | PA      | $131841.68    | 0.18%             | 2029-07-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     132544 | PA      | $-40.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Parkland Corp.                                                            | Parkland Corp.                                                                          | CUSIP: 70137WAL2<br>LEI: 549300UY5C6HUV0XLS53 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $95756.13     | 0.13%             | 2030-05-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Venture Global Calcasieu Pass LLC                                         | Venture Global Calcasieu Pass LLC                                                       | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87447.90     | 0.12%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                       | Iron Mountain, Inc.                                                                     | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95279.04     | 0.13%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                    | Mauser Packaging Solutions Holding Co.                                                  | CUSIP: 57763RAD9<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101639.20    | 0.14%             | 2027-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| OHA Loan Funding Ltd.                                                     | OHA Loan Funding Ltd., Series 2015-1A, Class AR3                                        | CUSIP: 67109BDC5<br>LEI: 25490072LQI0R2J4XC93 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250659.50    | 0.34%             | 2037-01-19      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-147.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bund                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -2 | NC      | $2164.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GGAM Finance Ltd.                                                         | GGAM Finance Ltd.                                                                       | CUSIP: 36170JAD8<br>LEI: 254900X2QXEN0FVXRF65 | Long             | DBT              | CORP              | KY        |     100000 | PA      | $103382.80    | 0.14%             | 2029-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     573000 | PA      | $-539.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     343000 | PA      | $-258.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Almaviva-The Italian Innovation Co. SpA                                   | Almaviva-The Italian Innovation Co. SpA, Series JUN                                     | CUSIP: N/A<br>LEI: 815600A862DA4DD9E211       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $117795.00    | 0.16%             | 2030-10-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                        | Republic of Poland                                                                      | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     178000 | PA      | $47785.20     | 0.07%             | 2034-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-AIRC, Class A                                 | CUSIP: 12433CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359166 | PA      | $360513.09    | 0.49%             | 2039-08-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-75, Class FC     | CUSIP: 3136BS5D3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149964 | PA      | $149019.57    | 0.20%             | 2054-10-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7004115 | PA      | $109.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -2 | NC      | $-7149.55     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-LBA, Class AV                                                     | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79081 | PA      | $79031.55     | 0.11%             | 2036-02-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class A                                                    | CUSIP: 05493XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90000 | PA      | $93171.33     | 0.13%             | 2041-12-10      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Whirlpool Corp.                                                           | Whirlpool Corp.                                                                         | CUSIP: 963320BD7<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |       6000 | PA      | $6052.73      | 0.01%             | 2030-06-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $116.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUB International Ltd.                                                    | HUB International Ltd.                                                                  | CUSIP: 44332PAG6<br>LEI: 549300JQT6ATTUNS5E06 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100013.50    | 0.14%             | 2029-12-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fressnapf Holding SE                                                      | Fressnapf Holding SE                                                                    | CUSIP: N/A<br>LEI: 529900NLSO3VLFW8JQ35       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $118989.91    | 0.16%             | 2031-10-31      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-38.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     393646 | PA      | $11.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     456865 | PA      | $-112.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     354531 | PA      | $-170.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  164263535 | PA      | $651.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                               | Allied Universal Holdco LLC                                                             | CUSIP: N/A<br>LEI: 98450038B4549046D794       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $131587.03    | 0.18%             | 2028-06-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2-Year Note                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         50 | NC      | $36839.26     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-B, Class A1B                              | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      88269 | PA      | $89982.15     | 0.12%             | 2056-10-16      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4246.86      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Cloud Software Group, Inc.                                                | Cloud Software Group, Inc.                                                              | CUSIP: 88632QAE3<br>LEI: 04EEB871XLHVNY4RZJ65 | Long             | DBT              | CORP              | US        |     378000 | PA      | $381520.31    | 0.52%             | 2029-03-31      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| McGraw-Hill Education, Inc.                                               | McGraw-Hill Education, Inc.                                                             | CUSIP: 57767XAA8<br>LEI: 254900U6YJ9QZ4IQOR26 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100602.40    | 0.14%             | 2028-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-VAMF, Class A                                                     | CUSIP: 05609TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $124921.88    | 0.17%             | 2039-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                                                | BINOM Securitization Trust, Series 2021-INV1, Class A1                                  | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51443 | PA      | $46448.88     | 0.06%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2023-NQM3, Class A1                                                   | CUSIP: 67117PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      85839 | PA      | $85928.14     | 0.12%             | 2063-02-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Refi Loan Trust                                 | Navient Private Education Refi Loan Trust, Series 2021-A, Class A                       | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     138842 | PA      | $126539.51    | 0.17%             | 2069-05-15      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-614.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                     | Delta Air Lines, Inc.                                                                   | CUSIP: 247361A24<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      74000 | PA      | $74422.69     | 0.10%             | 2028-07-10      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2021-3, Class A1                                       | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114709 | PA      | $95633.16     | 0.13%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| SGL Group ApS                                                             | SGL Group ApS                                                                           | CUSIP: N/A<br>LEI: 636700YQKGLXCPPUYE74       | Long             | DBT              | CORP              | DK        |     100000 | PA      | $118009.62    | 0.16%             | 2030-04-22      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     270746 | PA      | $-142.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                        | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $96880.24     | 0.13%             | 2030-03-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2024-NQM15, Class A1                                                  | CUSIP: 67449DAA7<br>LEI: 254900YXEB756F6RCA13 | Long             | ABS-MBS          | CORP              | US        |      86242 | PA      | $86081.33     | 0.12%             | 2064-10-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-86.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                   | CUSIP: N/A<br>LEI: 9DJT3UXIJIZJI4WXO774       | Long             | DBT              | CORP              | US        |     200000 | PA      | $234606.44    | 0.32%             | 2027-05-04      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                        | Republic of Poland                                                                      | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     326000 | PA      | $90004.89     | 0.12%             | 2029-07-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   14916088 | PA      | $-0.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCG Mortgage Trust                                                        | SCG Mortgage Trust, Series 2024-MSP, Class A                                            | CUSIP: 78436EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100062.50    | 0.14%             | 2041-04-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                        | CUSIP: 92553PBC5<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94124.50     | 0.13%             | 2057-02-28      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                      | Clear Channel Outdoor Holdings, Inc.                                                    | CUSIP: 18453HAA4<br>LEI: 254900XBEE6V1ENYS150 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98862.40     | 0.14%             | 2027-08-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ardonagh Finco Ltd.                                                       | Ardonagh Finco Ltd.                                                                     | CUSIP: N/A<br>LEI: 254900D2T84O1K03BA28       | Long             | DBT              | CORP              | JE        |     100000 | PA      | $121039.52    | 0.17%             | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $33.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3071.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2322.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $8.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2904622 | PA      | $-48.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCW CLO Ltd.                                                              | TCW CLO Ltd., Series 2019-2A, Class A1R2                                                | CUSIP: 87242BBG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250424.68    | 0.34%             | 2038-01-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2022-NQM5, Class A1                         | CUSIP: 64831VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66928 | PA      | $66750.40     | 0.09%             | 2052-11-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     501798 | PA      | $-267.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banque Federative du Credit Mutuel SA                                     | Banque Federative du Credit Mutuel SA                                                   | CUSIP: N/A<br>LEI: VBHFXSYT7OG62HNT8T76       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $119317.28    | 0.16%             | 2035-01-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| AES Corp. (The)                                                           | AES Corp. (The)                                                                         | CUSIP: 00130HCK9<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102959.99    | 0.14%             | 2055-01-15      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-128.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class A1                                          | CUSIP: 22758NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132367 | PA      | $132996.47    | 0.18%             | 2070-02-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      69494 | PA      | $10.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   11295380 | PA      | $1.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-17.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCI Banque SA                                                             | RCI Banque SA                                                                           | CUSIP: N/A<br>LEI: 96950001WI712W7PQG45       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $123891.98    | 0.17%             | 2034-10-09      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2022-NQM9, Class A3                                                   | CUSIP: 67118LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70550 | PA      | $70440.80     | 0.10%             | 2062-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| DENTSPLY SIRONA, Inc.                                                     | DENTSPLY SIRONA, Inc.                                                                   | CUSIP: 24906PAB5<br>LEI: 9NHEHR1SOZCYXDO8HO28 | Long             | DBT              | CORP              | US        |      13000 | PA      | $13071.72     | 0.02%             | 2055-09-12      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Crescent Energy Finance LLC                                               | Crescent Energy Finance LLC                                                             | CUSIP: 45344LAE3<br>LEI: 54930061FUL6DBLFUW14 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95580.56     | 0.13%             | 2033-01-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Barclays Mortgage Loan Trust                                              | Barclays Mortgage Loan Trust, Series 2024-NQM1, Class A1                                | CUSIP: 06745AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66819 | PA      | $67059.70     | 0.09%             | 2064-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4882.75     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| IHO Verwaltungs GmbH                                                      | IHO Verwaltungs GmbH                                                                    | CUSIP: N/A<br>LEI: 529900JL0HDVGZMUJF32       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $123307.72    | 0.17%             | 2028-05-15      | Variable      | 8.75%                 | No            |                  2 | On Loan: No      |
| Eutelsat SA                                                               | Eutelsat SA                                                                             | CUSIP: N/A<br>LEI: 549300MCOOY1V7P2PG30       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $126977.12    | 0.17%             | 2029-04-13      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| GoodLeap Home Improvement Solutions Trust                                 | GoodLeap Home Improvement Solutions Trust, Series 2025-1A, Class A                      | CUSIP: 38237EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      45345 | PA      | $45909.07     | 0.06%             | 2049-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM1, Class A1                                                  | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90935 | PA      | $91677.49     | 0.13%             | 2069-11-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                              | ING Groep NV                                                                            | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $119845.46    | 0.16%             | 2030-09-03      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| United Kingdom of Great Britain and Northern Ireland                      | U.K. Treasury Bonds                                                                     | CUSIP: N/A<br>LEI: ECTRVYYCEF89VWYS6K36       | Long             | DBT              | NUSS              | GB        |     121000 | PA      | $169046.87    | 0.23%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-901.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     276598 | PA      | $-102.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2024-H5, Class A1                                          | CUSIP: 22757HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168843 | PA      | $169755.56    | 0.23%             | 2069-08-26      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $18.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands II BV                             | Teva Pharmaceutical Finance Netherlands II BV                                           | CUSIP: N/A<br>LEI: 549300HSQCIKJAOYIT23       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $140470.54    | 0.19%             | 2031-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1390.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2017-2A, Class A4                           | CUSIP: 64829KBW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31669 | PA      | $30558.82     | 0.04%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-863.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance 2 BV                                              | Wintershall Dea Finance 2 BV                                                            | CUSIP: N/A<br>LEI: 529900DV88FUQZSVVL48       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $120298.14    | 0.16%             | 2030-05-08      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 5 Ltd.                                                 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class B1R                                    | CUSIP: 67113GAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250588.18    | 0.34%             | 2037-10-18      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2927.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A                                 | CUSIP: 04963XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $50983.93     | 0.07%             | 2029-11-10      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Cornerstone Building Brands, Inc.                                         | Cornerstone Building Brands, Inc.                                                       | CUSIP: 21925DAB5<br>LEI: 549300IW41QEWQ6T0H29 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91932.11     | 0.13%             | 2029-08-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2024-NQM1, Class A1                                                  | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76003 | PA      | $76625.91     | 0.10%             | 2068-12-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-89.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co. (The)                                          | Goodyear Tire & Rubber Co. (The)                                                        | CUSIP: 382550BN0<br>LEI: 5493002BI0S2ZQUY3437 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97740.41     | 0.13%             | 2029-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                  | Venture Global LNG, Inc.                                                                | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101091.30    | 0.14%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Carval CLO VIII-C Ltd.                                                    | CarVal CLO VIII-C Ltd., Series 2022-2A, Class A1R                                       | CUSIP: 14686NAL5<br>LEI: 254900NZG2CMHKHNPU97 | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $251028.88    | 0.34%             | 2037-10-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class FB             | CUSIP: 3137HFWY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126428 | PA      | $125753.94    | 0.17%             | 2054-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     908000 | PA      | $536.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Iliad Holding SASU                                                        | Iliad Holding SASU                                                                      | CUSIP: N/A<br>LEI: 9695009PXA7OI9NXN582       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $125598.92    | 0.17%             | 2031-04-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| JW Trust                                                                  | JW Trust, Series 2024-BERY, Class A                                                     | CUSIP: 46676AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $140087.29    | 0.19%             | 2039-11-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| OEG Finance plc                                                           | OEG Finance plc                                                                         | CUSIP: N/A<br>LEI: 254900KMBHWF9UK63G44       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $123051.40    | 0.17%             | 2029-09-27      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| McAfee Corp.                                                              | McAfee Corp.                                                                            | CUSIP: 579063AB4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94438.37     | 0.13%             | 2030-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     132250 | PA      | $-750.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1400.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1741090 | PA      | $-51.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5-Year Note                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        117 | NC      | $151268.84    | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      43752 | PA      | $-10.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-91, Class FA     | CUSIP: 3136BTYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103708 | PA      | $103921.57    | 0.14%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| SDAL Trust                                                                | SDAL Trust, Series 2025-DAL, Class A                                                    | CUSIP: 78437RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     145000 | PA      | $145251.98    | 0.20%             | 2042-04-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      12882 | PA      | $-147.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tricon Residential Trust                                                  | Tricon Residential Trust, Series 2024-SFR3, Class A                                     | CUSIP: 89616YAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      99701 | PA      | $99093.11     | 0.14%             | 2041-08-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CD&R Firefly Bidco plc                                                    | CD&R Firefly Bidco plc                                                                  | CUSIP: N/A<br>LEI: 213800OAU5VX61DYZ558       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $141110.34    | 0.19%             | 2029-04-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| Adler Financing SARL                                                      | ADLER Financing SARL, Series 1.5L                                                       | CUSIP: N/A<br>LEI: 213800BAQB59IVKP7S93       | Long             | DBT              | CORP              | LU        |      16000 | PA      | $19836.68     | 0.03%             | 2029-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2024-NQM3, Class A1                             | CUSIP: 10569LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106404 | PA      | $107422.09    | 0.15%             | 2064-03-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| Methanex Corp.                                                            | Methanex Corp.                                                                          | CUSIP: 59151KAM0<br>LEI: 549300TSJHRXT9QXRD13 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $99659.45     | 0.14%             | 2027-10-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                                                | Navient Student Loan Trust, Series 2023-BA, Class A1B                                   | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      57971 | PA      | $58456.55     | 0.08%             | 2072-03-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2015-C30, Class B                         | CUSIP: 94989NBK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99382.03     | 0.14%             | 2058-09-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Betony CLO 2 Ltd.                                                         | Betony CLO 2 Ltd., Series 2018-1A, Class A1                                             | CUSIP: 08763QAA0<br>LEI: 5493000QRX4XEMRJZO43 | Long             | ABS-CBDO         | CORP              | KY        |      91419 | PA      | $91528.92     | 0.13%             | 2031-04-30      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  111219000 | PA      | $-5.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $146.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                   | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 1093000000 | PA      | $68471.32     | 0.09%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -425000 | PA      | $-632.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Panther Escrow Issuer LLC                                                 | Panther Escrow Issuer LLC                                                               | CUSIP: 69867RAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $103875.10    | 0.14%             | 2031-06-01      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-336.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $32.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -2525000 | PA      | $-5151.66     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $24.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                       | CUSIP: 26441CCD5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     100000 | PA      | $119584.37    | 0.16%             | 2031-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SAIF Securitization Trust                                                 | SAIF Securitization Trust, Series 2024-CES1, Class A1                                   | CUSIP: 78436VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155609 | PA      | $156749.15    | 0.21%             | 2054-07-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $691.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2024-H7, Class A1                                          | CUSIP: 22757CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88970 | PA      | $89221.00     | 0.12%             | 2069-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co.                                                           | Eli Lilly & Co.                                                                         | CUSIP: 532457CH9<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | DBT              | CORP              | US        |      40000 | PA      | $36340.78     | 0.05%             | 2063-02-27      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CENT Trust                                                                | CENT Trust, Series 2023-CITY, Class A                                                   | CUSIP: 12516WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100124.29    | 0.14%             | 2038-09-15      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| Worldline SA                                                              | Worldline SA                                                                            | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $102266.40    | 0.14%             | 2030-06-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class A1A                              | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     115056 | PA      | $116992.45    | 0.16%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $303.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSTL Commercial Mortgage Trust                                            | CSTL Commercial Mortgage Trust, Series 2024-GATE, Class A                               | CUSIP: 22945JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $69943.50     | 0.10%             | 2041-11-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Daimler Truck International Finance BV                                    | Daimler Truck International Finance BV                                                  | CUSIP: N/A<br>LEI: 724500G15MVL6UCWXF95       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $117855.16    | 0.16%             | 2029-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Financial Services AG                                          | Volkswagen Financial Services AG                                                        | CUSIP: N/A<br>LEI: 529900SSGT49ZZSWYE62       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $119089.94    | 0.16%             | 2027-05-19      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Unipol Assicurazioni SpA                                                  | Unipol Assicurazioni SpA                                                                | CUSIP: N/A<br>LEI: 8156005CE5E7340CCA86       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $123611.16    | 0.17%             | 2034-05-23      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Sunrise FinCo. I BV                                                       | Sunrise FinCo. I BV                                                                     | CUSIP: 90320BAA7<br>LEI: 213800MNFBDEQRS6HZ22 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $189150.00    | 0.26%             | 2031-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Motion Finco SARL                                                         | Motion Finco SARL                                                                       | CUSIP: N/A<br>LEI: 2549002L1LBQZKA7UN30       | Long             | DBT              | CORP              | LU        |     200000 | PA      | $220924.52    | 0.30%             | 2030-06-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2022-3, Class A                          | CUSIP: 92257BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70017 | PA      | $67501.48     | 0.09%             | 2052-06-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      31561 | PA      | $153878.06    | 0.21%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2016-11A, Class A1R2                                               | CUSIP: 67110DBA4<br>LEI: 254900QIJ8IQOK988683 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250423.40    | 0.34%             | 2036-04-26      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Service Corp. International                                               | Service Corp. International                                                             | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101019.80    | 0.14%             | 2032-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10432.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   44484671 | PA      | $39.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $10.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chase Home Lending Mortgage Trust                                         | Chase Home Lending Mortgage Trust, Series 2024-3, Class A4                              | CUSIP: 16159HAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73567 | PA      | $74360.73     | 0.10%             | 2055-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2427.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1209976 | PA      | $-362.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Kleopatra Finco SARL                                                      | Kleopatra Finco SARL                                                                    | CUSIP: N/A<br>LEI: 222100M6T1N8VIC8M726       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $110448.36    | 0.15%             | 2026-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BMP                                                                       | BMP, Series 2024-MF23, Class E                                                          | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $139549.82    | 0.19%             | 2041-06-15      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      94282 | PA      | $-3.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                                   | Level 3 Financing, Inc.                                                                 | CUSIP: 527298CM3<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      35000 | PA      | $35613.31     | 0.05%             | 2033-06-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2023-A, Class A2                               | CUSIP: 193938AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      80659 | PA      | $81412.27     | 0.11%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-140.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Group AG                                                              | UBS Group AG                                                                            | CUSIP: 902613BN7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     200000 | PA      | $200877.80    | 0.27%             | 2029-09-10      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-303.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1052434 | PA      | $-1.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1                         | CUSIP: 64832DAF8<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100857.34    | 0.14%             | 2065-01-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP                                                                     | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95924.11     | 0.13%             | 2029-04-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     784500 | PA      | $-3094.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     193999 | PA      | $-472.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2022-2, Class A1                             | CUSIP: 31572YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75298 | PA      | $74922.67     | 0.10%             | 2067-04-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     376000 | PA      | $30.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-545.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1065010 | PA      | $12.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-37.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class E                                 | CUSIP: 05613NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99434.26     | 0.14%             | 2041-10-15      | Floating      | 11.28%                | No            |                  2 | On Loan: No      |
| Fibercop SpA                                                              | Fibercop SpA                                                                            | CUSIP: N/A<br>LEI: 8156007022402E114A31       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $118548.89    | 0.16%             | 2030-06-30      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                        | Ellington Financial Mortgage Trust, Series 2022-3, Class A1                             | CUSIP: 31573EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75576 | PA      | $75280.52     | 0.10%             | 2067-08-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| SCIL IV LLC                                                               | SCIL IV LLC                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     100000 | PA      | $123824.62    | 0.17%             | 2028-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust                                       | GS Mortgage-Backed Securities Trust, Series 2024-RPL2, Class A1                         | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87335 | PA      | $85031.07     | 0.12%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     361489 | PA      | $-756.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          6 | NC      | $23288.68     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-205.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-11.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                        | CUSIP: 126650EH9<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103141.02    | 0.14%             | 2055-03-10      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2014-AA, Class A3                          | CUSIP: 63939CAD9<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |       2783 | PA      | $2783.53      | 0.00%             | 2031-10-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                         | CUSIP: N/A<br>LEI: 784F5XWPLTWKTBV3E584       | Long             | DBT              | CORP              | US        |      29000 | PA      | $38610.74     | 0.05%             | 2029-10-29      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $33.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1077740 | PA      | $-583.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     406024 | PA      | $-521.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     240055 | PA      | $-8.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2024-RVR, Class D                            | CUSIP: 36272JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40000 | PA      | $40077.40     | 0.05%             | 2041-08-10      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz International Finance BV                                    | Mercedes-Benz International Finance BV                                                  | CUSIP: N/A<br>LEI: 529900RUGCXMPEENHQ31       | Long             | DBT              | CORP              | NL        |      51000 | PA      | $59853.68     | 0.08%             | 2028-09-05      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2024-A, Class A1B                              | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85226 | PA      | $86044.65     | 0.12%             | 2056-03-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-12.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                  | Electricite de France SA                                                                | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | NUSS              | FR        |     200000 | PA      | $223271.69    | 0.31%             | 2030-06-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $742.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Orsted A/S                                                                | Orsted A/S                                                                              | CUSIP: N/A<br>LEI: W9NG6WMZIYEU8VEDOG48       | Long             | DBT              | NUSS              | DK        |     100000 | PA      | $101655.03    | 0.14%             | 3021-02-18      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| LoanCore 2025 Issuer LLC                                                  | LoanCore 2025 Issuer LLC, Series 2025-CRE8, Class A                                     | CUSIP: 53947FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105000 | PA      | $104668.59    | 0.14%             | 2042-08-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Regatta XXVIII Funding Ltd.                                               | Regatta XXVIII Funding Ltd., Series 2024-2A, Class A1                                   | CUSIP: 75901PAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250964.53    | 0.34%             | 2037-04-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -2042000 | PA      | $-6731.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2020-420K, Class A                          | CUSIP: 17328QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $88542.36     | 0.12%             | 2042-11-10      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Vmed O2 UK Financing I plc                                                | Vmed O2 UK Financing I plc                                                              | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $120710.43    | 0.17%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2023-2, Class A1                                       | CUSIP: 12598UAA4<br>LEI: 213800IHRVKO9R6JZ883 | Long             | ABS-MBS          | CORP              | US        |      61528 | PA      | $61983.30     | 0.08%             | 2068-07-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Frontier Communications Holdings LLC                                      | Frontier Communications Holdings LLC                                                    | CUSIP: 35908MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $201996.00    | 0.28%             | 2029-11-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                        | A&D Mortgage Trust, Series 2024-NQM5, Class A1                                          | CUSIP: 00039KAC4<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |      91229 | PA      | $91588.54     | 0.13%             | 2069-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5272817 | PA      | $1065.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1362.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1535.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-287.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Julius Baer Group Ltd.                                                    | Julius Baer Group Ltd.                                                                  | CUSIP: N/A<br>LEI: 5299007MF0604ZGJER92       | Long             | DBT              | CORP              | CH        |     200000 | PA      | $195250.00    | 0.27%             | 2026-10-08      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Vmed O2 UK Financing I plc                                                | Vmed O2 UK Financing I plc                                                              | CUSIP: N/A<br>LEI: 213800MRR46ECNGZ7L69       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $122852.18    | 0.17%             | 2031-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2024-CBM, Class A2                                    | CUSIP: 12674GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $203394.56    | 0.28%             | 2041-12-10      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| SoftBank Group Corp.                                                      | SoftBank Group Corp.                                                                    | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |     100000 | PA      | $114515.15    | 0.16%             | 2029-09-19      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Prime Security Services Borrower LLC                                      | Prime Security Services Borrower LLC                                                    | CUSIP: 74166MAC0<br>LEI: 549300O6QPZVWXV2DC15 | Long             | DBT              | CORP              | US        |      64000 | PA      | $64331.90     | 0.09%             | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2022-2A, Class A1                               | CUSIP: 69701NAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      50274 | PA      | $50289.60     | 0.07%             | 2030-10-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      59713 | PA      | $-18.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-524.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                      | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2094107 | PA      | $1885126.39   | 2.58%             | 2055-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust                            | Morgan Stanley Residential Mortgage Loan Trust, Series 2025-NQM1, Class M1              | CUSIP: 617932AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180000 | PA      | $180790.13    | 0.25%             | 2069-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                          | Bonos y Obligaciones del Estado                                                         | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     158000 | PA      | $191168.22    | 0.26%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2025-H1, Class M1                                          | CUSIP: 22758NAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $141411.55    | 0.19%             | 2070-02-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class A                             | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99627.27     | 0.14%             | 2036-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Prysmian SpA                                                              | Prysmian SpA                                                                            | CUSIP: N/A<br>LEI: 529900X0H1IO3RS1A464       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $120890.65    | 0.17%             | 2030-05-21      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Bombardier, Inc.                                                          | Bombardier, Inc.                                                                        | CUSIP: 097751CA7<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $108257.90    | 0.15%             | 2030-11-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Republic of Turkiye (The)                                                 | Republic of Turkiye (The)                                                               | CUSIP: N/A<br>LEI: 5493000PCHOG3B6S3Q85       | Long             | DBT              | NUSS              | TR        |     340000 | PA      | $7980.67      | 0.01%             | 2029-09-12      | Fixed         | 30.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      34235 | PA      | $-0.66        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2022-3, Class A1                                     | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69485 | PA      | $66442.98     | 0.09%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| USA Compression Partners LP                                               | USA Compression Partners LP                                                             | CUSIP: 91740PAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $102493.20    | 0.14%             | 2029-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Schatz                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -6 | NC      | $247.20       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| RCKT Mortgage Trust                                                       | RCKT Mortgage Trust, Series 2024-CES8, Class A1A                                        | CUSIP: 749421AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89316 | PA      | $89490.98     | 0.12%             | 2044-11-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                    | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      25000 | PA      | $25584.13     | 0.04%             | 2055-10-23      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                  | Service Properties Trust                                                                | CUSIP: 44106MAY8<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     100000 | PA      | $84090.12     | 0.12%             | 2030-02-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Worldline SA                                                              | Worldline SA                                                                            | CUSIP: N/A<br>LEI: 549300CJMQNCA0U4TS33       | Long             | DBT              | CORP              | FR        |     200000 | PA      | $206991.14    | 0.28%             | 2028-09-12      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Engineering - Ingegneria Informatica - SpA                                | Engineering - Ingegneria Informatica - SpA                                              | CUSIP: N/A<br>LEI: 81560042F5E23EE61346       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $124438.64    | 0.17%             | 2028-05-15      | Fixed         | 11.12%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  138740243 | PA      | $183.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDP SA                                                                    | EDP SA                                                                                  | CUSIP: N/A<br>LEI: 529900CLC3WDMGI9VH80       | Long             | DBT              | CORP              | PT        |     100000 | PA      | $117754.36    | 0.16%             | 2080-07-20      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4875.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      86916 | PA      | $23.88        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-BA, Class AFL                                    | CUSIP: 64034QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      69084 | PA      | $68722.63     | 0.09%             | 2062-04-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Mortgage Trust                                  | Fontainebleau Miami Beach Mortgage Trust, Series 2024-FBLU, Class A                     | CUSIP: 34461WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $139999.97    | 0.19%             | 2039-12-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Allied Universal Holdco LLC                                               | Allied Universal Holdco LLC                                                             | CUSIP: 019576AD9<br>LEI: 98450038B4549046D794 | Long             | DBT              | CORP              | US        |     100000 | PA      | $104469.20    | 0.14%             | 2031-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Euro-Bobl                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -2 | NC      | $137.49       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-8, Class A1                                     | CUSIP: 92540PAA6<br>LEI: 213800RZ8QGNZ38DSP77 | Long             | ABS-MBS          | CORP              | US        |      88849 | PA      | $88795.70     | 0.12%             | 2069-10-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                                  | Cooperatieve Rabobank UA                                                                | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $114612.65    | 0.16%             | 2027-12-01      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRSIBOXX                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      92000 | PA      | $1463.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     230732 | PA      | $387.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GFL Environmental, Inc.                                                   | GFL Environmental, Inc.                                                                 | CUSIP: 36168QAP9<br>LEI: 549300FYK4MBXWIVZU26 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $97103.76     | 0.13%             | 2029-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Vodafone Group plc                                                        | Vodafone Group plc                                                                      | CUSIP: 92857WBW9<br>LEI: 213800TB53ELEUKM7Q61 | Long             | DBT              | CORP              | GB        |       7000 | PA      | $6397.41      | 0.01%             | 2081-06-04      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO III Ltd.                                                     | TRESTLES CLO III Ltd., Series 2020-3A, Class ER                                         | CUSIP: 89532RAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $253211.40    | 0.35%             | 2037-10-20      | Floating      | 10.37%                | No            |                  2 | On Loan: No      |
| PRPM Trust                                                                | PRPM Trust, Series 2025-NQM1, Class M1A                                                 | CUSIP: 74391EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101609.34    | 0.14%             | 2069-11-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| Mauser Packaging Solutions Holding Co.                                    | Mauser Packaging Solutions Holding Co.                                                  | CUSIP: 57763RAC1<br>LEI: 549300DNGHXL0OMHW304 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99298.85     | 0.14%             | 2027-04-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Citycon Treasury BV                                                       | Citycon Treasury BV                                                                     | CUSIP: N/A<br>LEI: 549300WAE0CGQ0IE1H63       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $110821.06    | 0.15%             | 2028-03-12      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Delta Air Lines, Inc.                                                     | Delta Air Lines, Inc.                                                                   | CUSIP: 247361A32<br>LEI: Q2CCMS6R0AS67HJMBN42 | Long             | DBT              | CORP              | US        |      59000 | PA      | $59378.72     | 0.08%             | 2030-07-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-517.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                            | CUSIP: 68389XCU7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27424.09     | 0.04%             | 2054-09-27      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-126.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -454000 | PA      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federation of Malaysia                                                    | Malaysia Government Bond                                                                | CUSIP: N/A<br>LEI: 254900GSIL471JOBYY43       | Long             | DBT              | NUSS              | MY        |     219000 | PA      | $53273.62     | 0.07%             | 2034-07-05      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-590.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2024-NQM4, Class A1                                                   | CUSIP: 67118TAA2<br>LEI: 254900LSNFNEGAD7J679 | Long             | ABS-MBS          | CORP              | US        |      72148 | PA      | $72642.28     | 0.10%             | 2064-01-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $282.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                                               | PRKCM Trust, Series 2023-AFC1, Class A1                                                 | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113744 | PA      | $113971.12    | 0.16%             | 2058-02-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Charles River Laboratories International, Inc.                            | Charles River Laboratories International, Inc.                                          | CUSIP: 159864AJ6<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91629.33     | 0.13%             | 2031-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4006.53     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2469.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 Month SOFR Interest Futures                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -7 | NC      | $-4479.09     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EMRLD Borrower LP                                                         | EMRLD Borrower LP                                                                       | CUSIP: N/A<br>LEI: 5493000GJYE7GAQCUC61       | Long             | DBT              | CORP              | US        |     100000 | PA      | $123730.08    | 0.17%             | 2030-12-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1078.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-483.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2.66        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      30837 | PA      | $62.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   16817815 | PA      | $20.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-150.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                        | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99452.63     | 0.14%             | 2029-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2024-NQM11, Class A1                                                  | CUSIP: 67119EAA4<br>LEI: 254900F5LT8CA1U6PK21 | Long             | ABS-MBS          | CORP              | US        |      78042 | PA      | $78460.82     | 0.11%             | 2064-06-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Traton Finance Luxembourg SA                                              | Traton Finance Luxembourg SA                                                            | CUSIP: N/A<br>LEI: 529900BRKIE6LKIEXD84       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $118164.39    | 0.16%             | 2026-01-21      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-625.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     310045 | PA      | $317.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     822373 | PA      | $-35.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                  | CUSIP: 88033GDR8<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96800.02     | 0.13%             | 2030-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource, Inc.                                                | Builders FirstSource, Inc.                                                              | CUSIP: 12008RAR8<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102776.80    | 0.14%             | 2032-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                      | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     365646 | PA      | $349711.69    | 0.48%             | 2055-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FMG Resources August 2006 Pty. Ltd.                                       | FMG Resources August 2006 Pty. Ltd.                                                     | CUSIP: 30251GBE6<br>LEI: 549300EFD6S2NFE9D745 | Long             | DBT              | CORP              | AU        |     100000 | PA      | $101717.60    | 0.14%             | 2032-04-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      11776 | PA      | $87.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Telefonica Europe BV                                                      | Telefonica Europe BV                                                                    | CUSIP: N/A<br>LEI: 7245007FZS0M65WUGP67       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $126158.45    | 0.17%             | 2030-02-03      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      23690 | PA      | $148.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES1                                                                     | ARES1, Series 2024-IND2, Class A                                                        | CUSIP: 04021EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100093.54    | 0.14%             | 2034-10-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Honeywell International, Inc.                                             | Honeywell International, Inc.                                                           | CUSIP: N/A<br>LEI: ISRPG12PN4EIEOEMW547       | Long             | DBT              | CORP              | US        |     200000 | PA      | $241618.98    | 0.33%             | 2032-05-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PECO Energy Co.                                                           | PECO Energy Co.                                                                         | CUSIP: 693304BC0<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |      58000 | PA      | $36524.90     | 0.05%             | 2051-09-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $390.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Apidos CLO XXII                                                           | Apidos CLO XXII, Series 2015-22A, Class A1R                                             | CUSIP: 03765XAG1<br>LEI: 5493003SQW0Q40KVFQ19 | Long             | ABS-CBDO         | CORP              | KY        |      58011 | PA      | $58008.72     | 0.08%             | 2031-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                        | A&D Mortgage Trust, Series 2024-NQM4, Class A1                                          | CUSIP: 002939AC0<br>LEI: 98450000E04EA82B8915 | Long             | ABS-MBS          | CORP              | US        |      90018 | PA      | $90186.77     | 0.12%             | 2069-08-25      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5480, Class FA             | CUSIP: 3137HHKD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78483 | PA      | $78934.35     | 0.11%             | 2054-03-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-55.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2962648 | PA      | $1458.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7045326 | PA      | $3.27         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dynamo Newco II GmbH                                                      | Dynamo Newco II GmbH                                                                    | CUSIP: N/A<br>LEI: 391200FDSPYB8FKV7F97       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $120741.50    | 0.17%             | 2031-10-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class APT1                             | CUSIP: 83208AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      44590 | PA      | $40735.72     | 0.06%             | 2053-01-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| Lune Holdings SARL                                                        | Lune Holdings SARL                                                                      | CUSIP: N/A<br>LEI: 54930003WQ56T0558M33       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $47346.20     | 0.06%             | 2028-11-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                             | Federative Republic of Brazil                                                           | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | STIV             | NUSS              | BR        |        262 | PA      | $44898.56     | 0.06%             | 2026-01-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     106916 | PA      | $-29.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class B                               | CUSIP: 68269HAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     125000 | PA      | $129037.78    | 0.18%             | 2036-09-15      | Fixed         | 6.17%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5505, Class FB             | CUSIP: 3137HJ6X0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54495 | PA      | $54820.77     | 0.07%             | 2055-02-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| HILT Commercial Mortgage Trust                                            | HILT Commercial Mortgage Trust, Series 2024-ORL, Class A                                | CUSIP: 403956AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $140087.50    | 0.19%             | 2037-05-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-39.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2751000 | PA      | $-75.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $23.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2024-INV4, Class A2                                                  | CUSIP: 367919AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91110 | PA      | $90547.70     | 0.12%             | 2054-12-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Caesars Entertainment, Inc.                                               | Caesars Entertainment, Inc.                                                             | CUSIP: 12769GAC4<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102611.58    | 0.14%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2021-2, Class A                              | CUSIP: 75907UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $95194.60     | 0.13%             | 2033-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-981.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5386, Class FD             | CUSIP: 3137HBXV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23592 | PA      | $23669.91     | 0.03%             | 2054-03-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                 | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      20104 | PA      | $106937.06    | 0.15%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1273.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      31459 | PA      | $-29.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aon Global Ltd.                                                           | Aon Global Ltd.                                                                         | CUSIP: 00185AAG9<br>LEI: VVT2B79I2Z4U3R6BY589 | Long             | DBT              | CORP              | GB        |      41000 | PA      | $35572.36     | 0.05%             | 2044-06-14      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    5250000 | PA      | $-130578.43   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                            | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |      42000 | PA      | $35599.36     | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Heathrow Finance plc                                                      | Heathrow Finance plc                                                                    | CUSIP: N/A<br>LEI: 549300F740QSGMPHQJ60       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $126274.91    | 0.17%             | 2029-09-01      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A1                         | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10018 | PA      | $9556.60      | 0.01%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-234.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-59.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     358325 | PA      | $-195.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Sealed Air Corp.                                                          | Sealed Air Corp.                                                                        | CUSIP: 812127AA6<br>LEI: Q0M0CZB4YN6JZ65WXI09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101466.20    | 0.14%             | 2028-02-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2544.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mobico Group plc                                                          | Mobico Group plc                                                                        | CUSIP: N/A<br>LEI: 213800A8IQEMY8PA5X34       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $95369.78     | 0.13%             | 2031-09-26      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      73568 | PA      | $-2.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                                             | Freedom Mortgage Holdings LLC                                                           | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103868.00    | 0.14%             | 2029-02-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1511161 | PA      | $22.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     400000 | PA      | $7854.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-27.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    6221889 | PA      | $345420.47    | 0.47%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Volkswagen Financial Services AG                                          | Volkswagen Financial Services AG                                                        | CUSIP: N/A<br>LEI: 529900SSGT49ZZSWYE62       | Long             | DBT              | CORP              | DE        |      35000 | PA      | $41826.17     | 0.06%             | 2026-09-10      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-310.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc.                                                                         | CUSIP: 893647BR7<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102114.00    | 0.14%             | 2028-08-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $99.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avantor Funding, Inc.                                                     | Avantor Funding, Inc.                                                                   | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98195.91     | 0.13%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  403300000 | PA      | $84988.92     | 0.12%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $127.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC                                            | ELFI Graduate Loan Program LLC, Series 2024-A, Class A                                  | CUSIP: 28627LAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      79981 | PA      | $81184.83     | 0.11%             | 2049-08-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GS Finance Corp.                                                          | GS Finance Corp.                                                                        | CUSIP: 40058GUK5<br>LEI: 549300FR80KBVO6DRL61 | Long             | SN               | CORP              | US        |     170000 | PA      | $172876.40    | 0.24%             | 2030-02-14      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1132.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lottomatica Group SpA                                                     | Lottomatica Group SpA                                                                   | CUSIP: N/A<br>LEI: 549300R72LKEGT4EX026       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $122581.29    | 0.17%             | 2030-06-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-383.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-XL5, Class A                                  | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97135 | PA      | $97226.21     | 0.13%             | 2041-03-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| Czech Republic                                                            | Czech Republic                                                                          | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    1060000 | PA      | $51956.81     | 0.07%             | 2032-11-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                   | BPCE SA                                                                                 | CUSIP: N/A<br>LEI: 9695005MSX1OYEMGDF46       | Long             | DBT              | CORP              | FR        |     200000 | PA      | $239738.86    | 0.33%             | 2034-01-20      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     945684 | PA      | $0.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2018-C, Class A2A                              | CUSIP: 78449QAB3<br>LEI: 549300V1P5RKG8RJI005 | Long             | ABS-O            | CORP              | US        |      36171 | PA      | $35708.52     | 0.05%             | 2035-11-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      63984 | PA      | $-3.58        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                      | Meta Platforms, Inc.                                                                    | CUSIP: 30303M8V7<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      50000 | PA      | $48762.07     | 0.07%             | 2054-08-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1020.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-A, Class A1B                              | CUSIP: 78450QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      76535 | PA      | $77050.08     | 0.11%             | 2053-01-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Meta Platforms, Inc.                                                      | Meta Platforms, Inc.                                                                    | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |      42000 | PA      | $35410.51     | 0.05%             | 2052-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2023-NQM1, Class A1                             | CUSIP: 10568MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68411 | PA      | $68418.62     | 0.09%             | 2063-01-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                                           | Nissan Motor Acceptance Co. LLC                                                         | CUSIP: 65480CAC9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95365.91     | 0.13%             | 2026-09-16      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| MHP                                                                       | MHP, Series 2021-STOR, Class A                                                          | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $125000.00    | 0.17%             | 2038-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                   | CUSIP: 01309QAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $102382.86    | 0.14%             | 2028-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2023-1, Class A1                                       | CUSIP: 19688NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66436 | PA      | $66563.27     | 0.09%             | 2068-04-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| Bracken MidCo1 plc                                                        | Bracken MidCo1 plc                                                                      | CUSIP: N/A<br>LEI: 213800AFGHKES7J58805       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $135778.19    | 0.19%             | 2027-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-38, Class FE     | CUSIP: 3136BR4Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141196 | PA      | $140792.94    | 0.19%             | 2054-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands III BV                            | Teva Pharmaceutical Finance Netherlands III BV                                          | CUSIP: 88167AAE1<br>LEI: 5493004T21MOAFINJP35 | Long             | DBT              | CORP              | NL        |      40000 | PA      | $39112.40     | 0.05%             | 2026-10-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Olin Corp.                                                                | Olin Corp.                                                                              | CUSIP: 680665AK2<br>LEI: 549300GKK294V7W57P06 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96503.64     | 0.13%             | 2030-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Darling Global Finance BV                                                 | Darling Global Finance BV                                                               | CUSIP: N/A<br>LEI: 724500R2BQXOR6YG2Y67       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $119218.86    | 0.16%             | 2032-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $105.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       4963 | PA      | $-12.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $962.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5470, Class AF             | CUSIP: 3137HHC90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198421 | PA      | $197074.04    | 0.27%             | 2054-11-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-INV1, Class A1                                  | CUSIP: 92540FAA8<br>LEI: 9845000FE754F4AE7E70 | Long             | ABS-MBS          | CORP              | US        |      82426 | PA      | $83177.39     | 0.11%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-5231.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-51, Class TF  | CUSIP: 38384KUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26126 | PA      | $26082.12     | 0.04%             | 2054-03-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                                      | FS Rialto Issuer LLC, Series 2025-FL10, Class A                                         | CUSIP: 30340KAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     100000 | PA      | $99780.51     | 0.14%             | 2042-08-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-25.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cooperatieve Rabobank UA                                                  | Cooperatieve Rabobank UA                                                                | CUSIP: N/A<br>LEI: DG3RU1DBUFHT4ZF9WN62       | Long             | DBT              | CORP              | NL        |     200000 | PA      | $243716.91    | 0.33%             | 2028-01-27      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| SoftBank Group Corp.                                                      | SoftBank Group Corp.                                                                    | CUSIP: N/A<br>LEI: 5493003BZYYYCDIO0R13       | Long             | DBT              | CORP              | JP        |     100000 | PA      | $106898.96    | 0.15%             | 2032-07-06      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Volkswagen Leasing GmbH                                                   | Volkswagen Leasing GmbH                                                                 | CUSIP: N/A<br>LEI: 5299004GLEUX88BSNB74       | Long             | DBT              | CORP              | DE        |     144000 | PA      | $168204.82    | 0.23%             | 2026-06-19      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -1361000 | PA      | $-487.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Arena Luxembourg Finance SARL                                             | Arena Luxembourg Finance SARL                                                           | CUSIP: N/A<br>LEI: 222100KX2LPK5KRSIG74       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $118725.80    | 0.16%             | 2030-05-01      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies CLO Ltd.                                 | Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2                   | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      57617 | PA      | $57617.08     | 0.08%             | 2031-04-17      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-840.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1073597 | PA      | $1314.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $49.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Darling Ingredients, Inc.                                                 | Darling Ingredients, Inc.                                                               | CUSIP: 237266AJ0<br>LEI: L1N0SPPKS7EXZYUMZ898 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101320.40    | 0.14%             | 2030-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ephios Subco 3 SARL                                                       | Ephios Subco 3 SARL                                                                     | CUSIP: N/A<br>LEI: 213800E4EG6VFUFVEH64       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $126688.99    | 0.17%             | 2031-01-31      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Green Lakes Park CLO LLC                                                  | Green Lakes Park CLO LLC, Series 2025-1A, Class ARR                                     | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     250000 | PA      | $250062.50    | 0.34%             | 2038-01-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-335.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    5272817 | PA      | $1082.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays plc                                                              | Barclays plc                                                                            | CUSIP: N/A<br>LEI: 213800LBQA1Y9L22JB70       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $295232.31    | 0.40%             | 2028-09-15      | Variable      | 9.25%                 | No            |                  2 | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2019-17A, Class AR2                                                | CUSIP: 67113LAW6<br>LEI: 2549003HLFPQ7ATPYA23 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250796.48    | 0.34%             | 2037-07-20      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                 | CBAM Ltd., Series 2020-13A, Class A                                                     | CUSIP: 12511AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250644.93    | 0.34%             | 2034-01-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-654.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |       8541 | PA      | $37756.30     | 0.05%             | 2042-11-13      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Birch Grove CLO 3 Ltd.                                                    | Birch Grove CLO 3 Ltd., Series 2021-3A, Class BR                                        | CUSIP: 09076VAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $249826.03    | 0.34%             | 2038-01-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-8274.22     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                            | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      43000 | PA      | $35423.87     | 0.05%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Whirlpool Corp.                                                           | Whirlpool Corp.                                                                         | CUSIP: 963320BE5<br>LEI: WHENKOULSSK7WUM60H03 | Long             | DBT              | CORP              | US        |       7000 | PA      | $7022.42      | 0.01%             | 2033-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1307.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                | J.P. Morgan Mortgage Trust, Series 2017-2, Class A7                                     | CUSIP: 46648HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91324 | PA      | $83002.86     | 0.11%             | 2047-05-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                               | CUSIP: 552953CK5<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101714.58    | 0.14%             | 2029-09-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $178.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     405205 | PA      | $-38.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Post Holdings, Inc.                                                       | Post Holdings, Inc.                                                                     | CUSIP: 737446AQ7<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96123.42     | 0.13%             | 2030-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-81.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     218704 | PA      | $3.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Celanese US Holdings LLC                                                  | Celanese US Holdings LLC                                                                | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101038.60    | 0.14%             | 2033-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                 | OBX Trust, Series 2019-EXP1, Class B1A                                                  | CUSIP: 67448QBA8<br>LEI: 549300ELWOCL265HSB73 | Long             | ABS-MBS          | CORP              | US        |      78878 | PA      | $79363.63     | 0.11%             | 2059-01-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2025-I1, Class M1                                                     | CUSIP: 12571DAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101269.50    | 0.14%             | 2069-10-25      | Variable      | 6.44%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                          | Bonos y Obligaciones del Estado                                                         | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     271000 | PA      | $322621.27    | 0.44%             | 2030-01-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $132.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barings Equipment Finance LLC                                             | Barings Equipment Finance LLC, Series 2025-A, Class A4                                  | CUSIP: 06764MAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      63000 | PA      | $63965.41     | 0.09%             | 2050-06-13      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| TK Elevator Holdco GmbH                                                   | TK Elevator Holdco GmbH                                                                 | CUSIP: N/A<br>LEI: 2549008GCHWX9EEMIS56       | Long             | DBT              | CORP              | DE        |      90000 | PA      | $106280.54    | 0.15%             | 2028-07-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-373.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $667.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2023-3, Class A1                                     | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58461 | PA      | $58492.31     | 0.08%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $206.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Gen Digital, Inc.                                                         | Gen Digital, Inc.                                                                       | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101770.70    | 0.14%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $164.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Maxam Prill SARL                                                          | Maxam Prill SARL                                                                        | CUSIP: N/A<br>LEI: 984500C4C5B820A6B691       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $117088.23    | 0.16%             | 2030-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARI Fleet Lease Trust                                                     | ARI Fleet Lease Trust, Series 2023-B, Class A3                                          | CUSIP: 04033GAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $102283.78    | 0.14%             | 2032-07-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CBAM Ltd.                                                                 | CBAM Ltd., Series 2019-10A, Class A1R                                                   | CUSIP: 12482NAN1<br>LEI: 254900IPFC9SXD6VQ444 | Long             | ABS-CBDO         | CORP              | KY        |     148704 | PA      | $148915.86    | 0.20%             | 2032-04-20      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     360108 | PA      | $-54.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Allwyn Entertainment Financing UK plc                                     | Allwyn Entertainment Financing UK plc                                                   | CUSIP: N/A<br>LEI: 315700J7ZTIN8XGCX365       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $125157.19    | 0.17%             | 2030-04-30      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Delek Logistics Partners LP                                               | Delek Logistics Partners LP                                                             | CUSIP: 24665FAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7000 | PA      | $6967.38      | 0.01%             | 2033-06-30      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-C, Class B                                | CUSIP: 83208AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     116752 | PA      | $112891.54    | 0.15%             | 2053-01-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3715482 | PA      | $26.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nidda Healthcare Holding GmbH                                             | Nidda Healthcare Holding GmbH                                                           | CUSIP: N/A<br>LEI: 549300Q89C4WAO6L0L19       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $122955.60    | 0.17%             | 2030-02-21      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2024-CNYN, Class A                                                     | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125887 | PA      | $126158.81    | 0.17%             | 2041-04-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       9896 | PA      | $-25.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3762.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Volkswagen International Finance NV                                       | Volkswagen International Finance NV                                                     | CUSIP: N/A<br>LEI: 5299004PWNHKYTR23649       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $118917.67    | 0.16%             | 2033-11-15      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| GreenSky Home Improvement Issuer Trust                                    | GreenSky Home Improvement Issuer Trust, Series 2024-2, Class A2                         | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      54086 | PA      | $54167.26     | 0.07%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Viking Cruises Ltd.                                                       | Viking Cruises Ltd.                                                                     | CUSIP: 92676XAG2<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |     100000 | PA      | $107700.10    | 0.15%             | 2031-07-15      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-125, Class HF | CUSIP: 38384VMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83021 | PA      | $82828.27     | 0.11%             | 2054-08-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Rocket Mortgage LLC                                                       | Rocket Mortgage LLC                                                                     | CUSIP: 74841CAA9<br>LEI: 549300FGXN1K3HLB1R50 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95025.97     | 0.13%             | 2029-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Kingdom of Spain                                                          | Bonos y Obligaciones del Estado                                                         | CUSIP: N/A<br>LEI: 9598007A56S18711AH60       | Long             | DBT              | NUSS              | ES        |     638000 | PA      | $750427.35    | 1.03%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PMT Loan Trust                                                            | PMT Loan Trust, Series 2024-INV1, Class A3                                              | CUSIP: 73015BAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94323 | PA      | $93679.22     | 0.13%             | 2059-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                                              | Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class E                                 | CUSIP: 04963XAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $30750.06     | 0.04%             | 2029-11-10      | Variable      | 9.52%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |       8001 | PA      | $42558.86     | 0.06%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-409.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-402.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A                          | CUSIP: 17291NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $103282.44    | 0.14%             | 2040-10-12      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| PRET Trust                                                                | PRET Trust, Series 2025-RPL1, Class A1                                                  | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95425 | PA      | $92341.30     | 0.13%             | 2069-07-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     514148 | PA      | $-490.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $553.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Seagate HDD Cayman                                                        | Seagate HDD Cayman                                                                      | CUSIP: 81180WBM2<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |     100000 | PA      | $112727.40    | 0.15%             | 2032-12-01      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $164.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2498.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BP Capital Markets plc                                                    | BP Capital Markets plc                                                                  | CUSIP: N/A<br>LEI: 549300CRVT18MXX0AG93       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $232649.13    | 0.32%             | 2027-02-16      | Fixed         | 1.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-648.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     193000 | PA      | $414.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Iron Mountain, Inc.                                                       | Iron Mountain, Inc.                                                                     | CUSIP: 46284VAP6<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103520.10    | 0.14%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     534327 | PA      | $26251.33     | 0.04%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2022-IND, Class A                                                      | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115912 | PA      | $115984.09    | 0.16%             | 2037-04-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Kingdom of Thailand                                                       | Kingdom of Thailand                                                                     | CUSIP: N/A<br>LEI: 254900PHJ6MSKT6C7026       | Long             | DBT              | NUSS              | TH        |    6820000 | PA      | $218878.81    | 0.30%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Radian Mortgage Capital Trust LLC                                         | Radian Mortgage Capital Trust LLC, Series 2024-J1, Class A8                             | CUSIP: 75023DAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66597 | PA      | $66870.94     | 0.09%             | 2054-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                   | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        |  495000000 | PA      | $33912.81     | 0.05%             | 2036-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                                                      | Cross Mortgage Trust, Series 2024-H2, Class A1                                          | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80371 | PA      | $80930.50     | 0.11%             | 2069-04-25      | Variable      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     308602 | PA      | $-581.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pinnacle Bidco plc                                                        | Pinnacle Bidco plc                                                                      | CUSIP: N/A<br>LEI: 2138006Z5V8OBL2A2Q06       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $145089.11    | 0.20%             | 2028-10-11      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5444, Class FC             | CUSIP: 3137HFD77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227357 | PA      | $226064.84    | 0.31%             | 2054-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     132315 | PA      | $963.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc.                                                                         | CUSIP: 893647BP1<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98119.80     | 0.13%             | 2029-01-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     405115 | PA      | $-4.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Post CLO VI Ltd.                                                          | Post CLO VI Ltd., Series 2024-2A, Class A1                                              | CUSIP: 73742RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251194.00    | 0.34%             | 2038-01-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     361489 | PA      | $-33.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1638.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      25729 | PA      | $135371.19    | 0.19%             | 2026-09-03      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Boels Topholding BV                                                       | Boels Topholding BV                                                                     | CUSIP: N/A<br>LEI: 724500V913SEHSEW2O75       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $122193.94    | 0.17%             | 2030-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Star Parent, Inc.                                                         | Star Parent, Inc.                                                                       | CUSIP: 855170AA4<br>LEI: 254900GRGCJYRMDRWT73 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105181.88    | 0.14%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Avis Budget Car Rental LLC                                                | Avis Budget Car Rental LLC                                                              | CUSIP: 053773BH9<br>LEI: XN8R4HH1TVC1XOCL5P21 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103574.00    | 0.14%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Carval CLO X-C Ltd.                                                       | CarVal CLO X-C Ltd., Series 2024-2A, Class A                                            | CUSIP: 146918AA5<br>LEI: 254900DAR7W0XP2CHD65 | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $250964.75    | 0.34%             | 2037-07-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Iliad Holding SASU                                                        | Iliad Holding SASU                                                                      | CUSIP: 449691AF1<br>LEI: 9695009PXA7OI9NXN582 | Long             | DBT              | CORP              | FR        |     200000 | PA      | $213925.00    | 0.29%             | 2031-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing, Inc.                                       | American Axle & Manufacturing, Inc.                                                     | CUSIP: 02406PBA7<br>LEI: RY5TAKFOBLDUGX31MS24 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100045.90    | 0.14%             | 2028-07-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Dreyfus Treasury Prime Cash Management Institutional Shares               | Dreyfus Treasury Prime Cash Management Institutional Shares                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             | RF                | US        |    3339275 | NS      | $3339275.27   | 4.57%             |  |  |  | No            |                  1 | On Loan: No      |
| Sequoia Mortgage Trust                                                    | Sequoia Mortgage Trust, Series 2024-HYB1, Class A1A                                     | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78237 | PA      | $79021.43     | 0.11%             | 2063-11-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-225.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SBA Communications Corp.                                                  | SBA Communications Corp.                                                                | CUSIP: 78410GAG9<br>LEI: 5299001HX8ZN8Y8QIT49 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94447.78     | 0.13%             | 2029-02-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| LCM Investments Holdings II LLC                                           | LCM Investments Holdings II LLC                                                         | CUSIP: 50190EAA2<br>LEI: 549300P5V78NNQTG4428 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97245.07     | 0.13%             | 2029-05-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6125.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 413, Class F26             | CUSIP: 3133Q3LJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101576 | PA      | $101789.80    | 0.14%             | 2054-05-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Weatherford International Ltd.                                            | Weatherford International Ltd.                                                          | CUSIP: 947075AU1<br>LEI: 549300A2JKMG5PGOGF82 | Long             | DBT              | CORP              | BM        |     100000 | PA      | $103072.72    | 0.14%             | 2030-04-30      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     129888 | PA      | $81.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Var Energi ASA                                                            | Var Energi ASA                                                                          | CUSIP: N/A<br>LEI: 549300LIVN3FFOJN2K47       | Long             | DBT              | CORP              | NO        |     100000 | PA      | $129280.01    | 0.18%             | 2083-11-15      | Variable      | 7.86%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                        | CUSIP: 1248EPCN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $93124.28     | 0.13%             | 2032-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $431.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     132544 | PA      | $-38.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-177.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      63468 | PA      | $-76.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Funding XIV CLO Ltd.                                                | Cedar Funding XIV CLO Ltd., Series 2021-14A, Class AR                                   | CUSIP: 15034AAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251103.88    | 0.34%             | 2037-10-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| IPD 3 BV                                                                  | IPD 3 BV                                                                                | CUSIP: N/A<br>LEI: 724500RBP2J59JMQB629       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $119414.68    | 0.16%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Adler Financing SARL                                                      | ADLER Financing SARL, Series 1L                                                         | CUSIP: N/A<br>LEI: 213800BAQB59IVKP7S93       | Long             | DBT              | CORP              | LU        |     204128 | PA      | $251873.51    | 0.34%             | 2028-12-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       7318 | PA      | $-5.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ball Corp.                                                                | Ball Corp.                                                                              | CUSIP: N/A<br>LEI: 0BGI85ALH27ZJP15DY16       | Long             | DBT              | CORP              | US        |     100000 | PA      | $119345.51    | 0.16%             | 2032-07-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| College Avenue Student Loans LLC                                          | College Avenue Student Loans LLC, Series 2021-A, Class A1                               | CUSIP: 19424KAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37995 | PA      | $37747.86     | 0.05%             | 2051-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Coty, Inc.                                                                | Coty, Inc.                                                                              | CUSIP: 222070AE4<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |      37000 | PA      | $36950.88     | 0.05%             | 2026-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Tallgrass Energy Partners LP                                              | Tallgrass Energy Partners LP                                                            | CUSIP: 87470LAL5<br>LEI: 549300IQ3DN0F3VERF65 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102778.10    | 0.14%             | 2029-02-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2018-3A, Class A1R                                        | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     141457 | PA      | $141610.45    | 0.19%             | 2030-10-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| NOVA Chemicals Corp.                                                      | NOVA Chemicals Corp.                                                                    | CUSIP: 66977WAS8<br>LEI: 549300ZOD6N7RI2FJP09 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $96170.75     | 0.13%             | 2029-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-254035.22   | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust                                      | Deephaven Residential Mortgage Trust, Series 2024-1, Class A1                           | CUSIP: 24380QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83828 | PA      | $84275.59     | 0.12%             | 2069-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Alliant Holdings Intermediate LLC                                         | Alliant Holdings Intermediate LLC                                                       | CUSIP: 01883LAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $103441.00    | 0.14%             | 2031-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Eni SpA                                                                   | Eni SpA                                                                                 | CUSIP: N/A<br>LEI: BUCRF72VH5RBN7X3VL35       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $118678.46    | 0.16%             | 2031-01-21      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Venture Global LNG, Inc.                                                  | Venture Global LNG, Inc.                                                                | CUSIP: 92332YAB7<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     131000 | PA      | $136061.27    | 0.19%             | 2031-06-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Antero Midstream Partners LP                                              | Antero Midstream Partners LP                                                            | CUSIP: 03690AAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $99248.61     | 0.14%             | 2029-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| EMRLD Borrower LP                                                         | EMRLD Borrower LP                                                                       | CUSIP: 29103CAA6<br>LEI: 5493000GJYE7GAQCUC61 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102217.20    | 0.14%             | 2030-12-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-10.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     116046 | PA      | $-274.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                          | CUSIP: 11135FBG5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |      48000 | PA      | $35904.27     | 0.05%             | 2051-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     147125 | PA      | $6.66         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5371.54      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     237049 | PA      | $673.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Tennessee Valley Authority                                                | Tennessee Valley Authority                                                              | CUSIP: 880591FC1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |      60000 | PA      | $58524.73     | 0.08%             | 2055-02-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| DC Trust                                                                  | DC Trust, Series 2024-HLTN, Class D                                                     | CUSIP: 24022FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99918.11     | 0.14%             | 2040-04-13      | Variable      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-14.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     162857 | PA      | $-28.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Service Properties Trust                                                  | Service Properties Trust                                                                | CUSIP: 44106MAX0<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |     100000 | PA      | $92366.63     | 0.13%             | 2028-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     522066 | PA      | $6.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| gategroup Finance Luxembourg SA                                           | gategroup Finance Luxembourg SA                                                         | CUSIP: N/A<br>LEI: 529900Q1OR7LI4GOGW68       | Long             | DBT              | CORP              | LU        |      50000 | PA      | $61993.77     | 0.08%             | 2027-02-28      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Starwood Property Trust, Inc.                                             | Starwood Property Trust, Inc.                                                           | CUSIP: 85571BBB0<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105182.04    | 0.14%             | 2029-04-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Park Intermediate Holdings LLC                                            | Park Intermediate Holdings LLC                                                          | CUSIP: 70052LAC7<br>LEI: 549300HJUVLG7EAGZV92 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96890.48     | 0.13%             | 2029-05-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2904622 | PA      | $156.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                      | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6290798 | PA      | $6392223.53   | 8.74%             | 2055-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MIRA Trust                                                                | MIRA Trust, Series 2023-MILE, Class A                                                   | CUSIP: 55318EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $104071.21    | 0.14%             | 2038-06-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HOMES Trust                                                               | Homes Trust, Series 2023-NQM1, Class A1                                                 | CUSIP: 43761JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72841 | PA      | $72831.51     | 0.10%             | 2068-01-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -3724194 | PA      | $-2298.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic Finance Issuance Trust                                           | Republic Finance Issuance Trust, Series 2024-B, Class A                                 | CUSIP: 76042GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $101485.40    | 0.14%             | 2037-11-20      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| VistaJet Malta Finance plc                                                | VistaJet Malta Finance plc                                                              | CUSIP: 92841HAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $102779.25    | 0.14%             | 2028-06-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-37.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2022-A, Class APT                              | CUSIP: 78450FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      78496 | PA      | $73713.70     | 0.10%             | 2054-11-16      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      79388 | PA      | $522.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pilgrim's Pride Corp.                                                     | Pilgrim's Pride Corp.                                                                   | CUSIP: 72147KAH1<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |     100000 | PA      | $90025.26     | 0.12%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                 | Towd Point Mortgage Trust, Series 2024-CES6, Class A1                                   | CUSIP: 891947AA1<br>LEI: 25490024AP9UCHO22G82 | Long             | ABS-MBS          | CORP              | US        |      88779 | PA      | $89209.30     | 0.12%             | 2064-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| NatWest Group plc                                                         | NatWest Group plc                                                                       | CUSIP: N/A<br>LEI: 2138005O9XJIJN4JPN90       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $272443.57    | 0.37%             | 2032-02-28      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  293735529 | PA      | $-77.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OneMain Financial Issuance Trust                                          | OneMain Financial Issuance Trust, Series 2023-2A, Class A2                              | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     125000 | PA      | $127120.41    | 0.17%             | 2036-09-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-111.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-60.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of the Philippines                                               | Philippine Government Bond                                                              | CUSIP: N/A<br>LEI: 529900RAHBALMYIJ3T08       | Long             | DBT              | NUSS              | PH        |     470000 | PA      | $8328.43      | 0.01%             | 2035-04-28      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-400.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2024-NQM7, Class A1                             | CUSIP: 105698AC8<br>LEI: 254900T3YTF92WA96N66 | Long             | ABS-MBS          | CORP              | US        |     124087 | PA      | $124461.45    | 0.17%             | 2064-10-27      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   16817815 | PA      | $57.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| British Telecommunications plc                                            | British Telecommunications plc                                                          | CUSIP: N/A<br>LEI: 549300OWFMSO9NYV4H90       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $147093.81    | 0.20%             | 2083-12-20      | Variable      | 8.38%                 | No            |                  2 | On Loan: No      |
| Czech Republic                                                            | Czech Republic                                                                          | CUSIP: N/A<br>LEI: 3157007EFDLQABN47912       | Long             | DBT              | NUSS              | CZ        |    2000000 | PA      | $100602.66    | 0.14%             | 2030-09-30      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-222.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Asbury Automotive Group, Inc.                                             | Asbury Automotive Group, Inc.                                                           | CUSIP: 043436AX2<br>LEI: 549300JH4DTA7U42GL91 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95146.85     | 0.13%             | 2032-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Centrica plc                                                              | Centrica plc                                                                            | CUSIP: N/A<br>LEI: E26EDV109X6EEPBKVH76       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $138809.23    | 0.19%             | 2055-05-21      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2022-D, Class B                                | CUSIP: 78454XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      65390 | PA      | $67463.57     | 0.09%             | 2058-10-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                        | CUSIP: 1248EPBT9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $99678.30     | 0.14%             | 2027-05-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1860.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $202.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-737.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD Trust                                                                | STWD Trust, Series 2021-FLWR, Class A                                                   | CUSIP: 78485GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95150 | PA      | $95090.96     | 0.13%             | 2036-07-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class A                                  | CUSIP: 44421GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93860.85     | 0.13%             | 2039-07-10      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-484.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chemours Co. (The)                                                        | Chemours Co. (The)                                                                      | CUSIP: 163851AF5<br>LEI: 549300M1BOLNXL8DOV14 | Long             | DBT              | CORP              | US        |     100000 | PA      | $93730.51     | 0.13%             | 2028-11-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Quikrete Holdings, Inc.                                                   | Quikrete Holdings, Inc.                                                                 | CUSIP: 74843PAB6<br>LEI: 5493007KIN86DIZWZT22 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103182.60    | 0.14%             | 2033-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| XPLR Infrastructure Operating Partners LP                                 | XPLR Infrastructure Operating Partners LP                                               | CUSIP: 65342QAM4<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102513.21    | 0.14%             | 2029-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| Zegona Finance plc                                                        | Zegona Finance plc                                                                      | CUSIP: N/A<br>LEI: 254900B3KC1SS7T2TE92       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $250314.38    | 0.34%             | 2029-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     240333 | PA      | $-14.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Mariner Finance issuance Trust                                            | Mariner Finance issuance Trust, Series 2024-BA, Class C                                 | CUSIP: 56847GAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $102073.85    | 0.14%             | 2038-11-20      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2025-NQM2, Class A1                             | CUSIP: 10569NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138802 | PA      | $139469.90    | 0.19%             | 2064-11-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $40.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Univision Communications, Inc.                                            | Univision Communications, Inc.                                                          | CUSIP: 914906AY8<br>LEI: 549300YQDE2JSGTL8V47 | Long             | DBT              | CORP              | US        |     100000 | PA      | $101477.90    | 0.14%             | 2028-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $56.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Ardagh Packaging Finance plc                                              | Ardagh Packaging Finance plc                                                            | CUSIP: N/A<br>LEI: 6354001JXMLKNZDZR978       | Long             | DBT              | CORP              | IE        |     100000 | PA      | $112756.67    | 0.15%             | 2026-08-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Electricite de France SA                                                  | Electricite de France SA                                                                | CUSIP: N/A<br>LEI: 549300X3UK4GG3FNMO06       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $120455.11    | 0.16%             | 2027-06-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Cali                                                                      | Cali, Series 2024-SUN, Class A                                                          | CUSIP: 12988DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100125.00    | 0.14%             | 2041-07-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| EchoStar Corp.                                                            | EchoStar Corp.                                                                          | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103000.00    | 0.14%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Outfront Media Capital LLC                                                | Outfront Media Capital LLC                                                              | CUSIP: 69007TAE4<br>LEI: 5493005WC7J0FDMW0610 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95667.37     | 0.13%             | 2029-01-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class A                                 | CUSIP: 05613NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     135000 | PA      | $135842.05    | 0.19%             | 2041-10-15      | Floating      | 7.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-436.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Unique Pub Finance Co. plc (The)                                          | Unique Pub Finance Co. plc (The), Series N                                              | CUSIP: N/A<br>LEI: 213800FOMWLKHQTI5562       | Long             | ABS-O            | CORP              | GB        |      32000 | PA      | $45975.07     | 0.06%             | 2032-03-30      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     520000 | PA      | $10589.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Lamar Media Corp.                                                         | Lamar Media Corp.                                                                       | CUSIP: 513075BW0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $98851.81     | 0.14%             | 2029-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Aston Martin Capital Holdings Ltd.                                        | Aston Martin Capital Holdings Ltd.                                                      | CUSIP: N/A<br>LEI: 213800H4GKEF3CJ8C774       | Long             | DBT              | CORP              | JE        |     100000 | PA      | $127888.98    | 0.17%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-TWA, Class A                                            | CUSIP: 582923AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $101207.87    | 0.14%             | 2039-06-12      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| Tenneco, Inc.                                                             | Tenneco, Inc.                                                                           | CUSIP: 880349AU9<br>LEI: 549300U0EXXFAQFAD785 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98889.74     | 0.14%             | 2028-11-17      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Comstock Resources, Inc.                                                  | Comstock Resources, Inc.                                                                | CUSIP: 205768AS3<br>LEI: I03QQGEA4SS774AURI46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100223.90    | 0.14%             | 2029-03-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $15.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-1, Class A1                                       | CUSIP: 034934AA7<br>LEI: 254900HC0S1X9R2JZB30 | Long             | ABS-MBS          | CORP              | US        |     134785 | PA      | $135275.52    | 0.19%             | 2070-01-25      | Variable      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     599423 | PA      | $8.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-73.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BFLD Commercial Mortgage Trust                                            | BFLD Commercial Mortgage Trust, Series 2024-UNIV, Class A                               | CUSIP: 08861RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $60075.00     | 0.08%             | 2041-11-15      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    2993748 | PA      | $155550.57    | 0.21%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| iHeartCommunications, Inc.                                                | iHeartCommunications, Inc.                                                              | CUSIP: 45174HBJ5<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |     100000 | PA      | $82125.00     | 0.11%             | 2029-05-01      | Fixed         | 9.12%                 | No            |                  2 | On Loan: No      |
| Schaeffler AG                                                             | Schaeffler AG                                                                           | CUSIP: N/A<br>LEI: 549300Q7E782X7GC1P43       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $118529.89    | 0.16%             | 2028-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                    | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC, Class A        | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112573 | PA      | $112573.15    | 0.15%             | 2038-04-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| National Bank of Greece SA                                                | National Bank of Greece SA                                                              | CUSIP: N/A<br>LEI: 5UMCZOEYKCVFAW8ZLO05       | Long             | DBT              | CORP              | GR        |     100000 | PA      | $125618.76    | 0.17%             | 2035-06-28      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     596475 | PA      | $-19.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nationstar Mortgage Holdings, Inc.                                        | Nationstar Mortgage Holdings, Inc.                                                      | CUSIP: 63861CAG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $102145.40    | 0.14%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $139.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     132685 | PA      | $-448.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                            | CUSIP: 760942BF8<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     365422 | PA      | $9647.94      | 0.01%             | 2033-07-20      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      35466 | PA      | $-46.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-13, Class FB     | CUSIP: 3136BU2R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226625 | PA      | $226925.17    | 0.31%             | 2055-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $303.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL Trust                                                               | BAMLL Trust, Series 2024-BHP, Class A                                                   | CUSIP: 05493WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90000 | PA      | $90449.06     | 0.12%             | 2039-08-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                                           | BRAVO Residential Funding Trust, Series 2022-NQM3, Class A1                             | CUSIP: 10569JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67074 | PA      | $66789.06     | 0.09%             | 2062-07-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC, Series O                                                      | CUSIP: 00115AAP4<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |      42000 | PA      | $35229.64     | 0.05%             | 2052-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| French Republic                                                           | French Republic                                                                         | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |     351633 | PA      | $411817.78    | 0.56%             | 2035-05-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-123.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      69641 | PA      | $130.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3731.98      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Edge Finco plc                                                            | Edge Finco plc                                                                          | CUSIP: N/A<br>LEI: 648835NI8LJE5190NT73       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $142972.48    | 0.20%             | 2031-08-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $285.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| iliad SA                                                                  | iliad SA                                                                                | CUSIP: N/A<br>LEI: 969500FZ9BTRZS3JNB97       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $123627.38    | 0.17%             | 2029-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MCR Mortgage Trust                                                        | MCR Mortgage Trust, Series 2024-HTL, Class A                                            | CUSIP: 55286PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80569 | PA      | $80493.68     | 0.11%             | 2037-02-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     122102 | PA      | $6.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2021-1, Class A                              | CUSIP: 75907VAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       5376 | PA      | $5364.21      | 0.01%             | 2031-03-17      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Poste Italiane SpA                                                        | Poste Italiane SpA                                                                      | CUSIP: N/A<br>LEI: 815600354DEDBD0BA991       | Long             | DBT              | NUSS              | IT        |     100000 | PA      | $111758.01    | 0.15%             | 2029-03-24      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $511.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5448, Class CF             | CUSIP: 3137HFLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138384 | PA      | $137705.72    | 0.19%             | 2054-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $783.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-504.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fibercop SpA                                                              | Fibercop SpA                                                                            | CUSIP: N/A<br>LEI: 8156007022402E114A31       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $117959.91    | 0.16%             | 2032-06-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Poland                                                        | Republic of Poland                                                                      | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |      57898 | PA      | $14236.52     | 0.02%             | 2036-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     177366 | PA      | $-96.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2015-1A, Class A3                           | CUSIP: 64829CAD0<br>LEI: 549300RCJSGOC0A85G53 | Long             | ABS-MBS          | CORP              | US        |       1509 | PA      | $1442.24      | 0.00%             | 2052-05-28      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3678.98      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VEGAS Trust                                                               | VEGAS Trust, Series 2024-TI, Class A                                                    | CUSIP: 92254AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $60802.52     | 0.08%             | 2039-11-10      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                                                 | SHR Trust, Series 2024-LXRY, Class A                                                    | CUSIP: 784234AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $99937.50     | 0.14%             | 2041-10-15      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                               | CUSIP: 86765LAZ0<br>LEI: 54930001NJU8E40NQ561 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96150.14     | 0.13%             | 2030-04-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                         | Buoni Poliennali del Tesoro                                                             | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |     431000 | PA      | $516944.65    | 0.71%             | 2035-08-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  166921784 | PA      | $63.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2024-96, Class FL  | CUSIP: 38384PC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39391 | PA      | $39307.51     | 0.05%             | 2054-06-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-31, Class FA     | CUSIP: 3136BVYM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211468 | PA      | $211778.04    | 0.29%             | 2054-06-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-176.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2023-3, Class A2                                       | CUSIP: 19688RAB5<br>LEI: 213800MIPEZY1A8W1N28 | Long             | ABS-MBS          | CORP              | US        |      67000 | PA      | $67969.05     | 0.09%             | 2068-09-25      | Variable      | 7.43%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                   | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |        286 | PA      | $1520.29      | 0.00%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     136765 | PA      | $41.89        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                   | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 2168000000 | PA      | $134625.68    | 0.18%             | 2035-07-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                       | CUSIP: N/A<br>LEI: MLU0ZO3ML4LN2LL2TL39       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $136015.86    | 0.19%             | 2026-11-13      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                    | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  479300000 | PA      | $107828.57    | 0.15%             | 2027-11-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                                                | Verus Securitization Trust, Series 2024-R1, Class A1                                    | CUSIP: 924926AA6<br>LEI: 213800A8V9BALJ9WKP38 | Long             | ABS-MBS          | CORP              | US        |      88715 | PA      | $88671.39     | 0.12%             | 2069-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Sirius XM Radio LLC                                                       | Sirius XM Radio LLC                                                                     | CUSIP: 82967NBL1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98113.46     | 0.13%             | 2026-09-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| OHA Credit Funding 5 Ltd.                                                 | OHA Credit Funding 5 Ltd., Series 2020-5A, Class AR                                     | CUSIP: 67113GAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250881.90    | 0.34%             | 2037-10-18      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Federative Republic of Brazil                                             | Federative Republic of Brazil                                                           | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |       3190 | PA      | $556977.37    | 0.76%             | 2027-01-01      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-NQM4, Class A3                         | CUSIP: 64828EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115899 | PA      | $110561.13    | 0.15%             | 2059-09-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1423842 | PA      | $-3.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-BRBK, Class D                                 | CUSIP: 05613NAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $140349.33    | 0.19%             | 2041-10-15      | Floating      | 10.28%                | No            |                  2 | On Loan: No      |
| Jefferies GmbH                                                            | Jefferies GmbH                                                                          | CUSIP: N/A<br>LEI: 5493004I3LZM39BWHQ75       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $117626.55    | 0.16%             | 2026-07-22      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Lion/Polaris Lux 4 SA                                                     | Lion/Polaris Lux 4 SA                                                                   | CUSIP: N/A<br>LEI: 984500BFD3F99A7UB874       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $118330.38    | 0.16%             | 2029-07-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2023-6, Class A2                                       | CUSIP: 03464UAB2<br>LEI: 254900QAUT3NUZVCSB04 | Long             | ABS-MBS          | CORP              | US        |      69051 | PA      | $69434.91     | 0.09%             | 2067-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     406024 | PA      | $207.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                        | CUSIP: 12189LBH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      56000 | PA      | $35378.31     | 0.05%             | 2052-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Assurant CLO II Ltd.                                                      | Assurant CLO II Ltd., Series 2018-2A, Class D                                           | CUSIP: 04623TAG0<br>LEI: 6354003JXBM4LA5YCP98 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250805.23    | 0.34%             | 2031-04-20      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $350.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-A, Class APT2                                    | CUSIP: 64035DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      34801 | PA      | $32731.09     | 0.04%             | 2062-04-20      | Fixed         | 1.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $688.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Market Bidco Finco plc                                                    | Market Bidco Finco plc                                                                  | CUSIP: N/A<br>LEI: 549300UGYX6EBVHRVG53       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $134523.82    | 0.18%             | 2027-11-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                        | CUSIP: 715638FB3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     287000 | PA      | $83443.61     | 0.11%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Lendmark Funding Trust                                                    | Lendmark Funding Trust, Series 2024-1A, Class D                                         | CUSIP: 52603DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     110000 | PA      | $112598.35    | 0.15%             | 2032-06-21      | Fixed         | 7.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     571508 | PA      | $-351.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10-Year Ultra Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -13 | NC      | $-29126.02    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| GCAT Trust                                                                | GCAT Trust, Series 2022-NQM4, Class A1                                                  | CUSIP: 36170HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75902 | PA      | $75622.27     | 0.10%             | 2067-08-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1379.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bubbles Bidco SpA                                                         | Bubbles Bidco SpA                                                                       | CUSIP: N/A<br>LEI: 815600073942740CEB24       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $118162.17    | 0.16%             | 2031-09-30      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-49665.76    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                             | CUSIP: 031162DU1<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |      37000 | PA      | $35971.03     | 0.05%             | 2063-03-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2024-3, Class A1                                       | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82383 | PA      | $81970.98     | 0.11%             | 2068-11-26      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| NYMT Trust                                                                | NYMT Trust, Series 2024-RR1, Class A                                                    | CUSIP: 62956VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92067 | PA      | $91533.54     | 0.13%             | 2064-05-25      | Variable      | 7.37%                 | No            |                  2 | On Loan: No      |
| Vmed O2 UK Financing I plc                                                | Vmed O2 UK Financing I plc                                                              | CUSIP: 92858RAB6<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $185005.26    | 0.25%             | 2031-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   68346200 | PA      | $-96.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GoldenTree Loan Management US CLO 10 Ltd.                                 | GoldenTree Loan Management US CLO 10 Ltd., Series 2021-10A, Class DR                    | CUSIP: 38138TAY7<br>LEI: 5493007PBV0WMI12LF68 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251192.90    | 0.34%             | 2037-10-20      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| Telenet Finance Luxembourg Notes SARL                                     | Telenet Finance Luxembourg Notes SARL                                                   | CUSIP: N/A<br>LEI: 2138007RI9GLJPCC3E25       | Long             | DBT              | CORP              | LU        |     200000 | PA      | $197896.85    | 0.27%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Mineral Resources Ltd.                                                    | Mineral Resources Ltd.                                                                  | CUSIP: 603051AC7<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |     100000 | PA      | $100466.00    | 0.14%             | 2027-11-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Gruenenthal GmbH                                                          | Gruenenthal GmbH                                                                        | CUSIP: N/A<br>LEI: 529900SH895E31PGLA72       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $124278.67    | 0.17%             | 2030-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELFI Graduate Loan Program LLC                                            | ELFI Graduate Loan Program LLC, Series 2023-A, Class A                                  | CUSIP: 28628DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      81157 | PA      | $84439.58     | 0.12%             | 2048-02-04      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| Lion/Polaris Lux 4 SA                                                     | Lion/Polaris Lux 4 SA                                                                   | CUSIP: N/A<br>LEI: 984500BFD3F99A7UB874       | Long             | DBT              | CORP              | LU        |     100000 | PA      | $118330.38    | 0.16%             | 2029-07-01      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-MF, Class A                                   | CUSIP: 05612EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110682 | PA      | $110854.76    | 0.15%             | 2039-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     291595 | PA      | $-794.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DK Trust                                                                  | DK Trust, Series 2024-SPBX, Class D                                                     | CUSIP: 23346LAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100031.25    | 0.14%             | 2034-03-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2017-A, Class B                            | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      48521 | PA      | $48012.63     | 0.07%             | 2058-12-16      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $41.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   11000000 | PA      | $-125.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5458, Class DF             | CUSIP: 3137HFWR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233469 | PA      | $231743.73    | 0.32%             | 2054-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2929430 | PA      | $727.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PennyMac Financial Services, Inc.                                         | PennyMac Financial Services, Inc.                                                       | CUSIP: 70932MAD9<br>LEI: 549300W1D516HBDEU871 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106188.30    | 0.15%             | 2029-12-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SoFi Consumer Loan Program Trust                                          | SoFi Consumer Loan Program Trust, Series 2025-1, Class A                                | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     113641 | PA      | $113852.54    | 0.16%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Olympus Water US Holding Corp.                                            | Olympus Water US Holding Corp.                                                          | CUSIP: N/A<br>LEI: 549300YU2GGVCBN3MY89       | Long             | DBT              | CORP              | US        |     100000 | PA      | $123684.75    | 0.17%             | 2028-11-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| Riserva CLO Ltd.                                                          | Riserva CLO Ltd., Series 2016-3A, Class ARR                                             | CUSIP: 76761RAY5<br>LEI: 549300640C8OB2I8SN35 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250450.00    | 0.34%             | 2034-01-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Garda World Security Corp.                                                | Garda World Security Corp.                                                              | CUSIP: 36485MAL3<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $97605.41     | 0.13%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-55HY, Class A                                  | CUSIP: 44421MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $92449.05     | 0.13%             | 2041-12-10      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-15.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                                                 | Nelnet Student Loan Trust, Series 2021-CA, Class AFL                                    | CUSIP: 64035GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      70613 | PA      | $70239.58     | 0.10%             | 2062-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |     577079 | PA      | $28162.58     | 0.04%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     373000 | PA      | $111.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Global Partners LP                                                        | Global Partners LP                                                                      | CUSIP: 37954FAK0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $105168.20    | 0.14%             | 2032-01-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| United Group BV                                                           | United Group BV                                                                         | CUSIP: N/A<br>LEI: 213800PC85O8BJ7DU398       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $117795.00    | 0.16%             | 2031-02-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    2579185 | PA      | $-1176.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    2568132 | PA      | $2.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIGRE Trust                                                               | FIGRE Trust, Series 2024-SL1, Class A1                                                  | CUSIP: 31684JAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     121719 | PA      | $123087.24    | 0.17%             | 2053-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     855347 | PA      | $-445.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                                                  | Foundation Finance Trust, Series 2024-2A, Class B                                       | CUSIP: 35040VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      97321 | PA      | $97106.65     | 0.13%             | 2050-03-15      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| Mariner Finance Issuance Trust                                            | Mariner Finance Issuance Trust, Series 2021-AA, Class A                                 | CUSIP: 56848DAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $96840.84     | 0.13%             | 2036-03-20      | Fixed         | 1.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-4760.79     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5118.41      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Glencore Capital Finance DAC                                              | Glencore Capital Finance DAC                                                            | CUSIP: N/A<br>LEI: 213800HCUCI1HC7X6Q34       | Long             | DBT              | CORP              | IE        |     200000 | PA      | $236435.77    | 0.32%             | 2032-02-04      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     748000 | PA      | $-153.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                                                  | COLT Mortgage Loan Trust, Series 2024-6, Class A1                                       | CUSIP: 19688XAA4<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |      90677 | PA      | $90738.72     | 0.12%             | 2069-11-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-181.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                      | CUSIP: 87264ADN2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |      30000 | PA      | $27397.63     | 0.04%             | 2055-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NYC Trust                                                                 | NYC Trust, Series 2024-3ELV, Class A                                                    | CUSIP: 62956HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100527.52    | 0.14%             | 2029-08-15      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-573.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3.49         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-248.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Bilbao Vizcaya Argentaria SA                                        | Banco Bilbao Vizcaya Argentaria SA                                                      | CUSIP: 05946KAS0<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $202741.67    | 0.28%             | 2032-01-14      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| Kaixo Bondco Telecom SA                                                   | Kaixo Bondco Telecom SA                                                                 | CUSIP: N/A<br>LEI: 959800ULWB3MZHZ69055       | Long             | DBT              | CORP              | ES        |     100000 | PA      | $119417.04    | 0.16%             | 2029-09-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Rossini SARL                                                              | Rossini SARL                                                                            | CUSIP: N/A<br>LEI: 549300EC5JCCW6F83R11       | Long             | DBT              | CORP              | LU        |      42427 | PA      | $50460.63     | 0.07%             | 2029-12-31      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Telefonica Emisiones SA                                                   | Telefonica Emisiones SA                                                                 | CUSIP: N/A<br>LEI: 549300Y5MFC4SW5Z3K71       | Long             | DBT              | CORP              | ES        |     100000 | PA      | $117149.48    | 0.16%             | 2035-06-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1117.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     654706 | PA      | $-245.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JetBlue Airways Corp.                                                     | JetBlue Airways Corp.                                                                   | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $97288.13     | 0.13%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| CONE Trust                                                                | CONE Trust, Series 2024-DFW1, Class A                                                   | CUSIP: 20682AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     185000 | PA      | $184304.01    | 0.25%             | 2041-08-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1533.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1400000 | PA      | $28322.39     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VZ Vendor Financing II BV                                                 | VZ Vendor Financing II BV                                                               | CUSIP: N/A<br>LEI: 724500DRKUUR3GFOSK76       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $106914.04    | 0.15%             | 2029-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Six Flags Entertainment Corp.                                             | Six Flags Entertainment Corp.                                                           | CUSIP: 150190AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $99892.42     | 0.14%             | 2027-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  331185319 | PA      | $1535.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cleveland-Cliffs, Inc.                                                    | Cleveland-Cliffs, Inc.                                                                  | CUSIP: 185899AP6<br>LEI: 549300TM2WLI2BJMDD86 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94266.13     | 0.13%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      29176 | PA      | $74.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     170090 | PA      | $73.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $173.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                    | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      32000 | PA      | $20618.12     | 0.03%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| INEOS Finance plc                                                         | INEOS Finance plc                                                                       | CUSIP: N/A<br>LEI: 2138002D68XDR4LZCG32       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $119392.69    | 0.16%             | 2029-04-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Republic of Ireland                                                       | Republic of Ireland                                                                     | CUSIP: N/A<br>LEI: 549300KXBEJAOJ9OVF93       | Long             | DBT              | NUSS              | IE        |     833277 | PA      | $957117.83    | 1.31%             | 2034-10-18      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO XXXV Ltd.                                     | Benefit Street Partners CLO XXXV Ltd., Series 2024-35A, Class D                         | CUSIP: 08182YAG3<br>LEI: 254900U0SNDVHNBLRW07 | Long             | ABS-CBDO         | CORP              | JE        |     250000 | PA      | $250823.28    | 0.34%             | 2037-04-25      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| TeamSystem SpA                                                            | TeamSystem SpA                                                                          | CUSIP: N/A<br>LEI: 81560062081DF3AB7A90       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $117975.93    | 0.16%             | 2031-07-31      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Daimler Truck International Finance BV                                    | Daimler Truck International Finance BV                                                  | CUSIP: N/A<br>LEI: 724500G15MVL6UCWXF95       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $117855.16    | 0.16%             | 2029-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 1011778 BC ULC                                                            | 1011778 BC ULC                                                                          | CUSIP: 68245XAM1<br>LEI: 549300RHSHNRWI5LLA86 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $93186.86     | 0.13%             | 2030-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2025-21, Class FB     | CUSIP: 3136BU3N8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55198 | PA      | $55279.61     | 0.08%             | 2053-07-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Pinewood Finco plc                                                        | Pinewood Finco plc                                                                      | CUSIP: N/A<br>LEI: 984500EF3F7CA63ND769       | Long             | DBT              | CORP              | GB        |     200000 | PA      | $271099.47    | 0.37%             | 2030-03-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                                                 | CIM Trust, Series 2021-R6, Class A1                                                     | CUSIP: 12567RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44143 | PA      | $39386.73     | 0.05%             | 2061-07-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5511, Class QF             | CUSIP: 3137HKL85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     209853 | PA      | $210281.40    | 0.29%             | 2055-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Regional Management Issuance Trust                                        | Regional Management Issuance Trust, Series 2024-1, Class A                              | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $102247.37    | 0.14%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2018-3A, Class BR                                         | CUSIP: 09630AAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     100000 | PA      | $100279.60    | 0.14%             | 2030-10-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class C                                 | CUSIP: 90278MBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160000 | PA      | $138795.46    | 0.19%             | 2052-10-15      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                          | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | Long             | DBT              | CORP              | US        |     200000 | PA      | $247142.72    | 0.34%             | 2029-03-02      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2023-C, Class A1A                              | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     124346 | PA      | $127631.86    | 0.17%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                      | Ellington Financial Mortgage Trust, Series 2024-NQM1, Class A1A                         | CUSIP: 26845DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88158 | PA      | $88440.01     | 0.12%             | 2069-11-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                         | Rocket Cos., Inc.                                                                       | CUSIP: 77311WAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      25000 | PA      | $25475.75     | 0.03%             | 2030-08-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                   | CUSIP: N/A<br>LEI: 529900FWX0GRR7WG5W79       | Long             | DBT              | NUSS              | ID        | 1178000000 | PA      | $74181.05     | 0.10%             | 2038-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-480.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $15.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Virgin Media Secured Finance plc                                          | Virgin Media Secured Finance plc                                                        | CUSIP: N/A<br>LEI: 213800X3RLP4NOTPY579       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $132289.14    | 0.18%             | 2029-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |       9060 | PA      | $2.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | TRSIBOXX                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     680059 | PA      | $10818.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CaixaBank SA                                                              | CaixaBank SA                                                                            | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |     200000 | PA      | $244161.94    | 0.33%             | 2027-10-09      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $266.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CMS Spreadoption                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -6240000 | NC      | $-2032.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    -760000 | PA      | $-1951.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Rogers Communications, Inc.                                               | Rogers Communications, Inc.                                                             | CUSIP: 775109DH1<br>LEI: 5493000M6Z4XFIP6PF03 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $101360.36    | 0.14%             | 2055-04-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| MFA Trust                                                                 | MFA Trust, Series 2022-NQM1, Class M1                                                   | CUSIP: 55284PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $86901.35     | 0.12%             | 2066-12-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                                               | SREIT Trust, Series 2021-MFP2, Class A                                                  | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125000 | PA      | $124921.88    | 0.17%             | 2036-11-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $2195.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Palmer Square Loan Funding Ltd.                                           | Palmer Square Loan Funding Ltd., Series 2024-2A, Class D                                | CUSIP: 69703HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $250012.80    | 0.34%             | 2033-01-15      | Floating      | 8.96%                 | No            |                  2 | On Loan: No      |
| AREIT Ltd.                                                                | AREIT Ltd., Series 2025-CRE10, Class A                                                  | CUSIP: 00193DAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     105000 | PA      | $104913.29    | 0.14%             | 2029-12-17      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1077740 | PA      | $-1658.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Churchill Downs, Inc.                                                     | Churchill Downs, Inc.                                                                   | CUSIP: 171484AJ7<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102782.20    | 0.14%             | 2031-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Fertitta Entertainment LLC                                                | Fertitta Entertainment LLC                                                              | CUSIP: 31556TAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $92280.15     | 0.13%             | 2030-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-6835.18     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Rocket Cos., Inc.                                                         | Rocket Cos., Inc.                                                                       | CUSIP: 77311WAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      25000 | PA      | $25580.01     | 0.03%             | 2033-08-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-870.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      69641 | PA      | $507.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDI                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     371492 | PA      | $8189.78      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                  | CUSIP: 88033GDU1<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103458.90    | 0.14%             | 2031-05-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| 2023-MIC Trust                                                            | 2023-MIC Trust, Series 2023-MIC, Class A                                                | CUSIP: 87256GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     180000 | PA      | $196278.62    | 0.27%             | 2038-12-05      | Variable      | 8.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1963070 | PA      | $32.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Novelis Corp.                                                             | Novelis Corp.                                                                           | CUSIP: 670001AH9<br>LEI: 549300G5F3W3B52WYL23 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89856.52     | 0.12%             | 2031-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2025-NQM1, Class A1                         | CUSIP: 64832DAC5<br>LEI: 213800CZKHCTHKMD9W65 | Long             | ABS-MBS          | CORP              | US        |      95617 | PA      | $96233.48     | 0.13%             | 2065-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2024-12, Class A1                                      | CUSIP: 034932AA1<br>LEI: 254900S8TF74AZOT0548 | Long             | ABS-MBS          | CORP              | US        |      88154 | PA      | $88364.03     | 0.12%             | 2069-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     382031 | PA      | $10.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Q-Park Holding I BV                                                       | Q-Park Holding I BV                                                                     | CUSIP: N/A<br>LEI: 2549003839B7HE3NDP48       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $121652.79    | 0.17%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Ziggo BV                                                                  | Ziggo BV                                                                                | CUSIP: N/A<br>LEI: 213800TQASLF9JXH5J59       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $110413.02    | 0.15%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                                                  | Angel Oak Mortgage Trust, Series 2025-2, Class A1                                       | CUSIP: 03466QAA1<br>LEI: 254900DKH168ZWJSMI96 | Long             | ABS-MBS          | CORP              | US        |      48441 | PA      | $48576.06     | 0.07%             | 2070-02-25      | Variable      | 5.64%                 | No            |                  2 | On Loan: No      |
| Iliad Holding SASU                                                        | Iliad Holding SASU                                                                      | CUSIP: N/A<br>LEI: 9695009PXA7OI9NXN582       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $120975.47    | 0.17%             | 2030-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1074107 | PA      | $3.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Industries, Inc.                                                 | Standard Industries, Inc.                                                               | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     100000 | PA      | $98888.77     | 0.14%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-13.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $13.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pachelbel Bidco SpA                                                       | Pachelbel Bidco SpA                                                                     | CUSIP: N/A<br>LEI: 8156005DA07CDD50CC46       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $118407.53    | 0.16%             | 2031-05-17      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                         | CUSIP: 38141GC51<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |      36000 | PA      | $35993.58     | 0.05%             | 2056-01-28      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| VZ Secured Financing BV                                                   | VZ Secured Financing BV                                                                 | CUSIP: 91845AAA3<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |     200000 | PA      | $177921.68    | 0.24%             | 2032-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRESTLES CLO II Ltd.                                                      | Trestles CLO II Ltd., Series 2018-2A, Class A1R                                         | CUSIP: 89531MAJ1<br>LEI: 6354005OLPZ8XONXGL10 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $251203.53    | 0.34%             | 2037-07-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2071.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-470.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Public Service Electric and Gas Co.                                       | Public Service Electric & Gas Co.                                                       | CUSIP: 74456QCM6<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      38000 | PA      | $35745.60     | 0.05%             | 2053-03-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     281538 | PA      | $-32.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $57.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Irca SpA                                                                  | Irca SpA                                                                                | CUSIP: N/A<br>LEI: 815600CDE52BA2426216       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $117953.91    | 0.16%             | 2029-12-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $185.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deuce Finco plc                                                           | Deuce Finco plc                                                                         | CUSIP: N/A<br>LEI: 9845007DA2BC863E8437       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $136057.07    | 0.19%             | 2027-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-26.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United Rentals North America, Inc.                                        | United Rentals North America, Inc.                                                      | CUSIP: 911363AM1<br>LEI: NGIZXNT70J2LYT3FBI09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94035.79     | 0.13%             | 2031-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5505, Class JF             | CUSIP: 3137HJ6Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132895 | PA      | $133295.04    | 0.18%             | 2055-02-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Gruenenthal GmbH                                                          | Gruenenthal GmbH                                                                        | CUSIP: N/A<br>LEI: 529900SH895E31PGLA72       | Long             | DBT              | CORP              | DE        |     100000 | PA      | $118533.60    | 0.16%             | 2031-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Hilton Grand Vacations Borrower LLC                                       | Hilton Grand Vacations Borrower LLC                                                     | CUSIP: 43284MAA6<br>LEI: 254900HF0EZ734FDVY79 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96184.68     | 0.13%             | 2029-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1041.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Forvia SE                                                                 | Forvia SE                                                                               | CUSIP: N/A<br>LEI: 969500F0VMZLK2IULV85       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $116202.18    | 0.16%             | 2031-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bellis Acquisition Co. plc                                                | Bellis Acquisition Co. plc                                                              | CUSIP: N/A<br>LEI: 259400CYE2267UB4A481       | Long             | DBT              | CORP              | GB        |     116000 | PA      | $149872.79    | 0.21%             | 2030-05-14      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-837.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     274984 | PA      | $-142.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TransDigm, Inc.                                                           | TransDigm, Inc.                                                                         | CUSIP: 893647BW6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | DBT              | CORP              | US        |     100000 | PA      | $100543.38    | 0.14%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-2604.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Neuberger Berman Loan Advisers CLO 40 Ltd.                                | Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A                    | CUSIP: 64134JAA1<br>LEI: 549300Y2YE54ON4DJE28 | Long             | ABS-CBDO         | CORP              | KY        |     233995 | PA      | $234229.06    | 0.32%             | 2033-04-16      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                              | ING Groep NV                                                                            | CUSIP: N/A<br>LEI: 549300NYKK9MWM7GGW15       | Long             | DBT              | CORP              | NL        |     200000 | PA      | $212514.00    | 0.29%             | 2030-05-16      | Variable      | 8.00%                 | No            |                  2 | On Loan: No      |
| Republic of Poland                                                        | Republic of Poland                                                                      | CUSIP: N/A<br>LEI: 259400R9L8QEP0TPXS31       | Long             | DBT              | NUSS              | PL        |     560000 | PA      | $159870.38    | 0.22%             | 2029-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2021-A, Class A2A1                             | CUSIP: 78448YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      77559 | PA      | $77112.63     | 0.11%             | 2053-01-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| INV Mortgage Trust                                                        | INV Mortgage Trust, Series 2024-IND, Class A                                            | CUSIP: 45000DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $79954.30     | 0.11%             | 2041-11-15      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDI                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     521454 | PA      | $11376.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP                                                                     | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99220.48     | 0.14%             | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Preem Holdings AB                                                         | Preem Holdings AB                                                                       | CUSIP: N/A<br>LEI: 549300R8F8748VHR6289       | Long             | DBT              | CORP              | SE        |      80000 | PA      | $98145.53     | 0.13%             | 2027-06-30      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| TTAN MHC                                                                  | TTAN MHC, Series 2021-MHC, Class A                                                      | CUSIP: 87303TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96131 | PA      | $96160.59     | 0.13%             | 2038-03-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     165890 | PA      | $-22.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Brookfield Residential Properties, Inc.                                   | Brookfield Residential Properties, Inc.                                                 | CUSIP: 11283YAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     100000 | PA      | $89259.21     | 0.12%             | 2030-02-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-287.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-351.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-78.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fedrigoni SpA                                                             | Fedrigoni SpA                                                                           | CUSIP: N/A<br>LEI: 8156004CE82074779D19       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $114561.53    | 0.16%             | 2030-01-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| American Airlines, Inc.                                                   | American Airlines, Inc.                                                                 | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $99912.27     | 0.14%             | 2029-04-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     191392 | PA      | $-30.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EquipmentShare.com, Inc.                                                  | EquipmentShare.com, Inc.                                                                | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105643.00    | 0.14%             | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                                       | Hilcorp Energy I LP                                                                     | CUSIP: 431318BC7<br>LEI: 549300ITPIHLG0LHEC09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $103758.70    | 0.14%             | 2033-11-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Wintershall Dea Finance BV                                                | Wintershall Dea Finance BV                                                              | CUSIP: N/A<br>LEI: 529900SUC9JUI6M74U66       | Long             | DBT              | CORP              | NL        |     100000 | PA      | $117923.16    | 0.16%             | 2032-10-03      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| SELF Commercial Mortgage Trust                                            | SELF Commercial Mortgage Trust, Series 2024-STRG, Class A                               | CUSIP: 81631WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $50323.62     | 0.07%             | 2034-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-409.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association Variable Rate Notes, Series 2024-94, Class FB     | CUSIP: 3136BTK44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24224 | PA      | $24193.08     | 0.03%             | 2054-12-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Goldstory SAS                                                             | Goldstory SAS                                                                           | CUSIP: N/A<br>LEI: 969500NWR67ONUJD4A26       | Long             | DBT              | CORP              | FR        |     100000 | PA      | $118970.12    | 0.16%             | 2030-02-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| BX Commercial Mortgage Trust                                              | BX Commercial Mortgage Trust, Series 2024-GPA3, Class C                                 | CUSIP: 123910AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93771 | PA      | $93888.61     | 0.13%             | 2039-12-15      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                                       | Intesa Sanpaolo SpA                                                                     | CUSIP: N/A<br>LEI: 2W8N8UU78PMDQKZENC08       | Long             | DBT              | CORP              | IT        |     250000 | PA      | $300745.36    | 0.41%             | 2028-03-01      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| LBA Trust                                                                 | LBA Trust, Series 2024-BOLT, Class A                                                    | CUSIP: 50177BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70000 | PA      | $70043.64     | 0.10%             | 2039-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BCP V Modular Services Finance II plc                                     | BCP V Modular Services Finance II plc                                                   | CUSIP: N/A<br>LEI: 213800227GGD6UI7PI97       | Long             | DBT              | CORP              | GB        |     100000 | PA      | $132624.10    | 0.18%             | 2028-11-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Variable Rate Notes, Series 5478, Class FH             | CUSIP: 3137HHSE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80458 | PA      | $80715.48     | 0.11%             | 2054-04-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Hungary                                                                   | Hungary Government Bond                                                                 | CUSIP: N/A<br>LEI: 5299003F3UFKGCCMAP43       | Long             | DBT              | NUSS              | HU        |   11630000 | PA      | $34140.65     | 0.05%             | 2035-10-24      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Organon & Co.                                                             | Organon & Co.                                                                           | CUSIP: 68622TAB7<br>LEI: 549300AMCKY57OK2CO56 | Long             | DBT              | CORP              | US        |     200000 | PA      | $173571.14    | 0.24%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Open Text Corp.                                                           | Open Text Corp.                                                                         | CUSIP: 683715AC0<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |     100000 | PA      | $96986.08     | 0.13%             | 2028-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1131.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    -520000 | PA      | $-2463.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAHA Trust                                                                | BAHA Trust, Series 2024-MAR, Class C                                                    | CUSIP: 05493XAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $104343.60    | 0.14%             | 2041-12-10      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| Cedacri SpA                                                               | Cedacri SpA                                                                             | CUSIP: N/A<br>LEI: 815600E85FCD78B3EE61       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $118530.76    | 0.16%             | 2028-05-15      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| FIS Fabbrica Italiana Sintetici SpA                                       | FIS Fabbrica Italiana Sintetici SpA                                                     | CUSIP: N/A<br>LEI: 8156004D7056C63EC525       | Long             | DBT              | CORP              | IT        |     100000 | PA      | $118799.78    | 0.16%             | 2027-08-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    3470666 | PA      | $-0.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    7542289 | PA      | $-9.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1216804 | PA      | $8.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-158.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-147.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                                          | Great Wolf Trust, Series 2024-WOLF, Class A                                             | CUSIP: 39152MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100156.25    | 0.14%             | 2039-03-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2023-DELC, Class A                                                     | CUSIP: 05610DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100623.66    | 0.14%             | 2038-05-15      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                                                 | HIH Trust, Series 2024-61P, Class A                                                     | CUSIP: 40444VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98525 | PA      | $98586.96     | 0.13%             | 2041-10-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-3877.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Arroyo Mortgage Trust                                                     | Arroyo Mortgage Trust, Series 2019-1, Class A1                                          | CUSIP: 042859AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12810 | PA      | $12497.66     | 0.02%             | 2049-01-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |      53686 | PA      | $22.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOCA Commercial Mortgage Trust                                            | BOCA Commercial Mortgage Trust, Series 2024-BOCA, Class A                               | CUSIP: 096817AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $100250.00    | 0.14%             | 2041-08-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Jane Street Group                                                         | Jane Street Group                                                                       | CUSIP: 47077WAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $97009.23     | 0.13%             | 2029-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** BlackRock Allocation Target Shares

**Signature:** Chuck Pulsfort

**Name of Signer:** Chuck Pulsfort

**Title:** Assistant Treasurer