# EDGAR Filing Document

**Accession Number:** 0001738072
**File Stem:** 0001752724-23-039225
**Filing Date:** 2023-2
**Character Count:** 904024
**Document Hash:** 7bfd548edd29544f626e43989a903d2e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039225.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039225

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Variable Series Funds II, Inc.
- **CENTRAL INDEX KEY:** 0001738072
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23346
- **FILM NUMBER:** 23665227

**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

## Series and Classes Contracts Data

### BlackRock Total Return V.I. Fund (Series ID: S000062377)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000202344 | Class I      |  |
| C000202345 | Class III    |  |

## 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 Variable Series Funds II, Inc.

- **b. Investment Company Act file number:** 811-23346

- **c. CIK number of Registrant:** 0001738072

- **d. LEI of Registrant:** 549300CYYTFFNBNORE26

- **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 Total Return V.I. Fund

- **b. EDGAR series identifier (if any):** S000062377

- **c. LEI of Series:** QEYJMZOKY3CA1LFEXI16

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $948007051.26

**Total Liabilities:** $197045701.02

**Net Assets:** $750961350.24

**Cash Not Reported:** $10780157.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 13837.82000000 | **1-Year:** 4497.79000000 | **5-Year:** 113059.13000000 | **10-Year:** 117063.91000000 | **30-Year:** 62721.59000000

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

- **3-Month:** 12572.08000000 | **1-Year:** 11463.56000000 | **5-Year:** 3619.88000000 | **10-Year:** -10636.67000000 | **30-Year:** 2712.55000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202345 | -1.40%               | 3.66%                | -0.42%               |
| Class ID C000202344 | -1.35%               | 3.75%                | -0.48%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6404212.93             | $-2492808.01                               |
| Month 2  | $-4380592.30             | $25549681.14                               |
| Month 3  | $279081.68               | $-5127600.72                               |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Aggregate Bond Index

- **Index Identifier:** LBUSTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Wynn Las Vegas LLC                                                        | Wynn Las Vegas LLC                                                                                                  | CUSIP: 983130AV7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     162000 | PA      | $153794.05    | 0.02%             | 2025-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2019-1, Class AA                                                       | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     185852 | PA      | $153802.95    | 0.02%             | 2032-02-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                     | Conseco Finance Securitizations Corp., Series 2000-1, Class A5                                                      | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      56236 | PA      | $12504.49     | 0.00%             | 2029-09-01      | Variable      | 8.06%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     785000 | PA      | $454012.88    | 0.06%             | 2061-04-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| KAR Auction Services, Inc.                                                | KAR Auction Services, Inc.                                                                                          | CUSIP: 48238TAA7<br>LEI: 5493004HKD20LBSG7D03 | Long             | DBT              | CORP              | US        |      16000 | PA      | $15631.04     | 0.00%             | 2025-06-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| General Motors Co.                                                        | General Motors Co.                                                                                                  | CUSIP: 37045VAY6<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |      78000 | PA      | $74435.22     | 0.01%             | 2029-10-15      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    7578000 | PA      | $-2020.74     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418D6B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2920930 | PA      | $2380743.88   | 0.32%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828ZH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4593000 | PA      | $4539534.63   | 0.60%             | 2023-04-15      | Fixed         | 0.25%                 | 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      | $-3022.94     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X4WD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3807 | PA      | $3528.57      | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46899 | PA      | $43854.50     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  209800707 | PA      | $77644.41     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                   | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     169000 | PA      | $142365.22    | 0.02%             | 2033-03-02      | Variable      | 3.35%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust                              | Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2                                               | CUSIP: 456606ER9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14150 | PA      | $13538.25     | 0.00%             | 2034-07-25      | Floating      | 3.61%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     944013 | PA      | $771101.72    | 0.10%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | GBP Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |    -154000 | PA      | $-564.59      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43708 | PA      | $40545.79     | 0.01%             | 2036-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     796603 | PA      | $690755.12    | 0.09%             | 2052-07-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58608 | PA      | $53305.73     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46625HRY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     194000 | PA      | $181253.26    | 0.02%             | 2028-02-01      | Variable      | 3.78%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2268 | PA      | $2126.66      | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Redsun Properties Group Ltd.                                              | Redsun Properties Group Ltd.                                                                                        | CUSIP: N/A<br>LEI: 549300TYWIIKAOK07L47       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $18975.00     | 0.00%             | 2025-01-13      | Fixed         | 7.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2710 | PA      | $2796.39      | 0.00%             | 2038-10-01      | 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      | $108.03       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19212 | PA      | $18014.99     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $553.28       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLLD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     107122 | PA      | $100414.89    | 0.01%             | 2036-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Biogen, Inc.                                                              | Biogen, Inc.                                                                                                        | CUSIP: 09062XAH6<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |     316000 | PA      | $257442.41    | 0.03%             | 2030-05-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     648000 | PA      | $-3090.60     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2017-2, Class M3                                                     | CUSIP: 92258VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64082 | PA      | $52450.85     | 0.01%             | 2047-11-25      | Variable      | 4.24%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     336350 | PA      | $276882.26    | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3082401 | PA      | $2831540.47   | 0.38%             | 2053-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22581 | PA      | $20244.29     | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                         | CUSIP: 037833DW7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     495000 | PA      | $327494.25    | 0.04%             | 2050-05-11      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Nexstar Media, Inc.                                                       | Nexstar Media, Inc.                                                                                                 | CUSIP: 65343HAA9<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      85000 | PA      | $77975.39     | 0.01%             | 2027-07-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62192 | PA      | $58158.02     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1184.59      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     649485 | PA      | $597938.26    | 0.08%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2485843 | PA      | $2225415.40   | 0.30%             | 2051-08-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83754 | PA      | $77802.56     | 0.01%             | 2048-01-01      | 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      | $-293.99      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -112000 | PA      | $-5296.95     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2015-1, Class AA                                                         | CUSIP: 90932LAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      31543 | PA      | $28048.81     | 0.00%             | 2027-12-01      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WHFL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54638 | PA      | $48992.96     | 0.01%             | 2046-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| State of California                                                       | State of California, Series 2018                                                                                    | CUSIP: 13063DGE2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     815000 | PA      | $764268.38    | 0.10%             | 2038-04-01      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                         | CUSIP: 037833EE6<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     189000 | PA      | $133566.35    | 0.02%             | 2041-02-08      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| State Street Corp.                                                        | State Street Corp., Series F                                                                                        | CUSIP: 857477AQ6<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |      68000 | PA      | $67814.65     | 0.01%             | 2023-03-15      | Floating      | 8.37%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     292222 | PA      | $251768.15    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Alabama Power Co.                                                         | Alabama Power Co.                                                                                                   | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     353000 | PA      | $254290.85    | 0.03%             | 2049-10-01      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QL4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     202190 | PA      | $189497.45    | 0.03%             | 2036-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335764 | PA      | $276292.99    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                         | CUSIP: 75513ECP4<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     741000 | PA      | $502360.05    | 0.07%             | 2052-03-15      | Fixed         | 3.03%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6854 | PA      | $7110.92      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                  | CUSIP: 37045XBK1<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |      66000 | PA      | $65673.32     | 0.01%             | 2023-05-09      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1427680 | PA      | $1220931.14   | 0.16%             | 2051-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2602181 | PA      | $2310946.47   | 0.31%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     496000 | PA      | $334791.96    | 0.04%             | 2040-11-20      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119232 | PA      | $102298.33    | 0.01%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      75000 | PA      | $-624.77      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Atento Luxco 1 SA                                                         | Atento Luxco 1 SA                                                                                                   | CUSIP: 04684LAC2<br>LEI: 549300MLFF3HYCZQTC48 | Long             | DBT              | CORP              | LU        |      36000 | PA      | $19244.25     | 0.00%             | 2026-02-10      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1084803 | PA      | $970745.05    | 0.13%             | 2051-06-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3131Y9E25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56621 | PA      | $55115.89     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Mortgage Acquisition Trust                                       | JPMorgan Mortgage Acquisition Trust, Series 2006-CW1, Class M1                                                      | CUSIP: 46628MAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      73704 | PA      | $70934.06     | 0.01%             | 2036-05-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     313000 | PA      | $1237.02      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                              | CUSIP: 88033GDA5<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |      23000 | PA      | $21395.52     | 0.00%             | 2027-11-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      19958 | PA      | $-2508.35     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -252000 | PA      | $-90.01       | -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      | $-1865.77     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19004 | PA      | $17840.94     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     943898 | PA      | $886.60       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2005-16, Class 1AF                                                    | CUSIP: 126670NV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      82224 | PA      | $70865.02     | 0.01%             | 2036-04-25      | Variable      | 4.53%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162955 | PA      | $151043.80    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                          | CUSIP: 00206RLV2<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     786000 | PA      | $526094.11    | 0.07%             | 2059-09-15      | 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      | $-753.41      | -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      | $-55.89       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16148 | PA      | $15447.40     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | 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      | $389.50       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                               | CUSIP: 91087BAM2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     598000 | PA      | $483184.00    | 0.06%             | 2031-05-24      | Fixed         | 2.66%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                           | CUSIP: 92840VAB8<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      93000 | PA      | $88225.61     | 0.01%             | 2027-02-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Post Holdings, Inc.                                                       | Post Holdings, Inc.                                                                                                 | CUSIP: 737446AP9<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      57000 | PA      | $51580.16     | 0.01%             | 2029-12-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     702894 | PA      | $601100.32    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7LM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99794 | PA      | $90800.08     | 0.01%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Invitation Homes Operating Partnership LP                                 | Invitation Homes Operating Partnership LP                                                                           | CUSIP: 46188BAC6<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |     104000 | PA      | $75820.59     | 0.01%             | 2034-01-15      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| Omnicom Group, Inc.                                                       | Omnicom Group, Inc.                                                                                                 | CUSIP: 681919BB1<br>LEI: HKUPACFHSSASQK8HLS17 | Long             | DBT              | CORP              | US        |     116000 | PA      | $96073.77     | 0.01%             | 2030-04-30      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504097 | PA      | $485845.40    | 0.06%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC                                                                                            | CUSIP: 00115AAK5<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     155000 | PA      | $120731.76    | 0.02%             | 2049-06-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383875 | PA      | $316004.46    | 0.04%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26451 | PA      | $24875.75     | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| New York State Dormitory Authority                                        | New York State Dormitory Authority, Series 2010H                                                                    | CUSIP: 6499022F9<br>LEI: 549300C8XO7EXTX2XU71 | Long             | DBT              | MUN               | US        |      60000 | PA      | $60583.03     | 0.01%             | 2040-03-15      | Fixed         | 5.39%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     291536 | PA      | $239715.00    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22533 | PA      | $21771.47     | 0.00%             | 2040-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132D9B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451957 | PA      | $437656.40    | 0.06%             | 2035-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     120000 | PA      | $-3081.10     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| SG Mortgage Securities Trust                                              | SG Mortgage Securities Trust, Series 2006-OPT2, Class A3D                                                           | CUSIP: 78420MAF6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $67548.95     | 0.01%             | 2036-10-25      | Floating      | 4.60%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4920000 | PA      | $3837792.18   | 0.51%             | 2047-11-15      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| ConnectWise LLC                                                           | ConnectWise LLC, Term Loan                                                                                          | CUSIP: 20786NAC1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     155430 | PA      | $147318.11    | 0.02%             | 2028-09-29      | Variable      | 7.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176004 | PA      | $156039.62    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     528000 | PA      | $430959.38    | 0.06%             | 2043-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                        | CUSIP: 00287YAR0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     478000 | PA      | $442774.01    | 0.06%             | 2035-05-14      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc., Term Loan                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     339509 | PA      | $0.03         | 0.00%             | 2023-12-31      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26411 | PA      | $25519.21     | 0.00%             | 2040-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                           | CUSIP: 26442CAT1<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     343000 | PA      | $260933.74    | 0.03%             | 2047-12-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31402Q2V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2340 | PA      | $2389.66      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Entergy Louisiana LLC                                                     | Entergy Louisiana LLC                                                                                               | CUSIP: 29364WBB3<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     325000 | PA      | $265925.87    | 0.04%             | 2048-09-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     515000 | PA      | $393402.22    | 0.05%             | 2031-10-24      | Variable      | 1.92%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                     | Conseco Finance Securitizations Corp., Series 2000-5, Class A7                                                      | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     134175 | PA      | $43559.38     | 0.01%             | 2031-05-01      | Fixed         | 8.20%                 | No            | 2                  | On Loan: No      |
| Consumers Energy Co.                                                      | Consumers Energy Co.                                                                                                | CUSIP: 210518DE3<br>LEI: 7NKTFWJ1G6MELP9TU740 | Long             | DBT              | CORP              | US        |     814000 | PA      | $634314.57    | 0.08%             | 2050-02-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Leidos, Inc.                                                              | Leidos, Inc.                                                                                                        | CUSIP: 52532XAH8<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     241000 | PA      | $184619.37    | 0.02%             | 2031-02-15      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| ServiceNow, Inc.                                                          | ServiceNow, Inc.                                                                                                    | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |     565000 | PA      | $432234.37    | 0.06%             | 2030-09-01      | Fixed         | 1.40%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     474000 | PA      | $438079.69    | 0.06%             | 2029-02-15      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179V4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1210003 | PA      | $1082041.00   | 0.14%             | 2051-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WEF61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28922 | PA      | $27120.59     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2007-15, Class 2A2                                                          | CUSIP: 17025TBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173755 | PA      | $74117.29     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                  | CUSIP: 25179MAV5<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      26000 | PA      | $26469.28     | 0.00%             | 2025-12-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                  | CUSIP: 22822VAR2<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     259000 | PA      | $226571.44    | 0.03%             | 2030-07-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335B2J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171247 | PA      | $169556.23    | 0.02%             | 2047-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HHWE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82726 | PA      | $79268.75     | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                         | CUSIP: 502431AM1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     196000 | PA      | $187614.30    | 0.02%             | 2028-06-15      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290968 | PA      | $279627.24    | 0.04%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     105000 | PA      | $81470.41     | 0.01%             | 2032-07-21      | Variable      | 2.38%                 | No            | 2                  | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                         | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      80000 | PA      | $48408.19     | 0.01%             | 2060-08-20      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     131000 | PA      | $-586.43      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CrownRock LP                                                              | CrownRock LP                                                                                                        | CUSIP: 228701AF5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      39000 | PA      | $37635.00     | 0.01%             | 2025-10-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                  | CUSIP: 37045XDV5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     329000 | PA      | $294687.24    | 0.04%             | 2029-04-06      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      75000 | PA      | $58781.25     | 0.01%             | 2032-02-16      | Fixed         | 6.70%                 | No            | 2                  | On Loan: No      |
| Williams Cos., Inc. (The)                                                 | Williams Cos., Inc. (The)                                                                                           | CUSIP: 88339WAA4<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |     273000 | PA      | $185790.81    | 0.02%             | 2051-10-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     173913 | PA      | $143614.77    | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co., Series 130                                                                                 | CUSIP: 202795JT8<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     220000 | PA      | $151798.56    | 0.02%             | 2051-03-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| VMware, Inc.                                                              | VMware, Inc.                                                                                                        | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     132000 | PA      | $107788.66    | 0.01%             | 2028-08-15      | Fixed         | 1.80%                 | No            | 2                  | On Loan: No      |
| Bank of America Merrill Lynch Commercial Mortgage Trust                   | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK3, Class XB                                 | CUSIP: 06427DAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $21623.30     | 0.00%             | 2050-02-15      | Variable      | 0.59%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 3A1                          | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25208 | PA      | $21718.93     | 0.00%             | 2036-05-25      | Variable      | 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      | $-2754.61     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      50000 | PA      | $243076.62    | 0.03%             | 2038-11-18      | Fixed         | 8.50%                 | No            | 2                  | On Loan: No      |
| ORIX Corp.                                                                | ORIX Corp.                                                                                                          | CUSIP: 686330AP6<br>LEI: 35380016EMHNBOVYE123 | Long             | DBT              | CORP              | JP        |      30000 | PA      | $26607.00     | 0.00%             | 2032-04-13      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     211019 | PA      | $174102.08    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216628 | PA      | $186278.72    | 0.02%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $680.32       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Entergy Mississippi LLC                                                   | Entergy Mississippi LLC                                                                                             | CUSIP: 29364NAT5<br>LEI: 54930043I78H35DVVW89 | Long             | DBT              | CORP              | US        |     137000 | PA      | $121617.95    | 0.02%             | 2028-06-01      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                            | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8547 | PA      | $7984.21      | 0.00%             | 2036-10-25      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Lamar Media Corp.                                                         | Lamar Media Corp.                                                                                                   | CUSIP: 513075BR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       9000 | PA      | $8055.96      | 0.00%             | 2028-02-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202E7F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3447 | PA      | $3330.71      | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27960 | PA      | $26145.71     | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     930000 | PA      | $918773.13    | 0.12%             | 2027-06-30      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMKJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     727915 | PA      | $695316.81    | 0.09%             | 2050-03-01      | 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      | $567.19       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Charles River Laboratories International, Inc.                            | Charles River Laboratories International, Inc.                                                                      | CUSIP: 159864AE7<br>LEI: 549300BSQ0R4UZ5KX287 | Long             | DBT              | CORP              | US        |       7000 | PA      | $6446.79      | 0.00%             | 2028-05-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828U24<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1327000 | PA      | $1226904.80   | 0.16%             | 2026-11-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Securitizations Corp.                                     | Conseco Finance Securitizations Corp., Series 2000-4, Class A6                                                      | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     151157 | PA      | $32664.19     | 0.00%             | 2032-05-01      | Variable      | 8.31%                 | No            | 2                  | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                        | CUSIP: 059165EJ5<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     586000 | PA      | $451908.35    | 0.06%             | 2047-08-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Allegro CLO II-S Ltd.                                                     | Allegro CLO II-S Ltd., Series 2014-1RA, Class A1                                                                    | CUSIP: 01751EAC2<br>LEI: 635400R1GOVCHJ4SNX58 | Long             | ABS-CBDO         | CORP              | KY        |     377882 | PA      | $373364.08    | 0.05%             | 2028-10-21      | Floating      | 5.36%                 | No            | 2                  | On Loan: No      |
| Discovery Communications LLC                                              | Discovery Communications LLC                                                                                        | CUSIP: N/A<br>LEI: L2Z2MO2EQURH3BREWI15       | Long             | DBT              | CORP              | US        |     413000 | PA      | $398915.83    | 0.05%             | 2027-03-19      | Fixed         | 1.90%                 | No            | 2                  | On Loan: No      |
| Valcour Packaging LLC                                                     | Valcour Packaging LLC, 1st Lien Term Loan                                                                           | CUSIP: 91889CAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      29850 | PA      | $24477.00     | 0.00%             | 2028-10-04      | Variable      | 7.98%                 | No            | 3                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |        783 | PA      | $10.77        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5772 | PA      | $5399.56      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBW4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     764000 | PA      | $560478.70    | 0.07%             | 2040-04-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7X91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13416 | PA      | $12695.75     | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                  | CUSIP: 22822VAW1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     249000 | PA      | $196247.71    | 0.03%             | 2031-04-01      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132L5AD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38117 | PA      | $34722.41     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2176472 | PA      | $1861276.90   | 0.25%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Elevance Health, Inc.                                                     | Elevance Health, Inc.                                                                                               | CUSIP: 036752AX1<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     321000 | PA      | $342208.94    | 0.05%             | 2052-10-15      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |          8 | NC      | $1625.00      | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                              | CUSIP: 655844CL0<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     111000 | PA      | $71688.32     | 0.01%             | 2051-08-25      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos, Series 13-2                                                                                    | CUSIP: N/A<br>LEI: 549300CAZKPF4HKMPX17       | Long             | DBT              | NUSS              | MX        |      11055 | PA      | $52380.98     | 0.01%             | 2024-09-12      | Fixed         | 7.19%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     528000 | PA      | $494876.25    | 0.07%             | 2043-11-15      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2007-2A, Class A1                                                            | CUSIP: 07325XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18585 | PA      | $16419.51     | 0.00%             | 2037-07-25      | Floating      | 4.66%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     795953 | PA      | $655227.08    | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Gilead Sciences, Inc.                                                     | Gilead Sciences, Inc.                                                                                               | CUSIP: 375558BT9<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     267000 | PA      | $170702.41    | 0.02%             | 2050-10-01      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     786046 | PA      | $704564.58    | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  190760000 | PA      | $227629.82    | 0.03%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     767334 | PA      | $628879.77    | 0.08%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155327 | PA      | $149498.37    | 0.02%             | 2052-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                        | CUSIP: 279158AN9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |     343000 | PA      | $310415.00    | 0.04%             | 2030-04-29      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WEAC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151826 | PA      | $145998.76    | 0.02%             | 2030-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417TM62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25291 | PA      | $26196.40     | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GXJ8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2381000 | PA      | $2289670.55   | 0.30%             | 2025-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE3, Class 1A4                                            | CUSIP: 073852AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     194782 | PA      | $190760.39    | 0.03%             | 2037-04-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Braskem Idesa SAPI                                                        | Braskem Idesa SAPI                                                                                                  | CUSIP: N/A<br>LEI: YH0V7ZHY352ITDGEYB83       | Long             | DBT              | CORP              | MX        |     200000 | PA      | $142500.00    | 0.02%             | 2032-02-20      | Fixed         | 6.99%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                  | CUSIP: 37045XDL7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     709000 | PA      | $543218.39    | 0.07%             | 2031-06-10      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| General Motors Co.                                                        | General Motors Co.                                                                                                  | CUSIP: 37045VAZ3<br>LEI: 54930070NSV60J38I987 | Long             | DBT              | CORP              | US        |    1111000 | PA      | $1032114.89   | 0.14%             | 2032-10-15      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HP4C8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21445 | PA      | $21434.58     | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | 3 Month SONIA Index                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |         15 | NC      | $641.88       | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Romark WM-R Ltd.                                                          | Romark WM-R Ltd., Series 2018-1A, Class A1                                                                          | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     247404 | PA      | $242827.48    | 0.03%             | 2031-04-20      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MAD55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48524 | PA      | $45320.99     | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series C                                                                                         | CUSIP: 337932AJ6<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      43000 | PA      | $38389.91     | 0.01%             | 2047-07-15      | Fixed         | 5.35%                 | No            | 2                  | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                       | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     101000 | PA      | $69737.81     | 0.01%             | 2050-05-20      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16758 | PA      | $15711.31     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                 | CUSIP: 71654QCB6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      27000 | PA      | $25663.50     | 0.00%             | 2026-08-04      | Fixed         | 6.88%                 | No            | 2                  | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                              | CUSIP: 655844CF3<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     326000 | PA      | $218349.09    | 0.03%             | 2050-05-15      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGVN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103514 | PA      | $91849.35     | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                           | CUSIP: 126408HR7<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     106000 | PA      | $76262.92     | 0.01%             | 2049-09-15      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CA79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32095 | PA      | $31342.06     | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Suzano Austria GmbH                                                       | Suzano Austria GmbH, Series DM3N                                                                                    | CUSIP: 86964WAK8<br>LEI: 254900287ZNSGVP1R341 | Long             | DBT              | CORP              | AT        |      90000 | PA      | $70087.50     | 0.01%             | 2032-01-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11105 | PA      | $10664.89     | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     532720 | PA      | $454126.91    | 0.06%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $429.23       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69898 | PA      | $65360.81     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62480 | PA      | $58866.86     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Aramark Services, Inc.                                                    | Aramark Services, Inc.                                                                                              | CUSIP: 038522AQ1<br>LEI: 42YMHYH0XMHJEXDUB065 | Long             | DBT              | CORP              | US        |      83000 | PA      | $77433.61     | 0.01%             | 2028-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248536 | PA      | $238553.01    | 0.03%             | 2047-03-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                           | CUSIP: 92840VAA0<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      72000 | PA      | $69366.05     | 0.01%             | 2026-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     146000 | PA      | $152233.52    | 0.02%             | 2039-11-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                           | CUSIP: 341081FU6<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     111000 | PA      | $93060.01     | 0.01%             | 2049-03-01      | Fixed         | 3.99%                 | No            | 2                  | On Loan: No      |
| OZLM Funding IV Ltd.                                                      | OZLM Funding IV Ltd., Series 2013-4A, Class A1R                                                                     | CUSIP: 67108FAN6<br>LEI: 549300788AI08GTXXH35 | Long             | ABS-CBDO         | CORP              | KY        |     382655 | PA      | $377129.82    | 0.05%             | 2030-10-22      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QE2C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138165 | PA      | $132081.70    | 0.02%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  208075205 | PA      | $77505.93     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                  | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      71000 | PA      | $69208.02     | 0.01%             | 2027-02-01      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF                                       | CUSIP: 61764PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130000 | PA      | $2845.86      | 0.00%             | 2047-12-15      | Variable      | 1.18%                 | No            | 2                  | On Loan: No      |
| Navient Private Education Loan Trust                                      | Navient Private Education Loan Trust, Series 2014-AA, Class A2B                                                     | CUSIP: 63939CAC1<br>LEI: 54930094LU45XF2CP718 | Long             | ABS-O            | CORP              | US        |       5005 | PA      | $5004.76      | 0.00%             | 2029-02-15      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                       | Seasoned Credit Risk Transfer Trust, Series 2017-3, Class B                                                         | CUSIP: 35563PCG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112707 | PA      | $16690.27     | 0.00%             | 2056-07-25      | None          | 0.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     484613 | PA      | $447175.78    | 0.06%             | 2046-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Matador Resources Co.                                                     | Matador Resources Co.                                                                                               | CUSIP: 576485AE6<br>LEI: 549300CI3Q2UUK5R4G79 | Long             | DBT              | CORP              | US        |      16000 | PA      | $15383.34     | 0.00%             | 2026-09-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                                    | CUSIP: 1248EPCD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     106000 | PA      | $91415.99     | 0.01%             | 2030-03-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J8F24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11984 | PA      | $12120.99     | 0.00%             | 2045-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J75N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35972 | PA      | $34060.43     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1651 | PA      | $1544.36      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                 | CUSIP: 907818FG8<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     550000 | PA      | $424864.88    | 0.06%             | 2060-03-20      | Fixed         | 3.84%                 | No            | 2                  | On Loan: No      |
| Rogers Communications, Inc.                                               | Rogers Communications, Inc.                                                                                         | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |      87000 | PA      | $67449.89     | 0.01%             | 2052-03-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138W9F88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33540 | PA      | $31758.22     | 0.00%             | 2028-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        933 | PA      | $929.58       | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823680 | PA      | $706249.82    | 0.09%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Bank                                                    | Washington Mutual Escrow Bonds                                                                                      | CUSIP: 939MMIBF0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     300000 | PA      | $3000.00      | 0.00%             | 2009-11-06      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100899 | PA      | $94707.25     | 0.01%             | 2031-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-437.29      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                            | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     189000 | PA      | $205091.25    | 0.03%             | 2063-02-15      | Fixed         | 6.05%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $132.04       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                   | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     145000 | PA      | $96451.38     | 0.01%             | 2053-02-15      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5155 | PA      | $5276.61      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Countrywide Asset-Backed Certificates                                     | Countrywide Asset-Backed Certificates, Series 2006-SPS1, Class A                                                    | CUSIP: 12666MAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         53 | PA      | $464.13       | 0.00%             | 2025-12-25      | Floating      | 4.61%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     841000 | PA      | $670689.79    | 0.09%             | 2032-04-22      | 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      | $1414.41      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                     | CUSIP: 68233JCL6<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     109000 | PA      | $105198.66    | 0.01%             | 2052-09-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                        | CUSIP: 059165EH9<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     153000 | PA      | $113463.23    | 0.02%             | 2046-08-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     120000 | PA      | $-843.81      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1995000 | PA      | $1908264.26   | 0.25%             | 2024-07-31      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CBX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4447000 | PA      | $4385853.75   | 0.58%             | 2023-04-30      | Fixed         | 0.12%                 | No            | 2                  | On Loan: No      |
| Clear Channel Outdoor Holdings, Inc.                                      | Clear Channel Outdoor Holdings, Inc.                                                                                | CUSIP: 18453HAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      92000 | PA      | $79718.00     | 0.01%             | 2027-08-15      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14205 | PA      | $13176.81     | 0.00%             | 2037-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Bay Area Toll Authority                                                   | Bay Area Toll Authority, Series 2010S-1                                                                             | CUSIP: 072024NV0<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     290000 | PA      | $356363.59    | 0.05%             | 2050-04-01      | Fixed         | 7.04%                 | 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      | $2038.74      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JPMCC Commercial Mortgage Securities Trust                                | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class B                                                | CUSIP: 465968AK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10000 | PA      | $8595.31      | 0.00%             | 2050-09-15      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEQC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185986 | PA      | $170676.77    | 0.02%             | 2050-08-01      | 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      | $693.85       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                  | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    1081000 | PA      | $942249.60    | 0.13%             | 2029-11-15      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WD7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4054 | PA      | $3801.45      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co., Series R                                                                                            | CUSIP: 677415CU3<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     311000 | PA      | $202342.75    | 0.03%             | 2051-10-01      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| KLA Corp.                                                                 | KLA Corp.                                                                                                           | CUSIP: 482480AN0<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     353000 | PA      | $338976.73    | 0.05%             | 2062-07-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                     | CUSIP: 68233JBR4<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     357000 | PA      | $252678.49    | 0.03%             | 2049-09-15      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Dryden 45 Senior Loan Fund                                                | Dryden 45 Senior Loan Fund, Series 2016-45A, Class BR                                                               | CUSIP: 26244MAQ5<br>LEI: 54930046L20VLJKPVV31 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240231.25    | 0.03%             | 2030-10-15      | Floating      | 5.78%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66829 | PA      | $62038.31     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27185 | PA      | $26984.83     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| NSTAR Electric Co.                                                        | NSTAR Electric Co.                                                                                                  | CUSIP: 67021CAP2<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |      38000 | PA      | $35721.65     | 0.00%             | 2030-04-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Northern States Power Co.                                                 | Northern States Power Co.                                                                                           | CUSIP: 665772CS6<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     241000 | PA      | $152757.97    | 0.02%             | 2051-06-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138X6T70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248142 | PA      | $244423.36    | 0.03%             | 2043-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     614517 | PA      | $590161.71    | 0.08%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68655 | PA      | $69521.96     | 0.01%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                        | First Franklin Mortgage Loan Trust, Series 2006-FFH1, Class M2                                                      | CUSIP: 32027NZN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      95450 | PA      | $86726.72     | 0.01%             | 2036-01-25      | Floating      | 4.99%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BCH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61994 | PA      | $61007.55     | 0.01%             | 2047-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8562 | PA      | $8232.96      | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2016-667M, Class D                                                                | CUSIP: 12636GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $75878.31     | 0.01%             | 2036-10-10      | Variable      | 3.18%                 | No            | 2                  | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                            | Thermo Fisher Scientific, Inc.                                                                                      | CUSIP: 883556CL4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     100000 | PA      | $80986.93     | 0.01%             | 2031-10-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     279211 | PA      | $259027.85    | 0.03%             | 2038-06-01      | Fixed         | 3.00%                 | 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      | $-274.52      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17541 | PA      | $15902.42     | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     763500 | PA      | $703612.97    | 0.09%             | 2032-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                     | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     212000 | PA      | $181321.81    | 0.02%             | 2033-03-17      | Variable      | 3.79%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                            | CUSIP: 25278XAQ2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     255000 | PA      | $194254.43    | 0.03%             | 2051-03-24      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Huntington Ingalls Industries, Inc.                                       | Huntington Ingalls Industries, Inc.                                                                                 | CUSIP: 446413AT3<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |      82000 | PA      | $74425.44     | 0.01%             | 2030-05-01      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1283000 | PA      | $1220754.46   | 0.16%             | 2025-02-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Dell International LLC                                                    | Dell International LLC                                                                                              | CUSIP: 24703TAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      20000 | PA      | $22785.24     | 0.00%             | 2046-07-15      | Fixed         | 8.35%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ENZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86803 | PA      | $83472.50     | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20135 | PA      | $18827.59     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CWABS, Inc. Asset-Backed Certificates Trust                               | CWABS, Inc. Asset-Backed Certificates Trust, Series 2004-5, Class A                                                 | CUSIP: 1266716J0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      72057 | PA      | $67959.15     | 0.01%             | 2034-10-25      | Floating      | 5.29%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                  | CUSIP: 02209SAQ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     265000 | PA      | $198947.56    | 0.03%             | 2043-05-02      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Cox Communications, Inc.                                                  | Cox Communications, Inc.                                                                                            | CUSIP: 224044CH8<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     268000 | PA      | $257913.83    | 0.03%             | 2024-08-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157898 | PA      | $146417.77    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-GM, Class E                                                                                  | CUSIP: 056083AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $41785.00     | 0.01%             | 2039-06-13      | Variable      | 3.42%                 | No            | 3                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7368000 | PA      | $6980892.21   | 0.93%             | 2024-10-31      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12402 | PA      | $11863.94     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  688128000 | PA      | $-38520.16    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BJX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90480 | PA      | $85010.40     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     381000 | PA      | $5954.98      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -82580193 | PA      | $-931407.45   | -0.12%            |  |  |  | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2007-FLX5, Class 2A2                                                       | CUSIP: 45669WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81773 | PA      | $69657.10     | 0.01%             | 2037-08-25      | Floating      | 4.63%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $3170.46      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  205709593 | PA      | $75407.73     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307M2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23879 | PA      | $22988.80     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Wynn Resorts Finance LLC                                                  | Wynn Resorts Finance LLC                                                                                            | CUSIP: 983133AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      67000 | PA      | $57427.71     | 0.01%             | 2029-10-01      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Reperforming Loan REMIC Trust                                             | Reperforming Loan REMIC Trust, Series 2005-R3, Class AF                                                             | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2950 | PA      | $2574.37      | 0.00%             | 2035-09-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| Marsh & McLennan Cos., Inc.                                               | Marsh & McLennan Cos., Inc.                                                                                         | CUSIP: 571748BL5<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     160000 | PA      | $155167.64    | 0.02%             | 2026-09-21      | Fixed         | 1.35%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 6174468T9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1065000 | PA      | $1061874.50   | 0.14%             | 2023-11-10      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc., Series G                                                                                           | CUSIP: 00108WAJ9<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     235000 | PA      | $183277.51    | 0.02%             | 2049-05-01      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116831 | PA      | $111906.66    | 0.01%             | 2047-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     823996 | PA      | $812770.05    | 0.11%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ERQ52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138393 | PA      | $135951.58    | 0.02%             | 2045-11-01      | 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      | $-672.43      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                       | CUSIP: 615369AX3<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     316000 | PA      | $198879.15    | 0.03%             | 2061-11-29      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8176000 | PA      | $7270338.92   | 0.97%             | 2038-01-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                  | CUSIP: 29273RAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    1323000 | PA      | $1320457.00   | 0.18%             | 2023-02-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVMC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8248 | PA      | $7332.18      | 0.00%             | 2052-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Nucor Corp.                                                               | Nucor Corp.                                                                                                         | CUSIP: 670346AP0<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | DBT              | CORP              | US        |     386000 | PA      | $364643.55    | 0.05%             | 2028-05-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Mexico City Airport Trust                                                 | Mexico City Airport Trust                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | MX        |     200000 | PA      | $189912.50    | 0.03%             | 2026-10-31      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| National Retail Properties, Inc.                                          | National Retail Properties, Inc.                                                                                    | CUSIP: 637417AR7<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     135000 | PA      | $80332.52     | 0.01%             | 2052-04-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| TWDC Enterprises 18 Corp.                                                 | TWDC Enterprises 18 Corp.                                                                                           | CUSIP: 25468PDN3<br>LEI: 7260JQNI6SCF9FIV2392 | Long             | DBT              | CORP              | US        |     382000 | PA      | $266726.76    | 0.04%             | 2046-07-30      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQZA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32698 | PA      | $32281.03     | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13297 | PA      | $12720.96     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2973 | PA      | $2835.51      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CBS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2329000 | PA      | $2024228.50   | 0.27%             | 2028-03-31      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7W35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39088 | PA      | $36647.64     | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Russian Federation                                                        | Russian Federation                                                                                                  | CUSIP: N/A<br>LEI: 5493004EHVGF71PDBU58       | Long             | DBT              | NUSS              | RU        |   13759000 | PA      | $50371.93     | 0.01%             | 2035-07-18      | Fixed         | 6.10%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1029000 | PA      | $1021362.89   | 0.14%             | 2023-05-31      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Trans-Allegheny Interstate Line Co.                                       | Trans-Allegheny Interstate Line Co.                                                                                 | CUSIP: 893045AE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     700000 | PA      | $675687.43    | 0.09%             | 2025-06-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26314 | PA      | $24604.82     | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52440 | PA      | $47695.69     | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | 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      | $1412.88      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1124000 | PA      | $1068107.35   | 0.14%             | 2025-05-15      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDI                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    1200000 | PA      | $5991.40      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     470524 | PA      | $384343.77    | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| CWHEQ Home Equity Loan Trust                                              | CWHEQ Home Equity Loan Trust, Series 2006-S5, Class A5                                                              | CUSIP: 126683AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1904 | PA      | $2276.72      | 0.00%             | 2035-06-25      | Fixed         | 6.16%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                               | BCMSC Trust, Series 2000-A, Class A4                                                                                | CUSIP: 09774XBQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26744 | PA      | $4082.32      | 0.00%             | 2030-06-15      | Variable      | 8.29%                 | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                            | CUSIP: 620076BN8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     302000 | PA      | $287421.75    | 0.04%             | 2029-05-23      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO Ltd.                                                | Anchorage Capital CLO Ltd., Series 2018-1RA, Class A1                                                               | CUSIP: 03328YAA2<br>LEI: 549300L8BI45FDIJHO17 | Long             | ABS-CBDO         | CORP              | KY        |     310000 | PA      | $306015.69    | 0.04%             | 2031-04-13      | Floating      | 4.93%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     684339 | PA      | $604576.88    | 0.08%             | 2051-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFLJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15729 | PA      | $15047.64     | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10445 | PA      | $9767.38      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18205 | PA      | $17883.50     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp., Series N                                                                                     | CUSIP: 06051GJQ3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     547000 | PA      | $483932.85    | 0.06%             | 2027-03-11      | Variable      | 1.66%                 | No            | 2                  | On Loan: No      |
| Republic Services, Inc.                                                   | Republic Services, Inc.                                                                                             | CUSIP: 760759AT7<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     119000 | PA      | $113035.16    | 0.02%             | 2028-05-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                | CUSIP: 03027XAU4<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     703000 | PA      | $648065.08    | 0.09%             | 2029-03-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     411197 | PA      | $401996.09    | 0.05%             | 2032-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                         | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      77000 | PA      | $73670.56     | 0.01%             | 2025-07-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WPHV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29371 | PA      | $26723.31     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2018-D, Class B                                                                    | CUSIP: 00968EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        865 | PA      | $597.55       | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Millicom International Cellular SA                                        | Millicom International Cellular SA                                                                                  | CUSIP: 600814AP2<br>LEI: 549300CTHC1CP86P2G96 | Long             | DBT              | CORP              | LU        |     180000 | PA      | $178515.00    | 0.02%             | 2026-10-15      | Fixed         | 6.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144623 | PA      | $138852.07    | 0.02%             | 2047-11-20      | 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      | $-186.97      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2009-5R, Class 4A4                                                                               | CUSIP: 12641TCR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          2 | PA      | $1.45         | 0.00%             | 2036-06-25      | Variable      | 2.97%                 | No            | 3                  | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                                   | CUSIP: 404280DH9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     720000 | PA      | $666736.62    | 0.09%             | 2033-08-11      | Variable      | 5.40%                 | No            | 2                  | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                              | CUSIP: 893574AM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     183000 | PA      | $152094.49    | 0.02%             | 2048-03-15      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                   | Duke Energy Florida LLC                                                                                             | CUSIP: 26444HAH4<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |     550000 | PA      | $470038.61    | 0.06%             | 2029-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $379.37       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102628 | PA      | $91730.10     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO 4-R Ltd.                                            | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A                                                            | CUSIP: 03328LAA0<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |     244880 | PA      | $242130.66    | 0.03%             | 2031-01-28      | Floating      | 5.42%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $88.91        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                  | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE5, Class M4                                                 | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      92364 | PA      | $75367.83     | 0.01%             | 2035-09-25      | Floating      | 5.26%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6695 | PA      | $6412.73      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Autodesk, Inc.                                                            | Autodesk, Inc.                                                                                                      | CUSIP: 052769AH9<br>LEI: FRKKVKAIQEF3FCSTPG55 | Long             | DBT              | CORP              | US        |     197000 | PA      | $157368.25    | 0.02%             | 2031-12-15      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WBCD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23830 | PA      | $23389.02     | 0.00%             | 2029-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1296500 | PA      | $2770.48      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates                            | CSFB Mortgage-Backed Pass-Through Certificates, Series 2005-10, Class 10A1                                          | CUSIP: 225470FK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41469 | PA      | $10196.94     | 0.00%             | 2035-11-25      | Floating      | 5.74%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4782959 | PA      | $3912794.04   | 0.52%             | 2041-11-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14920 | PA      | $14274.08     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                               | CUSIP: 37940XAB8<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     977000 | PA      | $830500.22    | 0.11%             | 2029-08-15      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Signal Peak CLO 5 Ltd.                                                    | Signal Peak CLO 5 Ltd., Series 2018-5A, Class A                                                                     | CUSIP: 56844YAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $244959.40    | 0.03%             | 2031-04-25      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Bank                                                    | Washington Mutual Escrow Bonds                                                                                      | CUSIP: 939MMIBD5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     250000 | PA      | $0.03         | 0.00%             | 2017-09-19      | None          | 0.00%                 | No            | 3                  | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp.                                                                                                   | CUSIP: 337932AK3<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |      52000 | PA      | $48006.66     | 0.01%             | 2025-03-01      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-695.32      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213642 | PA      | $175493.91    | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1439 | PA      | $1435.89      | 0.00%             | 2040-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                    | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     769000 | PA      | $697223.72    | 0.09%             | 2030-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302984 | PA      | $248499.96    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Delta Air Lines Pass-Through Trust                                        | Delta Air Lines Pass-Through Trust, Series 2019-1, Class AA                                                         | CUSIP: 24737BAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     420000 | PA      | $409357.83    | 0.05%             | 2024-04-25      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26002 | PA      | $23642.72     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3196700 | PA      | $2769486.81   | 0.37%             | 2053-01-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     570299 | PA      | $488951.95    | 0.07%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     304756 | PA      | $250339.10    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $878.25       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Marathon Petroleum Corp.                                                  | Marathon Petroleum Corp.                                                                                            | CUSIP: 56585AAM4<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |      65000 | PA      | $58824.44     | 0.01%             | 2045-12-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                    | CUSIP: 629377CE0<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      59000 | PA      | $55381.53     | 0.01%             | 2028-01-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| State of Illinois                                                         | State of Illinois, Series 2003                                                                                      | CUSIP: 452151LF8<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     775000 | PA      | $741128.34    | 0.10%             | 2033-06-01      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146257 | PA      | $120445.21    | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                         | GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1                                                       | CUSIP: 39538WGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13294 | PA      | $12574.48     | 0.00%             | 2036-03-25      | Floating      | 4.05%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8152 | PA      | $8288.03      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      78000 | PA      | $-533.67      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                            | CUSIP: 26442UAK0<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     250000 | PA      | $150008.65    | 0.02%             | 2050-08-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      89419 | PA      | $-923.18      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| YPF SA                                                                    | YPF SA                                                                                                              | CUSIP: 984245AR1<br>LEI: 5493003N7447U18U5U53 | Long             | DBT              | NUSS              | AR        |      53000 | PA      | $31644.31     | 0.00%             | 2047-12-15      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2017-1, Class AA                                                       | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      50629 | PA      | $45047.27     | 0.01%             | 2029-02-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M84A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46913 | PA      | $48699.14     | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Aon Corp.                                                                 | Aon Corp.                                                                                                           | CUSIP: 037389BC6<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     129000 | PA      | $118995.24    | 0.02%             | 2029-05-02      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     575157 | PA      | $537997.33    | 0.07%             | 2046-09-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2446 | PA      | $2424.95      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19835 | PA      | $19582.23     | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C4, Class XB                                                           | CUSIP: 12531YAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170000 | PA      | $3540.00      | 0.00%             | 2058-05-10      | Variable      | 0.69%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20189 | PA      | $18986.80     | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17009 | PA      | $16711.86     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WB6N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34771 | PA      | $33435.98     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                         | CUSIP: 031162DH0<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     735000 | PA      | $686875.13    | 0.09%             | 2029-08-18      | Fixed         | 4.05%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |       8000 | PA      | $1093.08      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6615 | PA      | $6320.99      | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series AE                                                                  | CUSIP: 15189XAV0<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     120000 | PA      | $99504.29     | 0.01%             | 2031-04-01      | Fixed         | 2.35%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106270 | PA      | $86581.50     | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1781799 | PA      | $1505415.28   | 0.20%             | 2050-08-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Air Canada Pass-Through Trust                                             | Air Canada Pass-Through Trust, Series 2017-1, Class B                                                               | CUSIP: 00908PAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |        608 | PA      | $554.64       | 0.00%             | 2026-01-15      | Fixed         | 3.70%                 | 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      | $-100.56      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     117000 | PA      | $99253.48     | 0.01%             | 2032-02-15      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2019-FAX, Class D                                                                                 | CUSIP: 12528XAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126000 | PA      | $106284.58    | 0.01%             | 2039-01-15      | Variable      | 4.64%                 | No            | 2                  | On Loan: No      |
| SWF Holdings I Corp.                                                      | SWF Holdings I Corp., 1st Lien Term Loan                                                                            | CUSIP: 78489HAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      78605 | PA      | $64023.77     | 0.01%             | 2028-10-06      | Variable      | 8.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     536781 | PA      | $509829.28    | 0.07%             | 2050-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     146000 | PA      | $154811.33    | 0.02%             | 2039-08-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc., Term Loan                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     339509 | PA      | $0.03         | 0.00%             | 2023-12-31      | Variable      | 0.00%                 | No            | 3                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-3A, Class A1                                                            | CUSIP: 07324NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10257 | PA      | $9561.38      | 0.00%             | 2036-10-25      | Floating      | 4.76%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     390000 | PA      | $28525.74     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109158 | PA      | $111000.80    | 0.01%             | 2039-06-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12250 | PA      | $11858.19     | 0.00%             | 2041-03-15      | 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      | $-111.35      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1146083 | PA      | $940825.88    | 0.13%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1164000 | PA      | $1110210.47   | 0.15%             | 2028-11-15      | Fixed         | 3.12%                 | 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      | $108.03       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NDA6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     726000 | PA      | $628076.18    | 0.08%             | 2030-02-01      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Home Equity Asset Trust                                                   | Home Equity Asset Trust, Series 2007-1, Class 2A3                                                                   | CUSIP: 43710LAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      69373 | PA      | $50918.26     | 0.01%             | 2037-05-25      | Floating      | 4.69%                 | No            | 2                  | On Loan: No      |
| Newmont Corp.                                                             | Newmont Corp.                                                                                                       | CUSIP: 651639AY2<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |     117000 | PA      | $94037.55     | 0.01%             | 2030-10-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8300000 | PA      | $8314961.08   | 1.11%             | 2053-02-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| OHA Loan Funding Ltd.                                                     | OHA Loan Funding Ltd., Series 2013-2A, Class AR                                                                     | CUSIP: 67104LAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     225000 | PA      | $221498.96    | 0.03%             | 2031-05-23      | Floating      | 5.73%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132M8NA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419892 | PA      | $392005.78    | 0.05%             | 2044-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2487 | PA      | $2571.83      | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KJSE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230938 | PA      | $178421.28    | 0.02%             | 2050-08-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class E                                                           | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $134142.08    | 0.02%             | 2034-09-15      | Floating      | 6.36%                 | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5110 | PA      | $4778.44      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Targa Resources Partners LP                                               | Targa Resources Partners LP                                                                                         | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     369000 | PA      | $310472.91    | 0.04%             | 2032-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bank of New York Mellon Corp. (The)                                       | Bank of New York Mellon Corp. (The), Series F                                                                       | CUSIP: 064058AF7<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     164000 | PA      | $139849.36    | 0.02%             | 2026-09-20      | Variable      | 4.62%                 | No            | 2                  | On Loan: No      |
| RELX Capital, Inc.                                                        | RELX Capital, Inc.                                                                                                  | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     201000 | PA      | $171281.61    | 0.02%             | 2030-05-22      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CCB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     855000 | PA      | $719034.96    | 0.10%             | 2031-05-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                         | CUSIP: 037833EG1<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     268000 | PA      | $169551.66    | 0.02%             | 2061-02-08      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| HP, Inc.                                                                  | HP, Inc.                                                                                                            | CUSIP: 428236BR3<br>LEI: WHKXQACZ14C5XRO8LW03 | Long             | DBT              | CORP              | US        |     151000 | PA      | $144878.45    | 0.02%             | 2041-09-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| City of San Antonio Electric & Gas Systems                                | City of San Antonio Electric & Gas Systems, Series 2010A                                                            | CUSIP: 796253Y30<br>LEI: 5493002G2FEH20Q4GQ04 | Long             | DBT              | MUN               | US        |     215000 | PA      | $226064.30    | 0.03%             | 2041-02-01      | Fixed         | 5.81%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44575 | PA      | $46179.89     | 0.01%             | 2039-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                               | CUSIP: 37940XAR3<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     354000 | PA      | $320072.97    | 0.04%             | 2052-08-15      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                     | CUSIP: 172967PA3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     475000 | PA      | $490029.93    | 0.07%             | 2033-11-17      | Variable      | 6.27%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KYWN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113789 | PA      | $95915.34     | 0.01%             | 2042-04-01      | Fixed         | 2.00%                 | 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      | $553.28       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Medline Borrower LP                                                       | Medline Borrower LP                                                                                                 | CUSIP: 62482BAA0<br>LEI: 254900QT3R363TVK6F09 | Long             | DBT              | CORP              | US        |     452000 | PA      | $364293.92    | 0.05%             | 2029-04-01      | 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      | $240.17       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3512546 | PA      | $3126804.38   | 0.42%             | 2053-01-15      | Fixed         | 3.00%                 | 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      | $4893.59      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-CC, Class E                                                                                  | CUSIP: 05607CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $82894.25     | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            | 3                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                    | Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B                                                  | CUSIP: 590217AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24764 | PA      | $5232.04      | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307QVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3042 | PA      | $2950.09      | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                              | CUSIP: 62954HAY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     426000 | PA      | $366173.63    | 0.05%             | 2030-05-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468038 | PA      | $383786.72    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Hewlett Packard Enterprise Co.                                            | Hewlett Packard Enterprise Co.                                                                                      | CUSIP: 42824CAY5<br>LEI: 549300BX44RGX6ANDV88 | Long             | DBT              | CORP              | US        |      77000 | PA      | $76797.97     | 0.01%             | 2045-10-15      | Fixed         | 6.35%                 | No            | 2                  | On Loan: No      |
| QUALCOMM, Inc.                                                            | QUALCOMM, Inc.                                                                                                      | CUSIP: 747525BT9<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     450000 | PA      | $477931.91    | 0.06%             | 2053-05-20      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1706.46      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418NYJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1853 | PA      | $1848.84      | 0.00%             | 2025-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                                               | CUSIP: 013092AE1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      15000 | PA      | $13386.90     | 0.00%             | 2030-02-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46482 | PA      | $42342.46     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Atmos Energy Corp.                                                        | Atmos Energy Corp.                                                                                                  | CUSIP: 049560AQ8<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |      91000 | PA      | $74420.29     | 0.01%             | 2049-03-15      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Wynn Las Vegas LLC                                                        | Wynn Las Vegas LLC                                                                                                  | CUSIP: 983130AX3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      81000 | PA      | $73100.14     | 0.01%             | 2027-05-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VGN8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     533000 | PA      | $422510.21    | 0.06%             | 2032-03-15      | Fixed         | 2.35%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1320000 | PA      | $1145460.94   | 0.15%             | 2029-08-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KMW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     996306 | PA      | $812050.22    | 0.11%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp., Series FF                                                                                    | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     307000 | PA      | $270362.62    | 0.04%             | 2028-03-15      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182928 | PA      | $170601.02    | 0.02%             | 2046-07-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140512 | PA      | $135834.18    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -108000 | PA      | $-2588.42     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138M8YB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12001 | PA      | $11462.06     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9738915 | PA      | $7922220.33   | 1.05%             | 2053-01-25      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     406921 | PA      | $395873.45    | 0.05%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGS24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48241 | PA      | $46154.11     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      44500 | PA      | $146.27       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31416VGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19306 | PA      | $20018.73     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       9000 | PA      | $6456.80      | 0.00%             | 2051-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     649522 | PA      | $558053.90    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                     | Conseco Finance Corp., Series 1998-8, Class M1                                                                      | CUSIP: 393505P22<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      92713 | PA      | $82944.32     | 0.01%             | 2030-09-01      | Variable      | 6.98%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2018-1, Class AA                                                         | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      32365 | PA      | $27940.94     | 0.00%             | 2030-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Southern California Edison Co.                                            | Southern California Edison Co.                                                                                      | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     295000 | PA      | $311696.69    | 0.04%             | 2032-11-01      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1544000 | PA      | $1371925.99   | 0.18%             | 2028-01-21      | Variable      | 2.48%                 | No            | 2                  | On Loan: No      |
| Realty Income Corp.                                                       | Realty Income Corp.                                                                                                 | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |     174000 | PA      | $150886.90    | 0.02%             | 2031-01-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                            | Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1                                          | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32760 | PA      | $20765.59     | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132Y4AU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     531962 | PA      | $523502.99    | 0.07%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Republic of Indonesia                                                     | Republic of Indonesia                                                                                               | CUSIP: 455780CW4<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |     441000 | PA      | $318671.01    | 0.04%             | 2051-03-12      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                     | CUSIP: 172967MV0<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     159000 | PA      | $135547.50    | 0.02%             | 2026-02-18      | Variable      | 3.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     512337 | PA      | $422876.84    | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | 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      | $1534.29      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                         | CUSIP: 913017CY3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     583000 | PA      | $557993.78    | 0.07%             | 2028-11-16      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261704 | PA      | $242226.88    | 0.03%             | 2047-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1479000 | PA      | $1348085.40   | 0.18%             | 2026-08-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15784 | PA      | $16052.72     | 0.00%             | 2042-07-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Medtronic Global Holdings SCA                                             | Medtronic Global Holdings SCA                                                                                       | CUSIP: 58507LAQ2<br>LEI: 549300JXMTTP8GKYIX14 | Long             | DBT              | CORP              | LU        |     100000 | PA      | $65940.79     | 0.01%             | 2049-07-02      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Municipal Electric Authority of Georgia                                   | Municipal Electric Authority of Georgia, Series 2010-A                                                              | CUSIP: 626207YF5<br>LEI: JA0WNILDDF2KUPS83B16 | Long             | DBT              | MUN               | US        |      53000 | PA      | $56793.85     | 0.01%             | 2057-04-01      | Fixed         | 6.64%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     231601 | PA      | $216771.27    | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1413740 | PA      | $1340839.03   | 0.18%             | 2051-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Prima Capital CRE Securitization Ltd.                                     | Prima Capital CRE Securitization Ltd., Series 2015-4A, Class C                                                      | CUSIP: 74165GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      92991 | PA      | $89916.10     | 0.01%             | 2049-08-24      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Select Medical Corp.                                                      | Select Medical Corp.                                                                                                | CUSIP: 816196AT6<br>LEI: 549300X05KS0JKR8CB50 | Long             | DBT              | CORP              | US        |      41000 | PA      | $38984.03     | 0.01%             | 2026-08-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Exelon Corp.                                                              | Exelon Corp.                                                                                                        | CUSIP: 30161NAV3<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     139000 | PA      | $117413.70    | 0.02%             | 2046-04-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1078 | PA      | $1011.53      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                          | Oakwood Mortgage Investors, Inc., Series 2002-B, Class M1                                                           | CUSIP: 67087TDS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      80927 | PA      | $78326.62     | 0.01%             | 2032-06-15      | Variable      | 7.62%                 | No            | 2                  | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class A2                                                                     | CUSIP: 05604FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150000 | PA      | $142912.17    | 0.02%             | 2033-03-10      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Select Medical Corp.                                                      | Select Medical Corp., Term Loan B                                                                                   | CUSIP: 816194AV6<br>LEI: 549300X05KS0JKR8CB50 | Long             | LON              | CORP              | US        |      44717 | PA      | $43732.93     | 0.01%             | 2025-03-06      | Variable      | 6.89%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class DL                                               | CUSIP: 054966AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $84855.76     | 0.01%             | 2032-11-15      | Floating      | 6.32%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4799 | PA      | $4489.38      | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2022-NXSS, Class A                                      | CUSIP: 465979AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $299245.26    | 0.04%             | 2039-08-15      | Floating      | 6.51%                 | No            | 2                  | On Loan: No      |
| Caliber Home Loans                                                        | Caliber Home Loans, Term Loan                                                                                       | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |     610000 | PA      | $606949.97    | 0.08%             | 2025-07-01      | Variable      | 7.68%                 | No            | 3                  | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                            | CUSIP: 91324PEE8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     282000 | PA      | $211902.60    | 0.03%             | 2041-05-15      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  208993781 | PA      | $77090.75     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225341 | PA      | $214778.85    | 0.03%             | 2050-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2016-1, Class AA                                                         | CUSIP: 90931LAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      10306 | PA      | $9291.13      | 0.00%             | 2028-07-07      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125404 | PA      | $120394.52    | 0.02%             | 2047-06-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                    | CUSIP: 023135CR5<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     335000 | PA      | $331591.75    | 0.04%             | 2032-12-01      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175BV5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     197000 | PA      | $119789.34    | 0.02%             | 2051-04-01      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                  | CUSIP: 25179MBB8<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     114000 | PA      | $115552.14    | 0.02%             | 2023-08-01      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Seagate HDD Cayman                                                        | Seagate HDD Cayman                                                                                                  | CUSIP: 81180WBC4<br>LEI: 529900BD50TRWEG1SF63 | Long             | DBT              | CORP              | KY        |      80000 | PA      | $66323.42     | 0.01%             | 2029-06-01      | Fixed         | 4.09%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     861950 | PA      | $784339.84    | 0.10%             | 2043-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| APS Resecuritization Trust                                                | APS Resecuritization Trust, Series 2016-1, Class 1MZ                                                                | CUSIP: 00192JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     275944 | PA      | $108642.58    | 0.01%             | 2057-07-31      | Variable      | 3.04%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                  | CUSIP: 29279FAA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     250000 | PA      | $232468.61    | 0.03%             | 2049-04-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828Z94<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1019000 | PA      | $868379.06    | 0.12%             | 2030-02-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Kingdom of Saudi Arabia                                                   | Kingdom of Saudi Arabia                                                                                             | CUSIP: N/A<br>LEI: 635400FMICXSM3SI3H65       | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $142287.50    | 0.02%             | 2061-02-02      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                               | GSAMP Trust, Series 2007-H1, Class A1B                                                                              | CUSIP: 36245YAW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      21440 | PA      | $10933.48     | 0.00%             | 2047-01-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     854523 | PA      | $796830.65    | 0.11%             | 2046-03-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574274 | PA      | $509761.54    | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1933000 | PA      | $1209786.18   | 0.16%             | 2040-05-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                                                    | CUSIP: 12189LAU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     131000 | PA      | $118436.07    | 0.02%             | 2044-09-01      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Commercial Metals Co.                                                     | Commercial Metals Co.                                                                                               | CUSIP: 201723AR4<br>LEI: 549300OQS2LO07ZJ7N73 | Long             | DBT              | CORP              | US        |     146000 | PA      | $127009.27    | 0.02%             | 2032-03-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MENS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29312 | PA      | $27903.03     | 0.00%             | 2029-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Prologis LP                                                               | Prologis LP                                                                                                         | CUSIP: 74340XCA7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     954000 | PA      | $750982.95    | 0.10%             | 2031-02-01      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22263 | PA      | $20256.10     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-1, Class AA                                                       | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      92869 | PA      | $82897.93     | 0.01%             | 2028-01-15      | Fixed         | 3.58%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95676 | PA      | $79501.87     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Promigas SA ESP                                                           | Promigas SA ESP                                                                                                     | CUSIP: 74348DAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $162750.00    | 0.02%             | 2029-10-16      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YED3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1535000 | PA      | $1177642.77   | 0.16%             | 2032-07-21      | Variable      | 2.24%                 | No            | 2                  | On Loan: No      |
| Intel Corp.                                                               | Intel Corp.                                                                                                         | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     122000 | PA      | $83028.54     | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      93000 | PA      | $-931.77      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Thermo Fisher Scientific, Inc.                                            | Thermo Fisher Scientific, Inc.                                                                                      | CUSIP: 883556CU4<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |     318000 | PA      | $322483.70    | 0.04%             | 2032-11-21      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15318 | PA      | $14693.84     | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                        | CUSIP: 00287YCY3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     591000 | PA      | $552631.75    | 0.07%             | 2035-03-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Consolidated Edison Co. of New York, Inc.                                 | Consolidated Edison Co. of New York, Inc.                                                                           | CUSIP: 209111GD9<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     548000 | PA      | $586655.55    | 0.08%             | 2052-11-15      | Fixed         | 6.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5318 | PA      | $4919.85      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     633987 | PA      | $521110.10    | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2017-CX10, Class XB                                                         | CUSIP: 12595JAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1430000 | PA      | $15328.03     | 0.00%             | 2050-11-15      | Variable      | 0.17%                 | No            | 2                  | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                    | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     226000 | PA      | $205873.39    | 0.03%             | 2060-05-01      | Fixed         | 5.93%                 | No            | 2                  | On Loan: No      |
| CP Iris Holdco I, Inc.                                                    | CP Iris Holdco I, Inc., Delayed Draw 1st Lien Term Loan                                                             | CUSIP: 12659EAD0<br>LEI: 25490024F0AS5UR7DB02 | Long             | LON              | CORP              | US        |       5680 | PA      | $5047.74      | 0.00%             | 2028-10-02      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                            | Takeda Pharmaceutical Co. Ltd.                                                                                      | CUSIP: 874060AX4<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |    1016000 | PA      | $829309.33    | 0.11%             | 2030-03-31      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138XDTP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     249651 | PA      | $240959.08    | 0.03%             | 2044-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2005-RP2, Class 1AF                                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37104 | PA      | $34856.21     | 0.00%             | 2035-03-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132XCSC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     836757 | PA      | $827270.62    | 0.11%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J57D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     356695 | PA      | $339454.90    | 0.05%             | 2032-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                    | CUSIP: 715638BU5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     231000 | PA      | $221370.19    | 0.03%             | 2027-08-25      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37401 | PA      | $36137.65     | 0.00%             | 2042-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     160000 | PA      | $111262.50    | 0.01%             | 2052-02-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4688 | PA      | $4383.32      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YJF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3062 | PA      | $3015.14      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                               | ACE Securities Corp. Home Equity Loan Trust, Series 2007-HE4, Class A2A                                             | CUSIP: 00442LAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      87490 | PA      | $15284.97     | 0.00%             | 2037-05-25      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  128349500 | PA      | $39464.33     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179R7J2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1068676 | PA      | $996683.21    | 0.13%             | 2046-04-20      | 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      | $197.93       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| C-BASS Trust                                                              | C-BASS Trust, Series 2006-CB7, Class A4                                                                             | CUSIP: 12479DAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37473 | PA      | $24701.69     | 0.00%             | 2036-10-25      | Floating      | 4.71%                 | No            | 2                  | On Loan: No      |
| CD Mortgage Trust                                                         | CD Mortgage Trust, Series 2017-CD3, Class A4                                                                        | CUSIP: 12515GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30000 | PA      | $27897.41     | 0.00%             | 2050-02-10      | Fixed         | 3.63%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                     | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     259000 | PA      | $233495.96    | 0.03%             | 2028-02-24      | Variable      | 3.07%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     109377 | PA      | $92196.90     | 0.01%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Ameren Illinois Co.                                                       | Ameren Illinois Co.                                                                                                 | CUSIP: 02361DAU4<br>LEI: RC71E2BZ6UOMFPDJSE79 | Long             | DBT              | CORP              | US        |     123000 | PA      | $88032.88     | 0.01%             | 2050-03-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VFL3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    1041000 | PA      | $809308.91    | 0.11%             | 2030-09-18      | Fixed         | 1.50%                 | 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      | $6764.03      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Origen Manufactured Housing Contract Trust                                | Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1                                                 | CUSIP: 68620KAA0<br>LEI: 5493005G5GFEQWMCSY59 | Long             | ABS-O            | CORP              | US        |      25518 | PA      | $24909.30     | 0.00%             | 2037-10-15      | Floating      | 5.52%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175BC7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     335000 | PA      | $309049.86    | 0.04%             | 2055-10-23      | Fixed         | 6.83%                 | 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      | $389.50       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     148000 | PA      | $3621.79      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                      | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1150000 | PA      | $1007186.19   | 0.13%             | 2030-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings Japan, Inc.                                      | Lehman Brothers Holdings Japan, Inc.                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | JP        |     185000 | PA      | $0.02         | 0.00%             | 2049-11-01      | Fixed         | 5.88%                 | No            | 3                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1344.46     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      46000 | PA      | $1316.16      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Lehman Brothers Small Balance Commercial Mortgage Trust                   | Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A                                   | CUSIP: 52521GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5549 | PA      | $5532.88      | 0.00%             | 2037-03-25      | Floating      | 4.64%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     104000 | PA      | $84133.74     | 0.01%             | 2033-01-21      | Variable      | 2.94%                 | No            | 2                  | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                              | CUSIP: 595620AT2<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     520000 | PA      | $486181.16    | 0.06%             | 2029-04-15      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5325 | PA      | $5124.90      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-TIME, Class A                                                                               | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $85099.78     | 0.01%             | 2039-11-13      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117695 | PA      | $95938.95     | 0.01%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NDN8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     347000 | PA      | $270174.42    | 0.04%             | 2031-02-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132L5FG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137763 | PA      | $125492.65    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| RR 3 Ltd.                                                                 | RR 3 Ltd., Series 2018-3A, Class A1R2                                                                               | CUSIP: 74988LAA2<br>LEI: 549300YH0VOGWM5JZF65 | Long             | ABS-CBDO         | CORP              | KY        |    1250000 | PA      | $1236037.25   | 0.16%             | 2030-01-15      | Floating      | 5.17%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NDL2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     193000 | PA      | $121803.21    | 0.02%             | 2051-01-15      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140JARS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241624 | PA      | $239529.69    | 0.03%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Generate CLO 2 Ltd.                                                       | Generate CLO 2 Ltd., Series 2A, Class AR                                                                            | CUSIP: 98625TAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246919.83    | 0.03%             | 2031-01-22      | Floating      | 5.47%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65678 | PA      | $61416.56     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Marsh & McLennan Cos., Inc.                                               | Marsh & McLennan Cos., Inc.                                                                                         | CUSIP: 571748BN1<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     492000 | PA      | $402786.67    | 0.05%             | 2030-11-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Ares XXXVII CLO Ltd.                                                      | Ares XXXVII CLO Ltd., Series 2015-4A, Class A1R                                                                     | CUSIP: 04015NAG9<br>LEI: 635400YF4AHA6NB2CU53 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247410.10    | 0.03%             | 2030-10-15      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WTV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14047 | PA      | $13473.70     | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                           | CUSIP: 552953CE9<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9718.76      | 0.00%             | 2025-06-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42977 | PA      | $39149.09     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7368000 | PA      | $6993843.75   | 0.93%             | 2024-12-31      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         26 | NC      | $-40408.92    | -0.01%            |  |  |  | No            | 1                  | On Loan: No      |
| National Retail Properties, Inc.                                          | National Retail Properties, Inc.                                                                                    | CUSIP: 637417AQ9<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              | CORP              | US        |     254000 | PA      | $169857.41    | 0.02%             | 2051-04-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                    | CUSIP: 629377CP5<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |     735000 | PA      | $608987.80    | 0.08%             | 2027-12-02      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306419 | PA      | $271443.79    | 0.04%             | 2051-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                           | CUSIP: 126408HG1<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     169000 | PA      | $132522.29    | 0.02%             | 2066-11-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| American Municipal Power, Inc.                                            | American Municipal Power, Inc., Series 2010A                                                                        | CUSIP: 02765UEK6<br>LEI: EARKGGZJJEMVD66XQ486 | Long             | DBT              | MUN               | US        |     135000 | PA      | $173216.79    | 0.02%             | 2050-02-15      | Fixed         | 8.08%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4118 | PA      | $3854.17      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1                                             | CUSIP: 12642MAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     280984 | PA      | $110991.08    | 0.01%             | 2037-10-27      | 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      | $-2040.66     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12227 | PA      | $11464.20     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      73000 | PA      | $63393.09     | 0.01%             | 2028-11-30      | Fixed         | 1.50%                 | 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      | $1190.58      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                            | CUSIP: 91324PEF5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     332000 | PA      | $237558.40    | 0.03%             | 2051-05-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                     | CUSIP: 133434AB6<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     655000 | PA      | $527351.60    | 0.07%             | 2035-01-15      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Aon Corp.                                                                 | Aon Corp.                                                                                                           | CUSIP: 037389BB8<br>LEI: LTS3U8DGK38SETRUWX71 | Long             | DBT              | CORP              | US        |     412000 | PA      | $397380.82    | 0.05%             | 2028-12-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40787 | PA      | $36521.33     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Shell International Finance BV                                            | Shell International Finance BV                                                                                      | CUSIP: 822582CG5<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     104000 | PA      | $91250.09     | 0.01%             | 2030-04-06      | Fixed         | 2.75%                 | 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      | $1103.25      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     180000 | PA      | $246.17       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2014-C23, Class XA                                               | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     982410 | PA      | $7218.94      | 0.00%             | 2047-09-15      | Variable      | 0.60%                 | No            | 2                  | On Loan: No      |
| Dell International LLC                                                    | Dell International LLC                                                                                              | CUSIP: 24703DBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     158000 | PA      | $96696.56     | 0.01%             | 2051-12-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130456 | PA      | $126049.88    | 0.02%             | 2040-11-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Octagon Investment Partners XVII Ltd.                                     | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2                                                   | CUSIP: 67590GBG3<br>LEI: 54930007Y57X4ONHQV20 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246343.28    | 0.03%             | 2031-01-25      | Floating      | 5.36%                 | 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      | $-1600.03     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                        | CUSIP: 785592AY2<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     105000 | PA      | $105072.65    | 0.01%             | 2037-09-15      | Fixed         | 5.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75768 | PA      | $78354.19     | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                             | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      54000 | PA      | $48024.54     | 0.01%             | 2028-03-07      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                   | CUSIP: 26441CBS3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     190000 | PA      | $182822.50    | 0.02%             | 2028-03-15      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-OA8, Class 1A1                                                                  | CUSIP: 02147CAA1<br>LEI: 549300EBNJLBIQBKE071 | Long             | ABS-MBS          | CORP              | US        |       7084 | PA      | $5903.73      | 0.00%             | 2046-07-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| Allied Universal Holdco LLC                                               | Allied Universal Holdco LLC, Term Loan                                                                              | CUSIP: 01957TAH0<br>LEI: 98450038B4549046D794 | Long             | LON              | CORP              | US        |     141212 | PA      | $133887.81    | 0.02%             | 2028-05-12      | Variable      | 8.17%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12105 | PA      | $11349.95     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                          | CUSIP: 034863AX8<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     317000 | PA      | $257721.00    | 0.03%             | 2030-09-10      | Fixed         | 2.62%                 | No            | 2                  | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-CC, Class D                                                                                  | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $46989.46     | 0.01%             | 2037-08-13      | Variable      | 3.55%                 | No            | 2                  | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                    | CUSIP: 097023CR4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     350000 | PA      | $235032.06    | 0.03%             | 2059-08-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| BBCMS Trust                                                               | BBCMS Trust, Series 2015-SRCH, Class XA                                                                             | CUSIP: 05547HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     962301 | PA      | $30417.82     | 0.00%             | 2035-08-10      | Variable      | 0.91%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding XIII Ltd.                                            | Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2                                                          | CUSIP: 55818MBA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     547371 | PA      | $541349.99    | 0.07%             | 2030-04-19      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -13961200 | PA      | $-732317.93   | -0.10%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58635 | PA      | $56041.54     | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| SMB Private Education Loan Trust                                          | SMB Private Education Loan Trust, Series 2015-B, Class B                                                            | CUSIP: 78448QAE8<br>LEI: 549300ZLJ4U248VKSJ66 | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $94644.75     | 0.01%             | 2040-12-17      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13786 | PA      | $13159.74     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4912 | PA      | $5127.65      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120701 | PA      | $111848.38    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  257127470 | PA      | $77340.83     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| NRG Energy, Inc.                                                          | NRG Energy, Inc.                                                                                                    | CUSIP: 629377CH3<br>LEI: 5E2UPK5SW04M13XY7I38 | Long             | DBT              | CORP              | US        |      53000 | PA      | $46785.22     | 0.01%             | 2029-06-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | GBP Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |    -154000 | PA      | $-94.78       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Waste Management, Inc.                                                    | Waste Management, Inc.                                                                                              | CUSIP: 94106LBN8<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |     105000 | PA      | $87702.36     | 0.01%             | 2028-03-15      | Fixed         | 1.15%                 | No            | 2                  | On Loan: No      |
| Caesars Entertainment, Inc.                                               | Caesars Entertainment, Inc.                                                                                         | CUSIP: 12769GAA8<br>LEI: 549300FA4CTCW903Y781 | Long             | DBT              | CORP              | US        |      48000 | PA      | $39062.88     | 0.01%             | 2029-10-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YEH4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1606000 | PA      | $1256793.37   | 0.17%             | 2032-10-20      | Variable      | 2.51%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5088 | PA      | $4873.56      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HBFN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390442 | PA      | $385122.81    | 0.05%             | 2048-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17828 | PA      | $17054.88     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | 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      | $678.35       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNN99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1132917 | PA      | $1000710.16   | 0.13%             | 2052-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14878 | PA      | $14232.87     | 0.00%             | 2030-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2019-L2, Class XA                                                            | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376115 | PA      | $17918.62     | 0.00%             | 2052-03-15      | Variable      | 1.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     388956 | PA      | $346953.22    | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110227 | PA      | $113449.48    | 0.02%             | 2036-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |       1842 | PA      | $130.84       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5803700 | PA      | $-5441896.99  | -0.72%            | 2053-01-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XAH8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     350000 | PA      | $348134.57    | 0.05%             | 2039-07-08      | Fixed         | 6.12%                 | No            | 2                  | On Loan: No      |
| Sherwin-Williams Co. (The)                                                | Sherwin-Williams Co. (The)                                                                                          | CUSIP: 824348BL9<br>LEI: Z15BMIOX8DDH0X2OBP21 | Long             | DBT              | CORP              | US        |     181000 | PA      | $148799.72    | 0.02%             | 2030-05-15      | Fixed         | 2.30%                 | No            | 2                  | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                        | CUSIP: 279158AC3<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |      18000 | PA      | $17856.00     | 0.00%             | 2023-09-18      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  192000000 | PA      | $27972.18     | 0.00%             | 2031-03-26      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2824805 | PA      | $2381876.09   | 0.32%             | 2051-01-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1760 | PA      | $1700.72      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140JHYV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124830 | PA      | $122318.22    | 0.02%             | 2048-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                    | CWHEQ Revolving Home Equity Loan Trust, Series 2006-C, Class 2A                                                     | CUSIP: 126685DJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27241 | PA      | $25944.80     | 0.00%             | 2036-05-15      | Floating      | 4.50%                 | No            | 2                  | On Loan: No      |
| Duke Energy Progress LLC                                                  | Duke Energy Progress LLC                                                                                            | CUSIP: 26442UAH7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     527000 | PA      | $485111.62    | 0.06%             | 2029-03-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -11492477 | PA      | $-145686.92   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| Barings CLO Ltd.                                                          | Barings CLO Ltd., Series 2015-2A, Class AR                                                                          | CUSIP: 06759FAB2<br>LEI: 549300Y5E22C3P2S6J52 | Long             | ABS-CBDO         | CORP              | KY        |     260000 | PA      | $256940.40    | 0.03%             | 2030-10-20      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     469000 | PA      | $434182.91    | 0.06%             | 2033-04-26      | Variable      | 4.59%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      82688 | PA      | $-800.86      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -188000 | PA      | $-1129.61     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50289 | PA      | $50981.46     | 0.01%             | 2041-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| SCC Power plc                                                             | SCC Power plc                                                                                                       | CUSIP: 78397YAC6<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |      45107 | PA      | $1345.58      | 0.00%             | 2032-05-17      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417FL48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5251 | PA      | $4996.03      | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO Ltd.                                                | Anchorage Capital CLO Ltd., Series 2013-1A, Class A1R                                                               | CUSIP: 033292AQ6<br>LEI: 5493008PWA7TS1SR9447 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247190.60    | 0.03%             | 2030-10-13      | Floating      | 5.19%                 | No            | 2                  | On Loan: No      |
| BAE Systems plc                                                           | BAE Systems plc                                                                                                     | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |     502000 | PA      | $442971.62    | 0.06%             | 2030-04-15      | Fixed         | 3.40%                 | 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      | $-186.97      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3267 | PA      | $3128.71      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418MRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35773 | PA      | $36837.44     | 0.00%             | 2035-02-01      | 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      | $-864.12      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     113354 | PA      | $101163.46    | 0.01%             | 2052-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3821 | PA      | $3577.15      | 0.00%             | 2042-04-01      | 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      | $379.37       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36197MRR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23934 | PA      | $23661.76     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132J65H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148839 | PA      | $139477.10    | 0.02%             | 2043-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140H3KJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17086 | PA      | $16514.89     | 0.00%             | 2033-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                              | CUSIP: 88033GCY4<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     148000 | PA      | $139955.13    | 0.02%             | 2026-01-01      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32897 | PA      | $34290.55     | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Mattamy Group Corp.                                                       | Mattamy Group Corp.                                                                                                 | CUSIP: 57701RAJ1<br>LEI: 5493008TNY7A82WCXU31 | Long             | DBT              | CORP              | CA        |       7000 | PA      | $6207.83      | 0.00%             | 2027-12-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Glencore Funding LLC                                                      | Glencore Funding LLC                                                                                                | CUSIP: 378272AY4<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     368000 | PA      | $298701.84    | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Argent Mortgage Loan Trust                                                | Argent Mortgage Loan Trust, Series 2005-W1, Class A2                                                                | CUSIP: 040104MY4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      34165 | PA      | $29520.60     | 0.00%             | 2035-05-25      | Floating      | 4.87%                 | No            | 2                  | On Loan: No      |
| Philip Morris International, Inc.                                         | Philip Morris International, Inc.                                                                                   | CUSIP: 718172CV9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     608000 | PA      | $612440.47    | 0.08%             | 2027-11-17      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140EXCP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3790 | PA      | $3537.06      | 0.00%             | 2031-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $4893.59      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25940 | PA      | $25346.84     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GYE8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1973000 | PA      | $1898097.86   | 0.25%             | 2024-09-10      | Variable      | 0.66%                 | No            | 2                  | On Loan: No      |
| FactSet Research Systems, Inc.                                            | FactSet Research Systems, Inc.                                                                                      | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     643000 | PA      | $539092.35    | 0.07%             | 2032-03-01      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-890.75      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Nissan Motor Co. Ltd.                                                     | Nissan Motor Co. Ltd.                                                                                               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    1159000 | PA      | $983610.55    | 0.13%             | 2030-09-17      | Fixed         | 4.81%                 | No            | 2                  | On Loan: No      |
| Southern California Edison Co.                                            | Southern California Edison Co.                                                                                      | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     775000 | PA      | $638255.61    | 0.08%             | 2030-06-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-OC7, Class 2A3                                                                  | CUSIP: 23243VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61075 | PA      | $52736.96     | 0.01%             | 2046-07-25      | Floating      | 4.89%                 | No            | 2                  | On Loan: No      |
| S&P Global, Inc.                                                          | S&P Global, Inc.                                                                                                    | CUSIP: 78409VAY0<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     327000 | PA      | $323181.37    | 0.04%             | 2028-08-01      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Gilead Sciences, Inc.                                                     | Gilead Sciences, Inc.                                                                                               | CUSIP: 375558BS1<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     356000 | PA      | $248378.06    | 0.03%             | 2040-10-01      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701795 | PA      | $541878.49    | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Madison Park Funding XXVI Ltd.                                            | Madison Park Funding XXVI Ltd., Series 2017-26A, Class AR                                                           | CUSIP: 55819YAA8<br>LEI: 549300FNRP3W5DX0O430 | Long             | ABS-CBDO         | CORP              | KY        |     270000 | PA      | $268169.08    | 0.04%             | 2030-07-29      | Floating      | 5.61%                 | No            | 2                  | On Loan: No      |
| Performance Food Group, Inc.                                              | Performance Food Group, Inc.                                                                                        | CUSIP: 69346VAA7<br>LEI: 549300OMUOGBYK0FFO76 | Long             | DBT              | CORP              | US        |      79000 | PA      | $74510.04     | 0.01%             | 2027-10-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                               | BCMSC Trust, Series 2000-A, Class A2                                                                                | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      39800 | PA      | $5551.23      | 0.00%             | 2030-06-15      | Variable      | 7.58%                 | No            | 2                  | On Loan: No      |
| WP Carey, Inc.                                                            | WP Carey, Inc.                                                                                                      | CUSIP: 92936UAJ8<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     150000 | PA      | $117211.39    | 0.02%             | 2032-02-01      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Textron, Inc.                                                             | Textron, Inc.                                                                                                       | CUSIP: 883203CA7<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |     566000 | PA      | $512653.65    | 0.07%             | 2029-09-17      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68170 | PA      | $65116.42     | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Salesforce, Inc.                                                          | Salesforce, Inc.                                                                                                    | CUSIP: 79466LAM6<br>LEI: RCGZFPDMRW58VJ54VR07 | Long             | DBT              | CORP              | US        |     171000 | PA      | $108580.76    | 0.01%             | 2061-07-15      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| Kimco Realty Corp.                                                        | Kimco Realty Corp.                                                                                                  | CUSIP: 49446RBA6<br>LEI: 549300EA7I6T15IBYS12 | Long             | DBT              | CORP              | US        |     162000 | PA      | $148151.55    | 0.02%             | 2033-02-01      | Fixed         | 4.60%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2017-PFHP, Class A                                                                               | CUSIP: 12595KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60000 | PA      | $57560.01     | 0.01%             | 2030-12-15      | Floating      | 5.27%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     312289 | PA      | $255526.42    | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                         | CUSIP: 413875AW5<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     120000 | PA      | $114865.90    | 0.02%             | 2028-06-15      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -82580193 | PA      | $-931407.45   | -0.12%            |  |  |  | No            | 2                  | On Loan: No      |
| Reynolds American, Inc.                                                   | Reynolds American, Inc.                                                                                             | CUSIP: 761713BB1<br>LEI: 02S2RPPVO9RP4NEU2740 | Long             | DBT              | CORP              | US        |     429000 | PA      | $365420.86    | 0.05%             | 2045-08-15      | Fixed         | 5.85%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                  | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      44000 | PA      | $41407.41     | 0.01%             | 2026-09-01      | 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      | $261.98       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18477 | PA      | $17618.24     | 0.00%             | 2049-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516161 | PA      | $424575.03    | 0.06%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418ECY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266589 | PA      | $224717.18    | 0.03%             | 2042-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418V3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8962 | PA      | $8884.40      | 0.00%             | 2040-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      99355 | PA      | $-1025.75     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36197MRS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13541 | PA      | $13431.44     | 0.00%             | 2047-04-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NBM2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     721000 | PA      | $665632.10    | 0.09%             | 2034-08-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Barclays plc                                                              | Barclays plc                                                                                                        | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     710000 | PA      | $704692.20    | 0.09%             | 2026-08-09      | Variable      | 5.30%                 | No            | 2                  | On Loan: No      |
| New Jersey Turnpike Authority                                             | New Jersey Turnpike Authority, Series 2009 F                                                                        | CUSIP: 646139W35<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     167000 | PA      | $206532.59    | 0.03%             | 2040-01-01      | Fixed         | 7.41%                 | No            | 2                  | On Loan: No      |
| Lockheed Martin Corp.                                                     | Lockheed Martin Corp.                                                                                               | CUSIP: 539830BC2<br>LEI: DPRBOZP0K5RM2YE8UU08 | Long             | DBT              | CORP              | US        |    1007000 | PA      | $893790.84    | 0.12%             | 2035-03-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Transmission LLC                                              | FirstEnergy Transmission LLC                                                                                        | CUSIP: 33767BAC3<br>LEI: 549300AINIIPOLYX2R63 | Long             | DBT              | CORP              | US        |     433000 | PA      | $350361.27    | 0.05%             | 2049-04-01      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Western Digital Corp.                                                     | Western Digital Corp.                                                                                               | CUSIP: 958102AQ8<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |     145000 | PA      | $112182.15    | 0.01%             | 2029-02-01      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Silver Creek CLO Ltd.                                                     | Silver Creek CLO Ltd., Series 2014-1A, Class AR                                                                     | CUSIP: 827551AL6<br>LEI: 549300LSJSAR2PPV4U78 | Long             | ABS-CBDO         | CORP              | KY        |     197557 | PA      | $195164.50    | 0.03%             | 2030-07-20      | Floating      | 5.48%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     253000 | PA      | $219550.36    | 0.03%             | 2027-07-20      | Variable      | 1.51%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                     | Conseco Finance Corp., Series 1999-5, Class A6                                                                      | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      26198 | PA      | $10684.27     | 0.00%             | 2030-03-01      | Variable      | 7.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                       | Bear Stearns Mortgage Funding Trust, Series 2007-AR3, Class 1A1                                                     | CUSIP: 07401VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9348 | PA      | $7791.44      | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2006-1A, Class A2                                                            | CUSIP: 07324SDF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6530 | PA      | $5870.56      | 0.00%             | 2036-04-25      | Floating      | 4.93%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                      | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      80000 | PA      | $68624.00     | 0.01%             | 2031-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Agilent Technologies, Inc.                                                | Agilent Technologies, Inc.                                                                                          | CUSIP: 00846UAM3<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |     202000 | PA      | $163445.56    | 0.02%             | 2030-06-04      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                       | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 2A1                                                     | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10293 | PA      | $9243.56      | 0.00%             | 2037-06-25      | Floating      | 4.60%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CEB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      74000 | PA      | $65533.36     | 0.01%             | 2029-02-28      | Fixed         | 1.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QFZC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398489 | PA      | $365628.70    | 0.05%             | 2035-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605674 | PA      | $467948.52    | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Yale Mortgage Loan Trust                                                  | Yale Mortgage Loan Trust, Series 2007-1, Class A                                                                    | CUSIP: 984582AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      79043 | PA      | $26003.56     | 0.00%             | 2037-06-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     322390 | PA      | $265286.01    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21453 | PA      | $21384.00     | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YJGR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4408 | PA      | $4336.03      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                | CUSIP: 16412XAL9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     320000 | PA      | $247444.52    | 0.03%             | 2039-12-31      | Fixed         | 2.74%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | EUR Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | DE        |    4780000 | PA      | $34658.70     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Targa Resources Partners LP                                               | Targa Resources Partners LP                                                                                         | CUSIP: 87612BBG6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     932000 | PA      | $889089.41    | 0.12%             | 2028-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5834 | PA      | $5455.36      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $6764.03      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                              | CUSIP: 62954HAJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     329000 | PA      | $255962.00    | 0.03%             | 2032-02-15      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2494963 | PA      | $2053666.39   | 0.27%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1866 | PA      | $1746.86      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Republic of South Africa                                                  | Republic of South Africa                                                                                            | CUSIP: N/A<br>LEI: 378900AAFB4F17004C49       | Long             | DBT              | NUSS              | ZA        |    4612000 | PA      | $241977.47    | 0.03%             | 2030-01-31      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Variable Rate Notes, Series 2017-DNA3, Class B1 | CUSIP: 3137G0RJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | CORP              | US        |     250000 | PA      | $263077.98    | 0.04%             | 2030-03-25      | Floating      | 8.84%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     295000 | PA      | $301.69       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1049559 | PA      | $897562.71    | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| BRF GmbH                                                                  | BRF GmbH                                                                                                            | CUSIP: 05583BAA7<br>LEI: 5299002S6DY5RA2IOQ11 | Long             | DBT              | CORP              | AT        |     200000 | PA      | $180787.50    | 0.02%             | 2026-09-29      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| Mortgage Loan Resecuritization Trust                                      | Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85                                                    | CUSIP: 61914WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232146 | PA      | $216399.22    | 0.03%             | 2036-04-16      | Floating      | 4.46%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2016-2, Class AA                                                         | CUSIP: 90932EAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      65476 | PA      | $55672.03     | 0.01%             | 2028-10-07      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                               | CUSIP: 3140FXB27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75119 | PA      | $76748.83     | 0.01%             | 2039-07-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45656 | PA      | $42687.40     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                               | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |    1132000 | PA      | $1098042.99   | 0.15%             | 2027-08-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114019 | PA      | $97742.82     | 0.01%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2286 | PA      | $2180.97      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138AUPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7181 | PA      | $7118.56      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series C                                                                                         | CUSIP: 337932AM9<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     192000 | PA      | $126681.60    | 0.02%             | 2050-03-01      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  289952254 | PA      | $86357.78     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| IMT Trust                                                                 | IMT Trust, Series 2017-APTS, Class EFX                                                                              | CUSIP: 44974ABE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $91770.12     | 0.01%             | 2034-06-15      | Variable      | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18584 | PA      | $17427.31     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95061 | PA      | $86464.98     | 0.01%             | 2032-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HHV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111638 | PA      | $106583.94    | 0.01%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1144000 | PA      | $-1003710.43  | -0.13%            | 2053-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13664 | PA      | $12812.27     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDI                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      88000 | PA      | $-497.00      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1284647 | PA      | $1047611.11   | 0.14%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-HE2, Class 23A                                            | CUSIP: 07389YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      20298 | PA      | $18584.15     | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J55S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54140 | PA      | $53185.57     | 0.01%             | 2045-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10773 | PA      | $10084.21     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| BHMS                                                                      | BHMS, Series 2018-ATLS, Class A                                                                                     | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140000 | PA      | $134409.66    | 0.02%             | 2035-07-15      | Floating      | 5.57%                 | No            | 2                  | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                   | CUSIP: 74456QCE4<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |      85000 | PA      | $47363.39     | 0.01%             | 2050-08-01      | Fixed         | 2.05%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157780 | PA      | $130007.30    | 0.02%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140GUMN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82834 | PA      | $81154.12     | 0.01%             | 2047-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                           | CUSIP: 552953CD1<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |       6000 | PA      | $5500.34      | 0.00%             | 2026-09-01      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2013-2, Class A                                                        | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      26744 | PA      | $26707.09     | 0.00%             | 2023-01-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103326 | PA      | $96723.89     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |       8000 | PA      | $-645.75      | -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      | $-252.92      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                           | CUSIP: 26442CAR5<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |      32000 | PA      | $25163.36     | 0.00%             | 2046-03-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Alternative Note Asset Trust                                | Merrill Lynch Alternative Note Asset Trust, Series 2007-OAR2, Class A2                                              | CUSIP: 59024BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102249 | PA      | $84438.93     | 0.01%             | 2037-04-25      | Floating      | 4.81%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     382039 | PA      | $314255.16    | 0.04%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGJ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     509841 | PA      | $467820.78    | 0.06%             | 2035-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Ecolab, Inc.                                                              | Ecolab, Inc.                                                                                                        | CUSIP: 278865BJ8<br>LEI: 82DYEISM090VG8LTLS26 | Long             | DBT              | CORP              | US        |     234000 | PA      | $139637.08    | 0.02%             | 2055-08-18      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140Q9YZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46837 | PA      | $45884.69     | 0.01%             | 2033-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GXD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     300000 | PA      | $297888.05    | 0.04%             | 2026-05-15      | Floating      | 5.78%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209980 | PA      | $176007.11    | 0.02%             | 2051-02-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140FNBD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25719 | PA      | $25187.95     | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124666 | PA      | $126240.59    | 0.02%             | 2043-12-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Piedmont Natural Gas Co., Inc.                                            | Piedmont Natural Gas Co., Inc.                                                                                      | CUSIP: 720186AN5<br>LEI: VXB4M3BDPKF3I2AZ3G89 | Long             | DBT              | CORP              | US        |     175000 | PA      | $142730.55    | 0.02%             | 2031-03-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2015-2, Class B                                                        | CUSIP: 02377BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     195998 | PA      | $192635.28    | 0.03%             | 2023-09-22      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                    | CUSIP: 023135BM7<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     181000 | PA      | $155464.03    | 0.02%             | 2057-08-22      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                    | CWHEQ Revolving Home Equity Loan Trust, Series 2006-H, Class 1A                                                     | CUSIP: 126686AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      16708 | PA      | $16168.41     | 0.00%             | 2036-11-15      | Floating      | 4.47%                 | No            | 2                  | On Loan: No      |
| Meta Platforms, Inc.                                                      | Meta Platforms, Inc.                                                                                                | CUSIP: 30303M8J4<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | DBT              | CORP              | US        |     851000 | PA      | $676247.77    | 0.09%             | 2052-08-15      | Fixed         | 4.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ELS87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9861 | PA      | $10294.55     | 0.00%             | 2041-06-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     266000 | PA      | $1324.57      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722267 | PA      | $588857.96    | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2018-B, Class B                                                                    | CUSIP: 00969FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5932 | PA      | $4597.84      | 0.00%             | 2057-02-26      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183211 | PA      | $168448.68    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                  | CUSIP: 02209SBE2<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     308000 | PA      | $283996.68    | 0.04%             | 2039-02-14      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Duke Energy Florida LLC                                                   | Duke Energy Florida LLC                                                                                             | CUSIP: 26444HAN1<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |      55000 | PA      | $58536.56     | 0.01%             | 2052-11-15      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1606000 | PA      | $1591111.13   | 0.21%             | 2053-01-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23760 | PA      | $22351.50     | 0.00%             | 2043-07-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2007-3T1, Class 1A1                                                                  | CUSIP: 02149VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9133 | PA      | $4556.63      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $676.67       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310586 | PA      | $255578.75    | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15105 | PA      | $15458.98     | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CDZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     737000 | PA      | $693758.82    | 0.09%             | 2025-02-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20156 | PA      | $18921.70     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     302401 | PA      | $297590.27    | 0.04%             | 2047-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                               | CUSIP: 91087BAG5<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1011000 | PA      | $769181.44    | 0.10%             | 2050-01-31      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| PFP Ltd.                                                                  | PFP Ltd., Series 2022-9, Class A                                                                                    | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     270000 | PA      | $263418.53    | 0.04%             | 2035-08-19      | Floating      | 6.60%                 | No            | 2                  | On Loan: No      |
| NVIDIA Corp.                                                              | NVIDIA Corp.                                                                                                        | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     151000 | PA      | $113968.40    | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1906000 | PA      | $1669877.84   | 0.22%             | 2027-07-22      | Variable      | 1.73%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA5, Class 3A1                                                         | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15584 | PA      | $14223.42     | 0.00%             | 2046-04-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22112 | PA      | $21722.00     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                  | CUSIP: 25179MAN3<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     431000 | PA      | $364835.77    | 0.05%             | 2042-05-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| OCP CLO Ltd.                                                              | OCP CLO Ltd., Series 2017-14A, Class B                                                                              | CUSIP: 67097QAG0<br>LEI: 25490025Q5WQX513IQ05 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $237471.90    | 0.03%             | 2030-11-20      | Floating      | 6.63%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $546.71       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11679 | PA      | $11590.97     | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3071 | PA      | $2937.48      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     262576 | PA      | $242856.08    | 0.03%             | 2047-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     525290 | PA      | $405841.83    | 0.05%             | 2050-11-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| CFCRE Commercial Mortgage Trust                                           | CFCRE Commercial Mortgage Trust, Series 2016-C3, Class A3                                                           | CUSIP: 12531WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10000 | PA      | $9516.14      | 0.00%             | 2048-01-10      | Fixed         | 3.87%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13468 | PA      | $13345.84     | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Aimbridge Acquisition Co., Inc.                                           | Aimbridge Acquisition Co., Inc., 1st Lien Term Loan                                                                 | CUSIP: 00900YAD8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     151536 | PA      | $136903.96    | 0.02%             | 2026-02-02      | Variable      | 8.13%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CCY5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     269000 | PA      | $231024.76    | 0.03%             | 2028-09-30      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CZN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18317 | PA      | $18336.59     | 0.00%             | 2048-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| CAMB Commercial Mortgage Trust                                            | CAMB Commercial Mortgage Trust, Series 2019-LIFE, Class D                                                           | CUSIP: 12482HAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $96483.12     | 0.01%             | 2037-12-15      | Floating      | 6.07%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140H3H82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27445 | PA      | $26529.15     | 0.00%             | 2032-11-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MASTR Resecuritization Trust                                              | MASTR Resecuritization Trust, Series 2008-3, Class A1                                                               | CUSIP: 57643EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14717 | PA      | $9348.48      | 0.00%             | 2037-08-25      | Variable      | 3.78%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -106000 | PA      | $-96977.06    | -0.01%            | 2038-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2015-2, Class AA                                                       | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      35297 | PA      | $31660.20     | 0.00%             | 2027-09-22      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Leidos, Inc.                                                              | Leidos, Inc.                                                                                                        | CUSIP: 52532XAF2<br>LEI: 5493006I78VIN6J1BQ95 | Long             | DBT              | CORP              | US        |     266000 | PA      | $239867.91    | 0.03%             | 2030-05-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27999 | PA      | $26735.62     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2019-B9, Class XA                                                                  | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1031483 | PA      | $48761.62     | 0.01%             | 2052-03-15      | Variable      | 1.03%                 | No            | 2                  | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                   | CUSIP: 74456QBX3<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     210000 | PA      | $197631.20    | 0.03%             | 2028-09-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                          | IndyMac INDX Mortgage Loan Trust, Series 2007-AR19, Class 3A1                                                       | CUSIP: 45669NAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67712 | PA      | $43794.01     | 0.01%             | 2037-09-25      | Variable      | 3.37%                 | No            | 2                  | On Loan: No      |
| DTE Electric Co.                                                          | DTE Electric Co., Series B                                                                                          | CUSIP: 23338VAP1<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     110000 | PA      | $78698.08     | 0.01%             | 2051-04-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Alexandria Real Estate Equities, Inc.                                     | Alexandria Real Estate Equities, Inc.                                                                               | CUSIP: 015271AY5<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |     789000 | PA      | $639489.64    | 0.09%             | 2034-03-15      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130011 | PA      | $129191.61    | 0.02%             | 2042-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| MGM Resorts International                                                 | MGM Resorts International                                                                                           | CUSIP: 552953CF6<br>LEI: 54930066VBP7DZEGGJ87 | Long             | DBT              | CORP              | US        |      10000 | PA      | $9302.09      | 0.00%             | 2027-04-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489788 | PA      | $424300.12    | 0.06%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                                  | CUSIP: 698299BF0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     347000 | PA      | $327437.88    | 0.04%             | 2028-03-17      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| IMT Trust                                                                 | IMT Trust, Series 2017-APTS, Class AFX                                                                              | CUSIP: 44974AAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $95331.91     | 0.01%             | 2034-06-15      | Fixed         | 3.48%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     419216 | PA      | $353367.57    | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| QUALCOMM, Inc.                                                            | QUALCOMM, Inc.                                                                                                      | CUSIP: 747525BS1<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |     334000 | PA      | $347733.95    | 0.05%             | 2033-05-20      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     206921 | PA      | $182945.34    | 0.02%             | 2051-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| GLP Capital LP                                                            | GLP Capital LP                                                                                                      | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     845000 | PA      | $675480.16    | 0.09%             | 2032-01-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     229200 | PA      | $-1341.16     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                               | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     343000 | PA      | $298978.45    | 0.04%             | 2026-03-01      | Fixed         | 1.20%                 | No            | 2                  | On Loan: No      |
| ICG US CLO Ltd.                                                           | ICG US CLO Ltd., Series 2015-1A, Class A1R                                                                          | CUSIP: 44931AAJ8<br>LEI: 254900IL8TH4VLG5DO47 | Long             | ABS-CBDO         | CORP              | KY        |     169054 | PA      | $166771.35    | 0.02%             | 2028-10-19      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HHWM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14157 | PA      | $13608.12     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Pacific Gas and Electric Co.                                              | Pacific Gas and Electric Co.                                                                                        | CUSIP: 694308HY6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     150000 | PA      | $101701.76    | 0.01%             | 2047-12-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GHQ5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     553000 | PA      | $502251.04    | 0.07%             | 2030-02-07      | Variable      | 3.97%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311116 | PA      | $288806.00    | 0.04%             | 2048-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17257 | PA      | $16575.78     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Resuritization Trust                     | CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 5B1B                                  | CUSIP: 23242YBD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1982 | PA      | $1923.17      | 0.00%             | 2035-05-15      | Floating      | 4.51%                 | No            | 2                  | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                    | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     501000 | PA      | $456613.80    | 0.06%             | 2045-07-20      | Fixed         | 5.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4020 | PA      | $3769.60      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16716 | PA      | $15853.50     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | 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      | $1045.49      | 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      | $-798.16      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QKWM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47104 | PA      | $44147.14     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                    | Velocity Commercial Capital Loan Trust, Series 2017-2, Class M4                                                     | CUSIP: 92258VAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32328 | PA      | $25389.20     | 0.00%             | 2047-11-25      | Variable      | 5.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2007-OA3, Class 1A1                                                                  | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13508 | PA      | $11689.95     | 0.00%             | 2047-04-25      | Floating      | 4.67%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87671 | PA      | $84192.06     | 0.01%             | 2042-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J5XZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20527 | PA      | $19549.52     | 0.00%             | 2031-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KE4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47162 | PA      | $45168.30     | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                        | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     355000 | PA      | $294609.22    | 0.04%             | 2049-11-21      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO 5-R Ltd.                                            | Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class C                                                            | CUSIP: 03329AAG0<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $240368.23    | 0.03%             | 2030-01-15      | Floating      | 5.93%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22905 | PA      | $21896.74     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132AACD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120157 | PA      | $115166.24    | 0.02%             | 2034-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Charles Schwab Corp. (The)                                                | Charles Schwab Corp. (The), Series H                                                                                | CUSIP: 808513BJ3<br>LEI: 549300VSGCJ7E698NM85 | Long             | DBT              | CORP              | US        |     359000 | PA      | $286284.55    | 0.04%             | 2030-12-01      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     620000 | PA      | $490067.21    | 0.07%             | 2032-11-08      | Variable      | 2.54%                 | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3C                                                          | CUSIP: 17312TAK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      74725 | PA      | $51179.81     | 0.01%             | 2037-05-25      | Floating      | 4.66%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     286574 | PA      | $274258.28    | 0.04%             | 2049-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24874 | PA      | $23780.30     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2006-4, Class 1A12                                                      | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51013 | PA      | $27296.26     | 0.00%             | 2046-10-25      | Floating      | 4.60%                 | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                          | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     319000 | PA      | $300369.37    | 0.04%             | 2030-02-15      | Fixed         | 4.30%                 | 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      | $-1471.43     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Fidelity National Information Services, Inc.                              | Fidelity National Information Services, Inc.                                                                        | CUSIP: 31620MBM7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     200000 | PA      | $177982.44    | 0.02%             | 2028-12-03      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| Gol Finance SA                                                            | Gol Finance SA                                                                                                      | CUSIP: 36254VAA6<br>LEI: 5299007RH8MA67ZC6J07 | Long             | DBT              | CORP              | LU        |      53000 | PA      | $23064.94     | 0.00%             | 2025-01-31      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124908 | PA      | $115733.57    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Entergy Louisiana LLC                                                     | Entergy Louisiana LLC                                                                                               | CUSIP: 29364WBD9<br>LEI: 0V5453U14HDZO63CGH17 | Long             | DBT              | CORP              | US        |     115000 | PA      | $73573.21     | 0.01%             | 2051-03-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Virginia Electric & Power Co.                                             | Virginia Electric & Power Co.                                                                                       | CUSIP: 927804FL3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     247000 | PA      | $199724.61    | 0.03%             | 2043-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5465 | PA      | $5260.24      | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179SQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194099 | PA      | $180649.57    | 0.02%             | 2046-11-20      | 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      | $1384.92      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13416 | PA      | $12898.48     | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Duke Energy Corp.                                                         | Duke Energy Corp.                                                                                                   | CUSIP: 26441CBV6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     190000 | PA      | $189588.28    | 0.03%             | 2025-12-08      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Metropolitan Transportation Authority                                     | Metropolitan Transportation Authority, Series 2010A                                                                 | CUSIP: 59259YBY4<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |      75000 | PA      | $79125.30     | 0.01%             | 2039-11-15      | Fixed         | 6.67%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     389362 | PA      | $354303.79    | 0.05%             | 2044-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2016-BNK1, Class XD                                                   | CUSIP: 95000GAA2<br>LEI: 549300DNBJ7A0SEFVK31 | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $36657.21     | 0.00%             | 2049-08-15      | Variable      | 1.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114574 | PA      | $98406.05     | 0.01%             | 2051-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     604148 | PA      | $538012.39    | 0.07%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    4531000 | PA      | $-7687.82     | -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      | $-1865.77     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31244 | PA      | $29329.47     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                      | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     557000 | PA      | $444337.01    | 0.06%             | 2034-04-15      | Fixed         | 3.47%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -220000 | PA      | $-744.15      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126063 | PA      | $103552.69    | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | 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      | $1835.95      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5558 | PA      | $5627.72      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1598 | PA      | $1544.37      | 0.00%             | 2040-09-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                 | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     237000 | PA      | $152234.26    | 0.02%             | 2062-09-16      | Fixed         | 2.97%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     229000 | PA      | $179637.34    | 0.02%             | 2047-05-01      | 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      | $-915.74      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Intel Corp.                                                               | Intel Corp.                                                                                                         | CUSIP: 458140AY6<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     108000 | PA      | $87078.42     | 0.01%             | 2047-05-11      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30930 | PA      | $28811.18     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Deutsche Alt-A Securities Mortgage Loan Trust                             | Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-OA4, Class A2A                                           | CUSIP: 25151XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93090 | PA      | $78926.60     | 0.01%             | 2047-08-25      | Floating      | 4.73%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140Q8D36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196556 | PA      | $192925.66    | 0.03%             | 2048-01-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9030 | PA      | $8467.33      | 0.00%             | 2044-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                     | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1491000 | PA      | $1253670.97   | 0.17%             | 2030-11-05      | Variable      | 2.98%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48259 | PA      | $47387.18     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| CNH Industrial Capital LLC                                                | CNH Industrial Capital LLC                                                                                          | CUSIP: 12592BAJ3<br>LEI: 549300PNSJ5B81UMVO28 | Long             | DBT              | CORP              | US        |     792000 | PA      | $780628.89    | 0.10%             | 2024-01-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                     | CUSIP: 68233JBD5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     101000 | PA      | $81775.81     | 0.01%             | 2047-09-30      | Fixed         | 3.80%                 | 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      | $-274.52      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                           | CUSIP: 341081FX0<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     576000 | PA      | $414880.42    | 0.06%             | 2049-10-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15141 | PA      | $14359.46     | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     287214 | PA      | $-472.15      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     853346 | PA      | $733792.60    | 0.10%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100041 | PA      | $95653.69     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2014-1, Class A                                                          | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     117728 | PA      | $109377.57    | 0.01%             | 2026-04-11      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36297FRM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12127 | PA      | $12313.85     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Churchill Downs, Inc.                                                     | Churchill Downs, Inc.                                                                                               | CUSIP: 171484AE8<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      44000 | PA      | $39374.28     | 0.01%             | 2028-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4029 | PA      | $3782.03      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15909 | PA      | $14933.46     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     462800 | PA      | $-2293.24     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Herc Holdings, Inc.                                                       | Herc Holdings, Inc.                                                                                                 | CUSIP: 42704LAA2<br>LEI: 549300TP80QLITMSBP82 | Long             | DBT              | CORP              | US        |      89000 | PA      | $83014.75     | 0.01%             | 2027-07-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XJQU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85458 | PA      | $76042.90     | 0.01%             | 2052-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Banc of America Funding Trust                                             | Banc of America Funding Trust, Series 2016-R2, Class 1A1                                                            | CUSIP: 05890RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61876 | PA      | $59575.93     | 0.01%             | 2033-05-01      | Variable      | 4.70%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 6174468L6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1655000 | PA      | $1367603.76   | 0.18%             | 2031-01-22      | Variable      | 2.70%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                           | CUSIP: 404119CC1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |     968000 | PA      | $753518.56    | 0.10%             | 2031-07-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-22T1, Class A1                                                                  | CUSIP: 12667GGN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102128 | PA      | $86713.86     | 0.01%             | 2035-06-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43549 | PA      | $40717.91     | 0.01%             | 2031-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Bakelite UK Intermediate Ltd.                                             | Bakelite UK Intermediate Ltd., Term Loan                                                                            | CUSIP: 05710LAB9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     287280 | PA      | $266452.20    | 0.04%             | 2029-05-29      | Variable      | 8.71%                 | No            | 2                  | On Loan: No      |
| Race Point X CLO Ltd.                                                     | Race Point X CLO Ltd., Series 2016-10A, Class A1R                                                                   | CUSIP: 74983DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     246484 | PA      | $241926.63    | 0.03%             | 2031-07-25      | Floating      | 5.46%                 | No            | 2                  | On Loan: No      |
| BB-UBS Trust                                                              | BB-UBS Trust, Series 2012-SHOW, Class XA                                                                            | CUSIP: 05538UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3475000 | PA      | $34841.39     | 0.00%             | 2036-11-05      | Variable      | 0.60%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6347 | PA      | $6187.42      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2005-4A, Class M1                                                            | CUSIP: 07324SCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20538 | PA      | $18596.50     | 0.00%             | 2036-01-25      | Floating      | 5.06%                 | No            | 2                  | On Loan: No      |
| CSX Corp.                                                                 | CSX Corp.                                                                                                           | CUSIP: 126408HK2<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |     296000 | PA      | $251254.73    | 0.03%             | 2048-03-01      | Fixed         | 4.30%                 | 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      | $-865.80      | -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      | $-1352.22     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1933000 | PA      | $1256676.53   | 0.17%             | 2040-11-15      | Fixed         | 1.38%                 | No            | 2                  | On Loan: No      |
| DBUBS Mortgage Trust                                                      | DBUBS Mortgage Trust, Series 2017-BRBK, Class E                                                                     | CUSIP: 23305JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210000 | PA      | $175985.00    | 0.02%             | 2034-10-10      | Variable      | 3.53%                 | No            | 3                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132Y1WP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176929 | PA      | $174709.92    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     149032 | PA      | $-1538.63     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2005-4A, Class A1                                                            | CUSIP: 07324SCR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28144 | PA      | $25616.78     | 0.00%             | 2036-01-25      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96621 | PA      | $79570.23     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418463 | PA      | $343519.45    | 0.05%             | 2052-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| BCMSC Trust                                                               | BCMSC Trust, Series 2000-A, Class A3                                                                                | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      36957 | PA      | $5328.23      | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A7UC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39092 | PA      | $35153.10     | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CWABS Revolving Home Equity Loan Trust                                    | CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A                                                     | CUSIP: 126673VE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       7302 | PA      | $6990.46      | 0.00%             | 2034-03-15      | Floating      | 4.59%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GKD0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     209000 | PA      | $163689.29    | 0.02%             | 2032-10-20      | Variable      | 2.57%                 | 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      | $-1851.30     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| TEGNA, Inc.                                                               | TEGNA, Inc.                                                                                                         | CUSIP: 87901JAH8<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      17000 | PA      | $16129.60     | 0.00%             | 2029-09-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1737586 | PA      | $1513340.84   | 0.20%             | 2051-04-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                            | CUSIP: 25278XAN9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |    3296000 | PA      | $2891651.37   | 0.39%             | 2029-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Euro-OAT                                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -10 | NC      | $30774.73     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| BBCMS Mortgage Trust                                                      | BBCMS Mortgage Trust, Series 2018-TALL, Class A                                                                     | CUSIP: 05548WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35000 | PA      | $32330.16     | 0.00%             | 2037-03-15      | Floating      | 5.04%                 | No            | 2                  | On Loan: No      |
| Cassia SRL                                                                | Cassia SRL, Series 2022-1A, Class A                                                                                 | CUSIP: N/A<br>LEI: 815600A9D6ADF4638276       | Long             | ABS-MBS          | CORP              | IT        |     364310 | PA      | $363731.73    | 0.05%             | 2034-05-22      | Floating      | 2.89%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                        | First Franklin Mortgage Loan Trust, Series 2004-FFH3, Class M3                                                      | CUSIP: 32027NLT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      32547 | PA      | $29456.35     | 0.00%             | 2034-10-25      | Floating      | 5.44%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14654 | PA      | $13316.49     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| BBCMS Trust                                                               | BBCMS Trust, Series 2015-SRCH, Class A1                                                                             | CUSIP: 05547HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70536 | PA      | $66163.47     | 0.01%             | 2035-08-10      | Fixed         | 3.31%                 | No            | 2                  | On Loan: No      |
| Newmont Corp.                                                             | Newmont Corp.                                                                                                       | CUSIP: 651639AX4<br>LEI: 549300VSP3RIX7FGDZ51 | Long             | DBT              | CORP              | US        |     305000 | PA      | $259291.17    | 0.03%             | 2029-10-01      | Fixed         | 2.80%                 | No            | 2                  | On Loan: No      |
| Modern Land China Co. Ltd.                                                | Modern Land China Co. Ltd.                                                                                          | CUSIP: N/A<br>LEI: 549300PDOU6AR9Z9IN08       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $11500.00     | 0.00%             | 2023-04-11      | Fixed         | 9.80%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2016-2, Class B                                                          | CUSIP: 90933JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       8576 | PA      | $7559.27      | 0.00%             | 2025-10-07      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Global Payments, Inc.                                                     | Global Payments, Inc.                                                                                               | CUSIP: 37940XAD4<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     184000 | PA      | $150763.60    | 0.02%             | 2030-05-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VGJ7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     414000 | PA      | $340456.44    | 0.05%             | 2031-03-21      | Fixed         | 2.55%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A7UM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4906 | PA      | $4430.88      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     498000 | PA      | $474716.88    | 0.06%             | 2027-01-29      | Variable      | 3.96%                 | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                            | CUSIP: 25278XAM1<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     200000 | PA      | $186019.43    | 0.02%             | 2026-12-01      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| MPT Operating Partnership LP                                              | MPT Operating Partnership LP                                                                                        | CUSIP: 55342UAG9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7000 | PA      | $6375.25      | 0.00%             | 2026-08-01      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QA4A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     958965 | PA      | $954721.88    | 0.13%             | 2049-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                  | CUSIP: 87264ABT1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     869000 | PA      | $718079.21    | 0.10%             | 2031-02-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2018-B8, Class XA                                                                  | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4612692 | PA      | $126052.89    | 0.02%             | 2052-01-15      | Variable      | 0.63%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |     191667 | PA      | $1048.44      | 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      | $1045.49      | 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      | $-293.99      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36197MQM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16512 | PA      | $16337.61     | 0.00%             | 2047-03-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Aetna, Inc.                                                               | Aetna, Inc.                                                                                                         | CUSIP: 00817YAP3<br>LEI: 549300QKBENKLBXQ8968 | Long             | DBT              | CORP              | US        |      98000 | PA      | $86297.09     | 0.01%             | 2044-03-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DWCH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81310 | PA      | $66278.78     | 0.01%             | 2051-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                    | Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1                                                  | CUSIP: 59022VAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      34964 | PA      | $26386.57     | 0.00%             | 2037-08-25      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153017 | PA      | $1095170.07   | 0.15%             | 2051-01-01      | 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      | $5303.54      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                              | CUSIP: 62954HAV0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1487000 | PA      | $1377798.44   | 0.18%             | 2029-06-18      | Fixed         | 4.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28699 | PA      | $27452.95     | 0.00%             | 2031-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     591063 | PA      | $511662.39    | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Workday, Inc.                                                             | Workday, Inc.                                                                                                       | CUSIP: 98138HAJ0<br>LEI: 549300J0DYC0N31V7G13 | Long             | DBT              | CORP              | US        |      99000 | PA      | $87390.95     | 0.01%             | 2032-04-01      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                   | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     334000 | PA      | $310117.35    | 0.04%             | 2028-05-22      | Variable      | 3.58%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124203 | PA      | $116567.58    | 0.02%             | 2035-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     123000 | PA      | $-841.58      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Sultanate of Oman                                                         | Oman Government Bond                                                                                                | CUSIP: N/A<br>LEI: 549300SZ20F0QTKNQC75       | Long             | DBT              | NUSS              | OM        |     200000 | PA      | $206600.00    | 0.03%             | 2027-10-28      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    4003000 | PA      | $3224891.58   | 0.43%             | 2033-02-04      | Variable      | 2.97%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GKQ1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3258000 | PA      | $2980101.59   | 0.40%             | 2033-04-27      | Variable      | 4.57%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     469763 | PA      | $384945.75    | 0.05%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418RQM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30204 | PA      | $30586.57     | 0.00%             | 2040-04-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1029000 | PA      | $989729.18    | 0.13%             | 2024-07-31      | Fixed         | 2.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417F2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11078 | PA      | $10520.89     | 0.00%             | 2028-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Union Pacific Railroad Co. Pass-Through Trust                             | Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1                                                        | CUSIP: 907825AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      82628 | PA      | $78413.02     | 0.01%             | 2026-05-14      | Fixed         | 3.23%                 | No            | 2                  | On Loan: No      |
| Exelon Corp.                                                              | Exelon Corp.                                                                                                        | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     267000 | PA      | $232575.04    | 0.03%             | 2050-04-15      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                  | CUSIP: 29273RAR0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     197000 | PA      | $194710.43    | 0.03%             | 2042-02-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -6106756 | PA      | $-303512.89   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140JAUJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186950 | PA      | $187149.03    | 0.02%             | 2049-05-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                     | Conseco Finance Corp., Series 1999-5, Class A5                                                                      | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24739 | PA      | $10487.15     | 0.00%             | 2030-03-01      | Variable      | 7.86%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     572954 | PA      | $491224.37    | 0.07%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| AEP Transmission Co. LLC                                                  | AEP Transmission Co. LLC, Series M                                                                                  | CUSIP: 00115AAM1<br>LEI: 549300X123Z1I0LA3Y84 | Long             | DBT              | CORP              | US        |     232000 | PA      | $176946.27    | 0.02%             | 2050-04-01      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Northrop Grumman Corp.                                                    | Northrop Grumman Corp.                                                                                              | CUSIP: 666807BP6<br>LEI: RIMU48P07456QXSO0R61 | Long             | DBT              | CORP              | US        |     314000 | PA      | $260206.27    | 0.03%             | 2047-10-15      | Fixed         | 4.03%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2006-SL1, Class A2                                        | CUSIP: 14983AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      75913 | PA      | $4694.39      | 0.00%             | 2036-09-25      | Variable      | 6.06%                 | No            | 2                  | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                             | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      32000 | PA      | $29561.55     | 0.00%             | 2028-05-26      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Ownit Mortgage Loan Trust                                                 | Ownit Mortgage Loan Trust, Series 2006-2, Class A2C                                                                 | CUSIP: 69121PDF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      60976 | PA      | $50297.47     | 0.01%             | 2037-01-25      | Variable      | 6.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |    -803000 | PA      | $-646132.70   | -0.09%            | 2049-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Fremont Home Loan Trust                                                   | Fremont Home Loan Trust, Series 2006-3, Class 1A1                                                                   | CUSIP: 35729MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      73690 | PA      | $56587.62     | 0.01%             | 2037-02-25      | Floating      | 4.67%                 | No            | 2                  | On Loan: No      |
| BankAmerica Manufactured Housing Contract Trust                           | BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1                                            | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     300000 | PA      | $73700.10     | 0.01%             | 2025-12-10      | Variable      | 7.33%                 | No            | 2                  | On Loan: No      |
| Edison International                                                      | Edison International                                                                                                | CUSIP: 281020AW7<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     550000 | PA      | $574354.71    | 0.08%             | 2029-11-15      | Fixed         | 6.95%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PBU9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     168000 | PA      | $127355.52    | 0.02%             | 2031-11-19      | Variable      | 1.76%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8420 | PA      | $7894.62      | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M96X5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54371 | PA      | $52701.18     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Herschend Entertainment Co. LLC                                           | Herschend Entertainment Co. LLC, Term Loan                                                                          | CUSIP: 42778EAF8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      75050 | PA      | $74205.69     | 0.01%             | 2028-08-27      | Variable      | 8.19%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80221 | PA      | $77223.78     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| RHP Hotel Properties LP                                                   | RHP Hotel Properties LP                                                                                             | CUSIP: 749571AF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      61000 | PA      | $55205.68     | 0.01%             | 2027-10-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18229 | PA      | $17527.88     | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | 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      | $-100.56      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37074 | PA      | $34692.24     | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                          | Oakwood Mortgage Investors, Inc., Series 2001-D, Class A2                                                           | CUSIP: 67087TCU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      15182 | PA      | $7373.02      | 0.00%             | 2019-01-15      | Variable      | 5.26%                 | No            | 2                  | On Loan: No      |
| Prologis LP                                                               | Prologis LP                                                                                                         | CUSIP: 74340XBT7<br>LEI: GL16H1DHB0QSHP25F723 | Long             | DBT              | CORP              | US        |     180000 | PA      | $174252.08    | 0.02%             | 2033-01-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VFX7<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     353000 | PA      | $275153.19    | 0.04%             | 2030-10-30      | Fixed         | 1.68%                 | No            | 2                  | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                      | Anheuser-Busch InBev Worldwide, Inc.                                                                                | CUSIP: 035240AV2<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     190000 | PA      | $172962.01    | 0.02%             | 2030-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                     | CWABS Asset-Backed Certificates Trust, Series 2006-11, Class 3AV2                                                   | CUSIP: 12666TAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        744 | PA      | $739.61       | 0.00%             | 2046-09-25      | Floating      | 4.55%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      75000 | PA      | $-190.52      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7S63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49365 | PA      | $47224.28     | 0.01%             | 2032-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59898 | PA      | $57112.38     | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43548 | PA      | $39622.80     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                  | CUSIP: 25179MBF9<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     166000 | PA      | $154544.92    | 0.02%             | 2030-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152420 | PA      | $145027.48    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| eBay, Inc.                                                                | eBay, Inc.                                                                                                          | CUSIP: 278642BB8<br>LEI: OML71K8X303XQONU6T67 | Long             | DBT              | CORP              | US        |     289000 | PA      | $300281.22    | 0.04%             | 2032-11-22      | Fixed         | 6.30%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1786000 | PA      | $1255502.19   | 0.17%             | 2049-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| ONE Gas, Inc.                                                             | ONE Gas, Inc.                                                                                                       | CUSIP: 68235PAH1<br>LEI: 549300HXDWI0LATTX840 | Long             | DBT              | CORP              | US        |      80000 | PA      | $65046.52     | 0.01%             | 2030-05-15      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| PECO Energy Co.                                                           | PECO Energy Co.                                                                                                     | CUSIP: 693304BA4<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     491000 | PA      | $335406.42    | 0.04%             | 2051-03-15      | Fixed         | 3.05%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NDU2<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     155000 | PA      | $95855.92     | 0.01%             | 2056-11-01      | Fixed         | 2.94%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     228516 | PA      | $-2549.86     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260589 | PA      | $214116.02    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11014 | PA      | $9903.68      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBQ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     618000 | PA      | $451693.57    | 0.06%             | 2047-11-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Los Angeles Unified School District                                       | Los Angeles Unified School District, Series 2010 RY                                                                 | CUSIP: 544646ZR6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     500000 | PA      | $558724.67    | 0.07%             | 2034-07-01      | Fixed         | 6.76%                 | No            | 2                  | On Loan: No      |
| Apple, Inc.                                                               | Apple, Inc.                                                                                                         | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      37000 | PA      | $23792.13     | 0.00%             | 2061-08-05      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| NGPL PipeCo LLC                                                           | NGPL PipeCo LLC                                                                                                     | CUSIP: 62928CAA0<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     999000 | PA      | $812589.60    | 0.11%             | 2031-07-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Ashford Hospitality Trust                                                 | Ashford Hospitality Trust, Series 2018-ASHF, Class D                                                                | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19000 | PA      | $17471.52     | 0.00%             | 2035-04-15      | Floating      | 6.42%                 | No            | 2                  | On Loan: No      |
| Carrington Mortgage Loan Trust                                            | Carrington Mortgage Loan Trust, Series 2006-NC4, Class A3                                                           | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      32910 | PA      | $31440.10     | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4920000 | PA      | $3704029.68   | 0.49%             | 2045-02-15      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61772BAA1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     372000 | PA      | $366664.56    | 0.05%             | 2024-04-05      | Variable      | 0.73%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2329000 | PA      | $2020862.38   | 0.27%             | 2028-04-30      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Lam Research Corp.                                                        | Lam Research Corp.                                                                                                  | CUSIP: 512807AW8<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |     411000 | PA      | $274634.88    | 0.04%             | 2050-06-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Exelon Corp.                                                              | Exelon Corp.                                                                                                        | CUSIP: 30161NAS0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |      35000 | PA      | $32545.83     | 0.00%             | 2045-06-15      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21923 | PA      | $19643.91     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $95.52        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93891 | PA      | $76724.17     | 0.01%             | 2050-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Nomura Asset Acceptance Corp. Alternative Loan Trust                      | Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2007-2, Class A4                                       | CUSIP: 655378AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10558 | PA      | $9376.28      | 0.00%             | 2037-06-25      | Floating      | 4.81%                 | No            | 2                  | On Loan: No      |
| SCC Power plc                                                             | SCC Power plc                                                                                                       | CUSIP: 78397YAB8<br>LEI: 529900IYGYC6VSDSDF37 | Long             | DBT              | CORP              | GB        |       1790 | PA      | $619.34       | 0.00%             | 2028-12-31      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23539 | PA      | $22267.66     | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Navient Corp.                                                             | Navient Corp.                                                                                                       | CUSIP: 63938CAH1<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      38000 | PA      | $36476.49     | 0.00%             | 2025-06-25      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                            | CUSIP: 91324PCX8<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     241000 | PA      | $206076.16    | 0.03%             | 2047-01-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1253 | PA      | $1251.03      | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Outfront Media Capital LLC                                                | Outfront Media Capital LLC                                                                                          | CUSIP: 69007TAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       7000 | PA      | $5791.26      | 0.00%             | 2030-03-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Connect Finco SARL                                                        | Connect Finco SARL, Term Loan                                                                                       | CUSIP: L2000DAD6<br>LEI: 2594001KNYIQ456J2792 | Long             | LON              | CORP              | LU        |     265244 | PA      | $261817.03    | 0.03%             | 2026-12-11      | Variable      | 7.61%                 | No            | 2                  | On Loan: No      |
| Lowe's Cos., Inc.                                                         | Lowe's Cos., Inc.                                                                                                   | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     870000 | PA      | $833764.95    | 0.11%             | 2030-04-15      | 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      | $567.19       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust                                | JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC                                                | CUSIP: 46646RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $41348.16     | 0.01%             | 2049-12-15      | Variable      | 0.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13797 | PA      | $12936.34     | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QCLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     907349 | PA      | $886569.71    | 0.12%             | 2049-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co.                                                                                                      | CUSIP: 677415CR0<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |      27000 | PA      | $21292.63     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Intel Corp.                                                               | Intel Corp.                                                                                                         | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     146000 | PA      | $109415.87    | 0.01%             | 2047-12-08      | Fixed         | 3.73%                 | No            | 2                  | On Loan: No      |
| Microsoft Corp.                                                           | Microsoft Corp.                                                                                                     | CUSIP: 594918BT0<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     116000 | PA      | $98581.70     | 0.01%             | 2046-08-08      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Takeda Pharmaceutical Co. Ltd.                                            | Takeda Pharmaceutical Co. Ltd.                                                                                      | CUSIP: 874060AW6<br>LEI: 549300ZLMVP4X0OGR454 | Long             | DBT              | CORP              | JP        |     535000 | PA      | $530436.28    | 0.07%             | 2028-11-26      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2018-2A, Class A1A                                                                   | CUSIP: 69688MAA3<br>LEI: 549300EYS8N79JYSXL17 | Long             | ABS-CBDO         | CORP              | KY        |     420000 | PA      | $414417.44    | 0.06%             | 2031-07-16      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171963 | PA      | $147446.15    | 0.02%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| RKPF Overseas 2020 A Ltd.                                                 | RKPF Overseas 2020 A Ltd.                                                                                           | CUSIP: N/A<br>LEI: 254900LKOLISWWIE7W36       | Long             | DBT              | CORP              | VG        |     200000 | PA      | $141000.00    | 0.02%             | 2026-01-12      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| New York City Municipal Water Finance Authority                           | New York City Municipal Water Finance Authority, Series 2010EE                                                      | CUSIP: 64972FL20<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      35000 | PA      | $38485.21     | 0.01%             | 2042-06-15      | Fixed         | 6.01%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                    | CUSIP: 023135BT2<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     278000 | PA      | $175198.61    | 0.02%             | 2050-06-03      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-2, Class AA                                                       | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      63316 | PA      | $54909.05     | 0.01%             | 2028-06-15      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                               | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      36000 | PA      | $173976.45    | 0.02%             | 2027-06-03      | Fixed         | 7.50%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                    | CUSIP: 124857AJ2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     108000 | PA      | $79895.41     | 0.01%             | 2042-07-01      | Fixed         | 4.85%                 | No            | 2                  | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2017-HSDB, Class A                                                    | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151000 | PA      | $148934.52    | 0.02%             | 2031-12-13      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| APS Resecuritization Trust                                                | APS Resecuritization Trust, Series 2016-3, Class 3A                                                                 | CUSIP: 00214WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42468 | PA      | $42377.34     | 0.01%             | 2046-09-27      | Floating      | 7.24%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                           | CUSIP: 26442CBC7<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     114000 | PA      | $83209.57     | 0.01%             | 2051-04-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     272547 | PA      | $224186.14    | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                 | CUSIP: 71654QBH4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |      46000 | PA      | $45034.00     | 0.01%             | 2024-01-18      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -8300000 | PA      | $-8314961.08  | -1.11%            | 2053-02-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                   | CUSIP: 29379VAT0<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     114000 | PA      | $114209.59    | 0.02%             | 2041-02-01      | Fixed         | 5.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2835178 | PA      | $2575199.89   | 0.34%             | 2053-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| YPF SA                                                                    | YPF SA                                                                                                              | CUSIP: N/A<br>LEI: 5493003N7447U18U5U53       | Long             | DBT              | NUSS              | AR        |       4108 | PA      | $2684.58      | 0.00%             | 2033-09-30      | Variable      | 1.50%                 | 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      | $-957.56      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4491177 | PA      | $3970938.29   | 0.53%             | 2052-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                         | CUSIP: 16411QAG6<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     510000 | PA      | $458602.93    | 0.06%             | 2029-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WHXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135725 | PA      | $121891.58    | 0.02%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59320 | PA      | $62251.54     | 0.01%             | 2040-05-01      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2007-CB6, Class A4                                        | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      37302 | PA      | $24650.84     | 0.00%             | 2037-07-25      | Floating      | 4.38%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1                                                    | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27665 | PA      | $28031.67     | 0.00%             | 2040-12-28      | Floating      | 5.39%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2300000 | PA      | $-2156797.56  | -0.29%            | 2053-02-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                         | CUSIP: 502431AF6<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     300000 | PA      | $255899.13    | 0.03%             | 2029-12-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | NDIRS                                                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  688128000 | PA      | $40342.50     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                  | CUSIP: 92564RAF2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     159000 | PA      | $157451.34    | 0.02%             | 2024-05-01      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     876550 | PA      | $748476.64    | 0.10%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBG9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     149000 | PA      | $112607.19    | 0.01%             | 2055-05-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4343 | PA      | $4416.63      | 0.00%             | 2044-07-20      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     612008 | PA      | $524086.42    | 0.07%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Tenet Healthcare Corp.                                                    | Tenet Healthcare Corp.                                                                                              | CUSIP: 88033GDN7<br>LEI: 0W9AIBT6U6ADJ2I8HK17 | Long             | DBT              | CORP              | US        |     163000 | PA      | $141087.10    | 0.02%             | 2030-01-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Fantasia Holdings Group Co. Ltd.                                          | Fantasia Holdings Group Co. Ltd.                                                                                    | CUSIP: N/A<br>LEI: 5493005JQNLB3I01JW62       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $15500.00     | 0.00%             | 2022-04-17      | Fixed         | 11.75%                | No            | 2                  | On Loan: No      |
| Marathon Petroleum Corp.                                                  | Marathon Petroleum Corp.                                                                                            | CUSIP: 56585AAJ1<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | DBT              | CORP              | US        |      20000 | PA      | $16689.60     | 0.00%             | 2054-09-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| CCO Holdings LLC                                                          | CCO Holdings LLC                                                                                                    | CUSIP: 1248EPCB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      92000 | PA      | $83192.84     | 0.01%             | 2029-06-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| Bayview Commercial Asset Trust                                            | Bayview Commercial Asset Trust, Series 2007-4A, Class A1                                                            | CUSIP: 07326BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82996 | PA      | $75439.64     | 0.01%             | 2037-09-25      | Floating      | 4.84%                 | No            | 2                  | On Loan: No      |
| WP Carey, Inc.                                                            | WP Carey, Inc.                                                                                                      | CUSIP: 92936UAG4<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |     283000 | PA      | $225485.82    | 0.03%             | 2031-02-01      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25595 | PA      | $24611.71     | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     191000 | PA      | $-1904.90     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                           | CUSIP: 26884LAQ2<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     268000 | PA      | $266559.94    | 0.04%             | 2028-04-01      | Fixed         | 5.70%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     528000 | PA      | $485388.75    | 0.06%             | 2043-08-15      | Fixed         | 3.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117875 | PA      | $113307.00    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                  | CUSIP: 37045XDP8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     143000 | PA      | $118576.46    | 0.02%             | 2028-10-15      | Fixed         | 2.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMR49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     464476 | PA      | $453667.71    | 0.06%             | 2045-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20439 | PA      | $19530.09     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     432000 | PA      | $464248.13    | 0.06%             | 2040-02-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Capital One Financial Corp.                                               | Capital One Financial Corp.                                                                                         | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     276000 | PA      | $235971.65    | 0.03%             | 2030-03-01      | Variable      | 3.27%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2017-SCH, Class CL                                               | CUSIP: 054966AU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $89107.05     | 0.01%             | 2032-11-15      | Floating      | 5.82%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226587 | PA      | $186697.76    | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3053000 | PA      | $2642785.40   | 0.35%             | 2038-01-25      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132WJUE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22505 | PA      | $20165.57     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Banco Mercantil del Norte SA                                              | Banco Mercantil del Norte SA                                                                                        | CUSIP: 05973KAA5<br>LEI: 549300QTVYRPFHS0J362 | Long             | DBT              | CORP              | MX        |     200000 | PA      | $178100.00    | 0.02%             | 2027-01-24      | Variable      | 5.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17030 | PA      | $16253.54     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20412 | PA      | $19008.95     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7368000 | PA      | $6724451.25   | 0.90%             | 2025-04-30      | Fixed         | 0.38%                 | 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      | $1164.32      | 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      | $36.41        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QE2F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38219 | PA      | $36228.85     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M9ZF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13446 | PA      | $13631.45     | 0.00%             | 2041-10-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   -6106756 | PA      | $-272752.14   | -0.04%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1414.41      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140FG5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4346 | PA      | $3888.28      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15926 | PA      | $15315.44     | 0.00%             | 2029-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                  | CUSIP: 25179MBE2<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |      17000 | PA      | $17193.46     | 0.00%             | 2028-06-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1966.26      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Pacific Gas and Electric Co.                                              | Pacific Gas and Electric Co.                                                                                        | CUSIP: 694308JJ7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     112000 | PA      | $69564.98     | 0.01%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Genneia SA                                                                | Genneia SA                                                                                                          | CUSIP: 372319AB9<br>LEI: 529900YZ70LX0XWS9P67 | Long             | DBT              | CORP              | AR        |      18280 | PA      | $17723.60     | 0.00%             | 2027-09-02      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GHW2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1049000 | PA      | $991155.09    | 0.13%             | 2025-10-22      | Variable      | 2.46%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                     | Conseco Finance Corp., Series 1997-3, Class M1                                                                      | CUSIP: 393505TZ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      22322 | PA      | $20947.83     | 0.00%             | 2028-03-15      | Variable      | 7.53%                 | No            | 2                  | On Loan: No      |
| Buckeye Partners LP                                                       | Buckeye Partners LP, Term Loan B1                                                                                   | CUSIP: 11823LAK1<br>LEI: 549300C1PQJLVEIUBK50 | Long             | LON              | CORP              | US        |          0 | PA      | $0.12         | 0.00%             | 2026-11-01      | Variable      | 6.63%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $824.09       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Octagon Investment Partners XVI Ltd.                                      | Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R                                                     | CUSIP: 67590BAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245910.30    | 0.03%             | 2030-07-17      | Floating      | 5.10%                 | 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      | $2820.20      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                          | CUSIP: 00206RCP5<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1216000 | PA      | $1105403.41   | 0.15%             | 2035-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     608000 | PA      | $439422.50    | 0.06%             | 2049-11-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |     119226 | PA      | $-1247.93     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     122000 | PA      | $-857.88      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36686 | PA      | $34303.36     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1046882 | PA      | $867965.72    | 0.12%             | 2051-07-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                              | CUSIP: 655844CP1<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     251000 | PA      | $218165.04    | 0.03%             | 2053-06-01      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Texas Eastern Transmission LP                                             | Texas Eastern Transmission LP                                                                                       | CUSIP: 882384AD2<br>LEI: 549300SIOULUXXIDGA69 | Long             | DBT              | CORP              | US        |     710000 | PA      | $645388.13    | 0.09%             | 2028-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1332 | PA      | $1250.19      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 1A1                                                         | CUSIP: 68402VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      68286 | PA      | $55109.09     | 0.01%             | 2037-01-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WQPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11883 | PA      | $11405.64     | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13512 | PA      | $12535.14     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc.                                                                                      | CUSIP: N/A<br>LEI: 549300FDK6ZP3YIHRJ47       | Long             | DBT              | CORP              | US        |    1025000 | PA      | $0.10         | 0.00%             | 2017-11-01      | Fixed         | 6.75%                 | No            | 3                  | On Loan: No      |
| GE HealthCare Technologies, Inc.                                          | GE HealthCare Technologies, Inc.                                                                                    | CUSIP: 36267VAC7<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |     630000 | PA      | $633881.54    | 0.08%             | 2025-11-15      | Fixed         | 5.60%                 | No            | 2                  | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series AF                                                                  | CUSIP: 15189XAW8<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     194000 | PA      | $142762.89    | 0.02%             | 2051-04-01      | Fixed         | 3.35%                 | No            | 2                  | On Loan: No      |
| Ambac Assurance Corp.                                                     | Ambac Assurance Corp.                                                                                               | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      14845 | PA      | $20783.41     | 0.00%             | 2171-06-07      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49575 | PA      | $45106.90     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD                                                          | CUSIP: 61766CAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $44489.42     | 0.01%             | 2049-03-15      | Variable      | 1.60%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                  | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     469000 | PA      | $446449.23    | 0.06%             | 2030-02-15      | Fixed         | 4.95%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307UV47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18420 | PA      | $17549.47     | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | 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      | $659.25       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -38000 | PA      | $-32167.54    | -0.00%            | 2053-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class XNCP                                                                | CUSIP: 68245HAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376000 | PA      | $992.53       | 0.00%             | 2032-02-10      | Variable      | 0.09%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1185000 | PA      | $743974.34    | 0.10%             | 2052-06-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2007-1, Class A1                                                        | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50725 | PA      | $20693.21     | 0.00%             | 2047-02-25      | Floating      | 2.75%                 | No            | 2                  | On Loan: No      |
| L3Harris Technologies, Inc.                                               | L3Harris Technologies, Inc.                                                                                         | CUSIP: 502431AN9<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |     982000 | PA      | $753626.72    | 0.10%             | 2031-01-15      | Fixed         | 1.80%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      89000 | PA      | $153.33       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                                                    | CUSIP: 12189LAS0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      90000 | PA      | $84953.40     | 0.01%             | 2044-04-01      | Fixed         | 4.90%                 | 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      | $1100.47      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                          | CUSIP: 00206RJZ6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     292000 | PA      | $217754.37    | 0.03%             | 2041-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1157000 | PA      | $997884.99    | 0.13%             | 2030-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Norfolk Southern Corp.                                                    | Norfolk Southern Corp.                                                                                              | CUSIP: 655844CH9<br>LEI: 54930036C8MWP850MI84 | Long             | DBT              | CORP              | US        |     135000 | PA      | $89341.10     | 0.01%             | 2055-05-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-3BP, Class XA                                                                | CUSIP: 12592TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1916000 | PA      | $3486.39      | 0.00%             | 2035-02-10      | Variable      | 0.06%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7535 | PA      | $7854.65      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBP9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     120000 | PA      | $95014.92     | 0.01%             | 2037-11-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Citicorp Mortgage Securities Trust                                        | Citicorp Mortgage Securities Trust, Series 2007-9, Class 1A1                                                        | CUSIP: 17313VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38851 | PA      | $31964.31     | 0.00%             | 2037-12-25      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        180 | NC      | $-325753.86   | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60025 | PA      | $49282.68     | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QDYC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319448 | PA      | $302087.97    | 0.04%             | 2050-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Southern California Edison Co.                                            | Southern California Edison Co., Series G                                                                            | CUSIP: 842400HD8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     227000 | PA      | $187050.59    | 0.02%             | 2031-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     170000 | PA      | $-1163.13     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179172 | PA      | $151028.39    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114330 | PA      | $107883.29    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2324000 | PA      | $2102284.22   | 0.28%             | 2028-02-24      | Variable      | 2.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8732 | PA      | $8842.72      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |      75000 | PA      | $-719.79      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                        | CUSIP: 785592AJ5<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     500000 | PA      | $500120.77    | 0.07%             | 2024-05-15      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Amgen, Inc.                                                               | Amgen, Inc.                                                                                                         | CUSIP: 031162BZ2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |     385000 | PA      | $322560.70    | 0.04%             | 2045-05-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Republic of Peru                                                          | Republic of Peru                                                                                                    | CUSIP: 715638DT6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     356000 | PA      | $252938.00    | 0.03%             | 2051-03-10      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Resuritization Trust                     | CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 4Q1B                                  | CUSIP: 23242YAT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       3978 | PA      | $3991.79      | 0.00%             | 2033-12-15      | Floating      | 4.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGSZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76058 | PA      | $73179.92     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261224 | PA      | $244926.82    | 0.03%             | 2033-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20568 | PA      | $19568.15     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22789 | PA      | $21356.25     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8101973 | PA      | $7108422.06   | 0.95%             | 2053-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GJT7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     445000 | PA      | $356170.92    | 0.05%             | 2032-04-22      | Variable      | 2.69%                 | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                            | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     277000 | PA      | $269644.85    | 0.04%             | 2032-06-01      | Fixed         | 5.60%                 | 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      | $2641.12      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1741392 | PA      | $1484629.70   | 0.20%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                          | CUSIP: 034863AW0<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     753000 | PA      | $745635.66    | 0.10%             | 2030-04-01      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                  | CUSIP: 22822VAJ0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |      17000 | PA      | $16809.80     | 0.00%             | 2023-07-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Dell International LLC                                                    | Dell International LLC                                                                                              | CUSIP: 24703TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     128000 | PA      | $125990.29    | 0.02%             | 2026-10-01      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133575 | PA      | $126477.10    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3186 | PA      | $2898.17      | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Corp. Trust                                        | GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A                                                       | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $93000.00     | 0.01%             | 2034-05-10      | Fixed         | 2.86%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                      | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     791000 | PA      | $697140.46    | 0.09%             | 2032-11-15      | Fixed         | 4.30%                 | 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      | $687.93       | 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      | $-2645.63     | -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      | $2841.42      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                             | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      35500 | PA      | $164642.83    | 0.02%             | 2026-03-05      | Fixed         | 5.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82599 | PA      | $78795.92     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CBU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4447000 | PA      | $4401457.21   | 0.59%             | 2023-03-31      | Fixed         | 0.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10457 | PA      | $9511.63      | 0.00%             | 2031-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        739 | NC      | $-206309.68   | -0.03%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGS73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82324 | PA      | $79768.98     | 0.01%             | 2051-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158579 | PA      | $146185.89    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                        | CUSIP: 785592AM8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |    1949000 | PA      | $1951752.79   | 0.26%             | 2025-03-01      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                      | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     598000 | PA      | $521674.43    | 0.07%             | 2037-05-15      | Fixed         | 4.93%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD1, Class 2A1                                                         | CUSIP: 68402VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     169575 | PA      | $141632.57    | 0.02%             | 2037-01-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                  | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     901000 | PA      | $854749.58    | 0.11%             | 2028-02-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     401319 | PA      | $329753.86    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| HarborView Mortgage Loan Trust                                            | HarborView Mortgage Loan Trust, Series 2007-4, Class 2A2                                                            | CUSIP: 41164YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88864 | PA      | $77511.69     | 0.01%             | 2047-07-19      | Floating      | 4.59%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XCGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     844744 | PA      | $693076.27    | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96825 | PA      | $90971.28     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2020-1, Class A                                                          | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     628355 | PA      | $619523.81    | 0.08%             | 2027-10-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     -76000 | PA      | $-1083.48     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Banc of America Funding Trust                                             | Banc of America Funding Trust, Series 2014-R2, Class 1C                                                             | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127153 | PA      | $32420.33     | 0.00%             | 2036-11-26      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| RALI Trust                                                                | RALI Trust, Series 2007-QH9, Class A1                                                                               | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21618 | PA      | $17475.30     | 0.00%             | 2037-11-25      | Variable      | 3.48%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89734 | PA      | $83216.96     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |     661000 | PA      | $545143.09    | 0.07%             | 2040-04-01      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Euro-Buxl                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -4 | NC      | $49149.80     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144405 | PA      | $135017.61    | 0.02%             | 2032-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108313 | PA      | $107323.43    | 0.01%             | 2048-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Baxter International, Inc.                                                | Baxter International, Inc.                                                                                          | CUSIP: 071813BY4<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |     115000 | PA      | $104700.39    | 0.01%             | 2030-04-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Bristol-Myers Squibb Co.                                                  | Bristol-Myers Squibb Co.                                                                                            | CUSIP: 110122DW5<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     516000 | PA      | $401373.05    | 0.05%             | 2052-03-15      | Fixed         | 3.70%                 | No            | 2                  | On Loan: No      |
| Anheuser-Busch InBev Worldwide, Inc.                                      | Anheuser-Busch InBev Worldwide, Inc.                                                                                | CUSIP: 035240AQ3<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |     310000 | PA      | $305998.64    | 0.04%             | 2029-01-23      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17852 | PA      | $16684.67     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Republic of Philippines                                                   | Republic of Philippines                                                                                             | CUSIP: 718286CC9<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     516000 | PA      | $479936.76    | 0.06%             | 2028-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WH3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     235742 | PA      | $211220.28    | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC                                      | CUSIP: 46590RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $20014.47     | 0.00%             | 2049-08-15      | Variable      | 0.75%                 | No            | 2                  | On Loan: No      |
| HPS Loan Management Ltd.                                                  | HPS Loan Management Ltd., Series 6A-2015, Class A1R                                                                 | CUSIP: 40436KAC9<br>LEI: 549300OYG05TXUTUVD98 | Long             | ABS-CBDO         | CORP              | KY        |     248303 | PA      | $245498.56    | 0.03%             | 2031-02-05      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                     | CUSIP: 00108WAN0<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     305000 | PA      | $215071.94    | 0.03%             | 2051-05-15      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                          | CUSIP: 034863AU4<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |     558000 | PA      | $529576.88    | 0.07%             | 2028-03-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust          | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-4, Class 1A1                          | CUSIP: 939344AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36598 | PA      | $33435.73     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Microsoft Corp.                                                           | Microsoft Corp.                                                                                                     | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     287000 | PA      | $203052.70    | 0.03%             | 2052-03-17      | Fixed         | 2.92%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179USV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157159 | PA      | $153901.39    | 0.02%             | 2049-05-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGKB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154059 | PA      | $144607.31    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Paramount Global                                                          | Paramount Global                                                                                                    | CUSIP: 92553PAP7<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     232000 | PA      | $159756.51    | 0.02%             | 2043-03-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | -190760000 | PA      | $-92986.04    | -0.01%            |  |  |  | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     554000 | PA      | $442607.68    | 0.06%             | 2050-05-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GSAA Home Equity Trust                                                    | GSAA Home Equity Trust, Series 2007-2, Class AF3                                                                    | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      24978 | PA      | $5093.72      | 0.00%             | 2037-03-25      | Variable      | 5.92%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $395.20       | 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      | $411.01       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Air Canada Pass-Through Trust                                             | Air Canada Pass-Through Trust, Series 2017-1, Class AA                                                              | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      76339 | PA      | $65168.99     | 0.01%             | 2030-01-15      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GHF9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     740000 | PA      | $737214.55    | 0.10%             | 2024-03-05      | Variable      | 3.55%                 | No            | 2                  | On Loan: No      |
| Oncor Electric Delivery Co. LLC                                           | Oncor Electric Delivery Co. LLC                                                                                     | CUSIP: 68233JCJ1<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |     259000 | PA      | $253565.55    | 0.03%             | 2032-09-15      | Fixed         | 4.55%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2658 | PA      | $2774.74      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Intercontinental Exchange, Inc.                                           | Intercontinental Exchange, Inc.                                                                                     | CUSIP: 45866FAV6<br>LEI: 5493000F4ZO33MV32P92 | Long             | DBT              | CORP              | US        |     109000 | PA      | $105385.56    | 0.01%             | 2029-06-15      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2016-SS1, Class XA                                               | CUSIP: 05525JAC7<br>LEI: 5493002AJGYQZUG0NT80 | Long             | ABS-MBS          | CORP              | US        |   15000000 | PA      | $208413.75    | 0.03%             | 2035-12-15      | Variable      | 0.56%                 | No            | 2                  | On Loan: No      |
| Citigroup Commercial Mortgage Trust                                       | Citigroup Commercial Mortgage Trust, Series 2016-GC37, Class C                                                      | CUSIP: 17290XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20000 | PA      | $17994.31     | 0.00%             | 2049-04-10      | Variable      | 4.91%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  182421714 | PA      | $66897.99     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-OA14, Class 1A1                                                                 | CUSIP: 02146SAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53368 | PA      | $40619.40     | 0.01%             | 2046-11-25      | Floating      | 3.78%                 | No            | 2                  | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                | CUSIP: 195325EF8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $199600.00    | 0.03%             | 2033-04-20      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Gray Television, Inc.                                                     | Gray Television, Inc., Term Loan                                                                                    | CUSIP: 389376AZ7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |     229680 | PA      | $222550.73    | 0.03%             | 2028-12-01      | Variable      | 7.12%                 | No            | 2                  | On Loan: No      |
| Port Authority of New York & New Jersey                                   | Port Authority of New York & New Jersey, Series 2014-180-1                                                          | CUSIP: 73358WRP1<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     195000 | PA      | $188780.98    | 0.03%             | 2046-08-01      | Fixed         | 4.96%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A7UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10671 | PA      | $9638.02      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   27922400 | PA      | $166059.89    | 0.02%             |  |  |  | No            | 2                  | On Loan: No      |
| Empresas Publicas de Medellin ESP                                         | Empresas Publicas de Medellin ESP                                                                                   | CUSIP: 29246BAE8<br>LEI: 549300SU25TO8EMXB434 | Long             | DBT              | NUSS              | CO        |     200000 | PA      | $158412.50    | 0.02%             | 2029-07-18      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35506 | PA      | $36628.51     | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Sabine Pass Liquefaction LLC                                              | Sabine Pass Liquefaction LLC                                                                                        | CUSIP: 785592AV8<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |     172000 | PA      | $174036.77    | 0.02%             | 2026-06-30      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85277 | PA      | $82090.84     | 0.01%             | 2052-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     331000 | PA      | $-2253.80     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     223973 | PA      | $205689.56    | 0.03%             | 2050-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                        | First Franklin Mortgage Loan Trust, Series 2006-FF16, Class 2A3                                                     | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     556561 | PA      | $237418.01    | 0.03%             | 2036-12-25      | Floating      | 4.67%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12730 | PA      | $11921.60     | 0.00%             | 2030-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1781300 | PA      | $1629672.04   | 0.22%             | 2038-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YEU5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     189000 | PA      | $177569.53    | 0.02%             | 2033-07-20      | Variable      | 4.89%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     433600 | PA      | $333746.37    | 0.04%             | 2053-01-25      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                         | CUSIP: 913017CJ6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     130000 | PA      | $100335.16    | 0.01%             | 2046-11-01      | 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      | $-4296.74     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16247500 | PA      | $16287576.08  | 2.17%             | 2053-01-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                  | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     983000 | PA      | $890415.90    | 0.12%             | 2030-04-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| HMH Trust                                                                 | HMH Trust, Series 2017-NSS, Class A                                                                                 | CUSIP: 40390AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $103400.00    | 0.01%             | 2031-07-05      | Fixed         | 3.06%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     597229 | PA      | $486731.49    | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| American International Group, Inc.                                        | American International Group, Inc.                                                                                  | CUSIP: 026874DB0<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | DBT              | CORP              | US        |     142000 | PA      | $106242.76    | 0.01%             | 2055-01-15      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| BlackRock Liquidity Funds                                                 | T-Fund, Institutional Class                                                                                         | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |  122525407 | NS      | $122525406.54 | 16.32%            |  |  |  | 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      | $-654.94      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21854 | PA      | $20907.97     | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -16247500 | PA      | $-16287576.08 | -2.17%            | 2053-01-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Euro-Bund                                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |         -5 | NC      | $17028.28     | 0.00%             |  |  |  | No            | 1                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5739400 | PA      | $4808671.69   | 0.64%             | 2053-01-15      | Fixed         | 2.00%                 | 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      | $-2502.41     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Citigroup Mortgage Loan Trust                                             | Citigroup Mortgage Loan Trust, Series 2007-AHL2, Class A3B                                                          | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     164642 | PA      | $112604.62    | 0.01%             | 2037-05-25      | Floating      | 4.59%                 | No            | 2                  | On Loan: No      |
| Digital Dutch Finco BV                                                    | Digital Dutch Finco BV                                                                                              | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |     315000 | PA      | $263237.50    | 0.04%             | 2030-03-15      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| BlackRock Allocation Target Shares                                        | Series A Portfolio                                                                                                  | CUSIP: 092480706<br>LEI: 5493001N6IPQ853IL862 | Long             |  | RF                | US        |   14408518 | NS      | $131261596.56 | 17.48%            |  |  |  | No            | N/A                | On Loan: No      |
| Anchorage Capital CLO 4-R Ltd.                                            | Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class C                                                            | CUSIP: 03328LAE2<br>LEI: 549300MP4QPQUMB6AD63 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $233548.65    | 0.03%             | 2031-01-28      | Floating      | 6.22%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2642834 | PA      | $2269364.09   | 0.30%             | 2051-05-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CCD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4447000 | PA      | $4367614.11   | 0.58%             | 2023-05-31      | Fixed         | 0.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2095 | PA      | $2185.41      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     588175 | PA      | $486552.68    | 0.06%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     397000 | PA      | $336066.18    | 0.04%             | 2053-01-25      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1259545 | PA      | $1062855.97   | 0.14%             | 2050-11-20      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Waste Pro USA, Inc.                                                       | Waste Pro USA, Inc.                                                                                                 | CUSIP: 94107JAA1<br>LEI: 549300BY1QXU5BI3UF28 | Long             | DBT              | CORP              | US        |      37000 | PA      | $32674.70     | 0.00%             | 2026-02-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Duke Energy Carolinas LLC                                                 | Duke Energy Carolinas LLC                                                                                           | CUSIP: 26442CAU8<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |     155000 | PA      | $124000.79    | 0.02%             | 2048-03-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD/MXN Down-and-out barrier option; Barrier price USD 19.10000                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     230000 | PA      | $620.44       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 312942DD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40654 | PA      | $40347.07     | 0.01%             | 2040-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| KLA Corp.                                                                 | KLA Corp.                                                                                                           | CUSIP: 482480AJ9<br>LEI: 549300H0BF5JCG96TJ81 | Long             | DBT              | CORP              | US        |     757000 | PA      | $548177.09    | 0.07%             | 2050-03-01      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Japan 10 Year Bond                                                                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -28 | NC      | $553078.72    | 0.07%             |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EKF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367665 | PA      | $364477.24    | 0.05%             | 2041-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                            | Structured Adjustable Rate Mortgage Loan Trust, Series 2006-3, Class 4A                                             | CUSIP: 863579Y69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38688 | PA      | $23663.60     | 0.00%             | 2036-04-25      | Variable      | 3.33%                 | No            | 2                  | On Loan: No      |
| Lehman XS Trust                                                           | Lehman XS Trust, Series 2007-20N, Class A1                                                                          | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14929 | PA      | $14639.94     | 0.00%             | 2037-12-25      | Floating      | 6.69%                 | No            | 2                  | On Loan: No      |
| Hess Corp.                                                                | Hess Corp.                                                                                                          | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |      61000 | PA      | $65700.31     | 0.01%             | 2033-03-15      | Fixed         | 7.12%                 | No            | 2                  | On Loan: No      |
| State Street Corp.                                                        | State Street Corp., Series H                                                                                        | CUSIP: 857477BA0<br>LEI: 549300ZFEEJ2IP5VME73 | Long             | DBT              | CORP              | US        |     680000 | PA      | $631227.99    | 0.08%             | 2023-12-15      | Variable      | 5.62%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A7JB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4534 | PA      | $4094.60      | 0.00%             | 2050-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66188 | PA      | $63171.78     | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4483000 | PA      | $3640108.72   | 0.48%             | 2033-02-24      | Variable      | 3.10%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2015-48                                        | CUSIP: 38379KHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16484 | PA      | $399.48       | 0.00%             | 2050-02-16      | Variable      | 0.91%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     121161 | PA      | $113708.42    | 0.02%             | 2035-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54021 | PA      | $49610.62     | 0.01%             | 2045-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                          | Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE5, Class 1A                                         | CUSIP: 93934XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     108275 | PA      | $80651.98     | 0.01%             | 2036-10-25      | Floating      | 3.94%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21898 | PA      | $19924.43     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     908000 | PA      | $730620.78    | 0.10%             | 2049-05-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| GS Mortgage Securities Corp. II                                           | GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A                                                          | CUSIP: 36228CUV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $96260.94     | 0.01%             | 2032-05-03      | Fixed         | 5.37%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2448766 | PA      | $2003255.67   | 0.27%             | 2041-12-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51941 | PA      | $47993.10     | 0.01%             | 2048-03-01      | 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      | $5266.20      | 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      | $1835.95      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     152000 | PA      | $6548.42      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2660 | PA      | $2655.05      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J6D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328449 | PA      | $324827.86    | 0.04%             | 2046-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95619 | PA      | $91159.62     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 61747YEV3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     356000 | PA      | $367500.41    | 0.05%             | 2028-10-18      | Variable      | 6.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     726657 | PA      | $621479.27    | 0.08%             | 2052-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| One Market Plaza Trust                                                    | One Market Plaza Trust, Series 2017-1MKT, Class XCP                                                                 | CUSIP: 68245HAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1880000 | PA      | $53.77        | 0.00%             | 2032-02-10      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     202000 | PA      | $129214.02    | 0.02%             | 2061-12-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64932 | PA      | $57011.38     | 0.01%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        248 | NC      | $-283450.71   | -0.04%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110075 | PA      | $104481.31    | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class D                                                           | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $91716.78     | 0.01%             | 2034-09-15      | Floating      | 5.77%                 | No            | 2                  | On Loan: No      |
| Washington Mutual Asset-Backed CertificatesTrust                          | Washington Mutual Asset-Backed CertificatesTrust, Series 2006-HE4, Class 2A2                                        | CUSIP: 93934QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     124239 | PA      | $38023.26     | 0.01%             | 2036-09-25      | Floating      | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81485 | PA      | $75491.76     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Digital Dutch Finco BV                                                    | Digital Dutch Finco BV                                                                                              | CUSIP: N/A<br>LEI: 549300ONZ5IS6B6IMJ70       | Long             | DBT              | CORP              | NL        |     180000 | PA      | $134634.31    | 0.02%             | 2032-01-15      | Fixed         | 1.00%                 | No            | 2                  | On Loan: No      |
| Sunoco LP                                                                 | Sunoco LP                                                                                                           | CUSIP: 86765LAZ0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      95000 | PA      | $82464.75     | 0.01%             | 2030-04-30      | 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      | $-1471.43     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Devon Energy Corp.                                                        | Devon Energy Corp.                                                                                                  | CUSIP: 25179MBD4<br>LEI: 54930042348RKR3ZPN35 | Long             | DBT              | CORP              | US        |     114000 | PA      | $112806.48    | 0.02%             | 2027-10-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Post Holdings, Inc.                                                       | Post Holdings, Inc.                                                                                                 | CUSIP: 737446AN4<br>LEI: JM1I5YUAURL6DC8N1468 | Long             | DBT              | CORP              | US        |      72000 | PA      | $67776.84     | 0.01%             | 2028-01-15      | Fixed         | 5.62%                 | No            | 2                  | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                         | CUSIP: 75513ECL3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     121000 | PA      | $78379.44     | 0.01%             | 2051-09-01      | Fixed         | 2.82%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7807 | PA      | $7678.09      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     158782 | PA      | $155220.95    | 0.02%             | 2031-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6235343 | PA      | $5324856.94   | 0.71%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VFU3<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     569000 | PA      | $356739.83    | 0.05%             | 2050-11-20      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     578381 | PA      | $446848.80    | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            | 2                  | On Loan: No      |
| New York City Municipal Water Finance Authority                           | New York City Municipal Water Finance Authority, Series 2010                                                        | CUSIP: 64972FY34<br>LEI: 549300Q2EHQ6RJPQKP05 | Long             | DBT              | MUN               | US        |      55000 | PA      | $60301.55     | 0.01%             | 2044-06-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                  | CUSIP: 02209SBM4<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     236000 | PA      | $156526.25    | 0.02%             | 2041-02-04      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Masonite International Corp.                                              | Masonite International Corp.                                                                                        | CUSIP: 575385AD1<br>LEI: 549300H0H07ZFT4JYM32 | Long             | DBT              | CORP              | CA        |      36000 | PA      | $33285.96     | 0.00%             | 2028-02-01      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                              | CUSIP: 595620AV7<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     428000 | PA      | $302912.21    | 0.04%             | 2050-04-15      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M6RM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9177 | PA      | $9477.84      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Fanatics Commerce Intermediate Holdco LLC                                 | Fanatics Commerce Intermediate Holdco LLC, Term Loan                                                                | CUSIP: 30709UAB0<br>LEI: 254900YDIRBC66RGAG10 | Long             | LON              | CORP              | US        |      61380 | PA      | $60152.40     | 0.01%             | 2028-11-24      | Variable      | 7.63%                 | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21444 | PA      | $19511.36     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | 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      | $-3205.33     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58222 | PA      | $48102.41     | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72199 | PA      | $67611.23     | 0.01%             | 2047-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HJF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43155 | PA      | $42761.02     | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Cenovus Energy, Inc.                                                      | Cenovus Energy, Inc.                                                                                                | CUSIP: 15135UAF6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |     116000 | PA      | $120357.23    | 0.02%             | 2039-11-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70774 | PA      | $67949.84     | 0.01%             | 2047-12-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13656 | PA      | $13537.81     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14492 | PA      | $13180.78     | 0.00%             | 2031-12-01      | Fixed         | 2.00%                 | 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      | $-656.05      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Chase Mortgage Finance Trust                                              | Chase Mortgage Finance Trust, Series 2007-S6, Class 1A1                                                             | CUSIP: 161636AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     661385 | PA      | $296089.54    | 0.04%             | 2037-12-25      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     239149 | PA      | $224655.33    | 0.03%             | 2044-02-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc.                                                                                                     | CUSIP: 00108WAH3<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     567000 | PA      | $531683.53    | 0.07%             | 2028-06-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-11CB, Class 3A1                                                                 | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48851 | PA      | $25789.65     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| NXP BV                                                                    | NXP BV                                                                                                              | CUSIP: 62954HBA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1268000 | PA      | $998391.50    | 0.13%             | 2031-05-11      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class D                                               | CUSIP: 054967AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     650000 | PA      | $614174.41    | 0.08%             | 2034-09-15      | Floating      | 6.02%                 | No            | 2                  | On Loan: No      |
| UnitedHealth Group, Inc.                                                  | UnitedHealth Group, Inc.                                                                                            | CUSIP: 91324PBU5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     117000 | PA      | $107825.64    | 0.01%             | 2041-11-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| Voya CLO Ltd.                                                             | Voya CLO Ltd., Series 2017-4A, Class A1                                                                             | CUSIP: 92916QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246896.00    | 0.03%             | 2030-10-15      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                              | CUSIP: 893574AH6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     408000 | PA      | $435444.11    | 0.06%             | 2026-02-01      | Fixed         | 7.85%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD/BRL One-touch barrier option; Barrier price USD 4.65000                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |      22000 | PA      | $1224.28      | 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        |     229000 | PA      | $152667.89    | 0.02%             | 2052-06-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                         | CUSIP: 75513EBZ3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     360000 | PA      | $388643.80    | 0.05%             | 2028-11-01      | Fixed         | 7.00%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                       | CUSIP: 29444UBU9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    1380000 | PA      | $1226051.63   | 0.16%             | 2032-04-15      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33152 | PA      | $30754.19     | 0.00%             | 2036-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| EQT Corp.                                                                 | EQT Corp.                                                                                                           | CUSIP: 26884LAF6<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |     171000 | PA      | $157861.26    | 0.02%             | 2027-10-01      | Fixed         | 3.90%                 | No            | 2                  | On Loan: No      |
| Gilead Sciences, Inc.                                                     | Gilead Sciences, Inc.                                                                                               | CUSIP: 375558BK8<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     137000 | PA      | $113151.07    | 0.02%             | 2047-03-01      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335CCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38048 | PA      | $38158.62     | 0.01%             | 2048-11-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| GSAMP Trust                                                               | GSAMP Trust, Series 2007-HS1, Class M6                                                                              | CUSIP: 362429AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      40000 | PA      | $37210.14     | 0.00%             | 2047-02-25      | Floating      | 7.76%                 | No            | 2                  | On Loan: No      |
| Avianca Midco 2 plc                                                       | Avianca Midco 2 plc                                                                                                 | CUSIP: 05368PAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |     161488 | PA      | $117886.24    | 0.02%             | 2028-12-01      | Fixed         | 9.00%                 | No            | 2                  | On Loan: No      |
| Burlington Northern Santa Fe LLC                                          | Burlington Northern Santa Fe LLC                                                                                    | CUSIP: 12189LBG5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     293000 | PA      | $213250.24    | 0.03%             | 2051-09-15      | Fixed         | 3.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                               | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7793 | PA      | $7448.18      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3490524 | PA      | $2844747.66   | 0.38%             | 2052-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Florida Power & Light Co.                                                 | Florida Power & Light Co.                                                                                           | CUSIP: 341081FQ5<br>LEI: A89MY1K3YLIGJMYWVX50 | Long             | DBT              | CORP              | US        |     470000 | PA      | $387886.28    | 0.05%             | 2048-03-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                        | CUSIP: 059165EK2<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     105000 | PA      | $88008.90     | 0.01%             | 2048-09-15      | Fixed         | 4.25%                 | 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        |        -15 | NC      | $46748.80     | 0.01%             |  |  |  | No            | 1                  | On Loan: No      |
| FirstEnergy Corp.                                                         | FirstEnergy Corp., Series B                                                                                         | CUSIP: 337932AH0<br>LEI: 549300SVYJS666PQJH88 | Long             | DBT              | CORP              | US        |     349000 | PA      | $324656.70    | 0.04%             | 2027-07-15      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                    | CUSIP: 023135CJ3<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     137000 | PA      | $113392.50    | 0.02%             | 2052-04-13      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| MP CLO III Ltd.                                                           | MP CLO III Ltd., Series 2013-1A, Class AR                                                                           | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245591.70    | 0.03%             | 2030-10-20      | Floating      | 5.49%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     125000 | PA      | $4656.38      | 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      | $678.35       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2018-E, Class C                                                                    | CUSIP: 00969KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        315 | PA      | $305.49       | 0.00%             | 2058-06-25      | Variable      | 0.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1000000 | PA      | $984908.91    | 0.13%             | 2053-02-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     815000 | PA      | $739346.18    | 0.10%             | 2029-08-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1982 | PA      | $1847.67      | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12516 | PA      | $12222.25     | 0.00%             | 2030-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| International Paper Co.                                                   | International Paper Co.                                                                                             | CUSIP: 460146CH4<br>LEI: 824LMFJDH41EY779Q875 | Long             | DBT              | CORP              | US        |     112000 | PA      | $111640.50    | 0.01%             | 2041-11-15      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EM3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2704 | PA      | $2803.66      | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179UPB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     262463 | PA      | $257596.56    | 0.03%             | 2049-03-20      | 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      | $-437.29      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2014-C22, Class XA                                               | CUSIP: 46642NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1013078 | PA      | $9504.19      | 0.00%             | 2047-09-15      | Variable      | 0.80%                 | No            | 2                  | On Loan: No      |
| CenterPoint Energy Resources Corp.                                        | CenterPoint Energy Resources Corp.                                                                                  | CUSIP: 15189YAF3<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |     188000 | PA      | $148215.19    | 0.02%             | 2030-10-01      | Fixed         | 1.75%                 | 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      | $261.98       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLZ82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1526252 | PA      | $1302261.72   | 0.17%             | 2051-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Ford Motor Co.                                                            | Ford Motor Co.                                                                                                      | CUSIP: 345370DA5<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      44000 | PA      | $32997.43     | 0.00%             | 2032-02-12      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     344808 | PA      | $308094.56    | 0.04%             | 2051-12-20      | Fixed         | 3.00%                 | 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      | $-2645.63     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| AT&T, Inc.                                                                | AT&T, Inc.                                                                                                          | CUSIP: 00206RLJ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     835000 | PA      | $557148.47    | 0.07%             | 2055-09-15      | Fixed         | 3.55%                 | No            | 2                  | On Loan: No      |
| Southwestern Public Service Co.                                           | Southwestern Public Service Co., Series 8                                                                           | CUSIP: 845743BU6<br>LEI: OL6FE7QD5EQ3DOYEO258 | Long             | DBT              | CORP              | US        |     450000 | PA      | $310359.03    | 0.04%             | 2050-05-01      | Fixed         | 3.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13060 | PA      | $12944.99     | 0.00%             | 2042-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31335BFU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66052 | PA      | $64960.43     | 0.01%             | 2047-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132JNEF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32181 | PA      | $29315.23     | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132XCSJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98294 | PA      | $96468.73     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4092 | PA      | $3796.03      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                      | CUSIP: 11135FBK6<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    1347000 | PA      | $1079900.31   | 0.14%             | 2033-04-15      | Fixed         | 3.42%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QKWK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32022 | PA      | $30011.81     | 0.00%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC                                                                             | CUSIP: 15189XAS7<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |      85000 | PA      | $69577.57     | 0.01%             | 2048-03-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12610 | PA      | $12500.31     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                        | CUSIP: 00287YBD0<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      50000 | PA      | $45543.09     | 0.01%             | 2048-11-14      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128017 | PA      | $105425.08    | 0.01%             | 2050-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| State of California                                                       | State of California, Series 2009                                                                                    | CUSIP: 13063A5G5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      65000 | PA      | $82115.86     | 0.01%             | 2039-04-01      | Fixed         | 7.55%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     528000 | PA      | $450450.00    | 0.06%             | 2043-02-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QKWL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62385 | PA      | $58468.64     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | 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      | $-2349.68     | -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      | $8736.83      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     256000 | PA      | $192399.45    | 0.03%             | 2032-02-13      | Variable      | 1.79%                 | No            | 2                  | On Loan: No      |
| Tory Burch LLC, Term Loan                                                 | Tory Burch LLC, Term Loan B                                                                                         | CUSIP: 89148GAF7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     135930 | PA      | $125112.69    | 0.02%             | 2028-04-16      | Variable      | 7.88%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VGL2<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     560000 | PA      | $385392.72    | 0.05%             | 2041-09-03      | Fixed         | 2.85%                 | No            | 2                  | On Loan: No      |
| Grupo Posadas SAB de CV                                                   | Grupo Posadas SAB de CV                                                                                             | CUSIP: N/A<br>LEI: 529900NRFIXN5G8NUX35       | Long             | DBT              | CORP              | MX        |      32644 | PA      | $25743.87     | 0.00%             | 2027-12-30      | Variable      | 4.00%                 | No            | 2                  | On Loan: No      |
| Rogers Communications, Inc.                                               | Rogers Communications, Inc.                                                                                         | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     885000 | PA      | $763713.87    | 0.10%             | 2032-03-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QANL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1055999 | PA      | $1051326.29   | 0.14%             | 2049-02-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $401.94       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Generacion Mediterranea SA                                                | Generacion Mediterranea SA                                                                                          | CUSIP: 36875KAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | AR        |     111152 | PA      | $69143.40     | 0.01%             | 2027-12-01      | Fixed         | 9.88%                 | No            | 2                  | On Loan: No      |
| Venture XVIII CLO Ltd.                                                    | Venture XVIII CLO Ltd., Series 2014-18A, Class AR                                                                   | CUSIP: 92329FAP2<br>LEI: 549300MWRVTJN0X3KI79 | Long             | ABS-CBDO         | CORP              | KY        |     300522 | PA      | $297201.15    | 0.04%             | 2029-10-15      | Floating      | 5.30%                 | No            | 2                  | On Loan: No      |
| Comcast Corp.                                                             | Comcast Corp.                                                                                                       | CUSIP: 20030NEB3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |      71000 | PA      | $74031.21     | 0.01%             | 2032-11-15      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Enterprise Products Operating LLC                                         | Enterprise Products Operating LLC                                                                                   | CUSIP: 29379VBT9<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     485000 | PA      | $459247.85    | 0.06%             | 2028-10-16      | Fixed         | 4.15%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140FCTM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47693 | PA      | $42830.74     | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2022-NWPT, Class A                                                                               | CUSIP: 12663MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224000 | PA      | $219676.64    | 0.03%             | 2024-09-09      | Floating      | 7.48%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319169 | PA      | $262845.46    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     545161 | PA      | $519813.33    | 0.07%             | 2049-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Southwestern Energy Co.                                                   | Southwestern Energy Co., Term Loan                                                                                  | CUSIP: 84546SAU7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     159792 | PA      | $157795.09    | 0.02%             | 2027-06-22      | Variable      | 6.20%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Trust                                                | Home Equity Mortgage Trust, Series 2006-2, Class 1A1                                                                | CUSIP: 225470W25<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      51270 | PA      | $6118.14      | 0.00%             | 2036-07-25      | Variable      | 5.87%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     185479 | PA      | $177852.63    | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417C3C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18888 | PA      | $18001.07     | 0.00%             | 2027-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428481 | PA      | $352590.59    | 0.05%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     309000 | PA      | $290979.02    | 0.04%             | 2028-08-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      10000 | PA      | $-958.52      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     248000 | PA      | $235449.20    | 0.03%             | 2033-07-22      | Variable      | 5.01%                 | No            | 2                  | On Loan: No      |
| Los Angeles Community College District                                    | Los Angeles Community College District, Series 2010E                                                                | CUSIP: 54438CNZ1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     110000 | PA      | $128312.99    | 0.02%             | 2042-08-01      | Fixed         | 6.60%                 | No            | 2                  | On Loan: No      |
| Anchorage Capital CLO 5-R Ltd.                                            | Anchorage Capital CLO 5-R Ltd., Series 2014-5RA, Class B                                                            | CUSIP: 03329AAE5<br>LEI: 549300687XYK5L55VX28 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $491838.90    | 0.07%             | 2030-01-15      | Floating      | 5.53%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3444188 | PA      | $2987534.58   | 0.40%             | 2051-12-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2491000 | PA      | $-2454186.53  | -0.33%            | 2053-01-25      | 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      | $1384.92      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138XQL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19790 | PA      | $19031.43     | 0.00%             | 2029-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| VICI Properties LP                                                        | VICI Properties LP                                                                                                  | CUSIP: 92564RAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     611000 | PA      | $556010.00    | 0.07%             | 2029-12-01      | 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      | $-116.98      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3036212 | PA      | $2873804.04   | 0.38%             | 2051-10-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1422000 | PA      | $1157368.94   | 0.15%             | 2033-01-25      | Variable      | 2.96%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        783 | NC      | $-186923.73   | -0.02%            |  |  |  | No            | 1                  | On Loan: No      |
| Westlake Corp.                                                            | Westlake Corp.                                                                                                      | CUSIP: 960413BA9<br>LEI: GOXNEVUM0LL78B1OS344 | Long             | DBT              | CORP              | US        |     216000 | PA      | $127379.09    | 0.02%             | 2061-08-15      | Fixed         | 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      | $693.85       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     974101 | PA      | $843769.94    | 0.11%             | 2051-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1253 | PA      | $1250.59      | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2019-2, Class B                                                          | CUSIP: 90932KAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     112999 | PA      | $97263.33     | 0.01%             | 2028-05-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92344GAM8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     250000 | PA      | $289087.78    | 0.04%             | 2030-12-01      | Fixed         | 7.75%                 | No            | 2                  | On Loan: No      |
| Vistra Operations Co. LLC                                                 | Vistra Operations Co. LLC                                                                                           | CUSIP: 92840VAF9<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |      93000 | PA      | $86312.70     | 0.01%             | 2027-07-31      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81272 | PA      | $66753.10     | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | 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      | $-890.75      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      19958 | PA      | $2060.42      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Outfront Media Capital LLC                                                | Outfront Media Capital LLC                                                                                          | CUSIP: 69007TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      97000 | PA      | $87323.90     | 0.01%             | 2027-08-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3224 | PA      | $3023.51      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -13961200 | PA      | $-385713.04   | -0.05%            |  |  |  | No            | 2                  | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                              | Bear Stearns Asset-Backed Securities I Trust, Series 2007-FS1, Class 1A3                                            | CUSIP: 073855AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9475 | PA      | $9323.16      | 0.00%             | 2035-05-25      | Floating      | 4.73%                 | No            | 2                  | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                         | CUSIP: 709599BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1115000 | PA      | $1122825.06   | 0.15%             | 2027-11-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| MidAmerican Energy Co.                                                    | MidAmerican Energy Co.                                                                                              | CUSIP: 595620AQ8<br>LEI: NINLOILYRTLIMK26MZ18 | Long             | DBT              | CORP              | US        |     225000 | PA      | $210649.30    | 0.03%             | 2027-05-01      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22425 | PA      | $21024.55     | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140E42P1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2920 | PA      | $2793.09      | 0.00%             | 2030-11-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Madison Avenue Manufactured Housing Contract Trust                        | Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2                                         | CUSIP: 55660AAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8646 | PA      | $8646.22      | 0.00%             | 2032-03-25      | Floating      | 7.64%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2015-173                                       | CUSIP: 38379K7R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114534 | PA      | $2611.14      | 0.00%             | 2055-09-16      | Variable      | 0.60%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16965 | PA      | $15925.89     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28832 | PA      | $26233.63     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8182 | PA      | $8373.55      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3746000 | PA      | $3465196.32   | 0.46%             | 2027-08-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2886651.69   | 0.38%             | 2053-02-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Mid-Atlantic Interstate Transmission LLC                                  | Mid-Atlantic Interstate Transmission LLC                                                                            | CUSIP: 59524QAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      22000 | PA      | $20702.36     | 0.00%             | 2028-05-15      | Fixed         | 4.10%                 | No            | 2                  | On Loan: No      |
| Owens Corning                                                             | Owens Corning                                                                                                       | CUSIP: 690742AJ0<br>LEI: JO5M6676RDJIZ2U8X907 | Long             | DBT              | CORP              | US        |      41000 | PA      | $37263.10     | 0.00%             | 2029-08-15      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| BlueMountain CLO Ltd.                                                     | BlueMountain CLO Ltd., Series 2013-2A, Class A1R                                                                    | CUSIP: 09626YAN0<br>LEI: 549300KGXMRFX2DKIX03 | Long             | ABS-CBDO         | CORP              | KY        |     490193 | PA      | $483820.31    | 0.06%             | 2030-10-22      | Floating      | 5.50%                 | No            | 2                  | On Loan: No      |
| Raytheon Technologies Corp.                                               | Raytheon Technologies Corp.                                                                                         | CUSIP: 75513EAD3<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |     169000 | PA      | $140632.31    | 0.02%             | 2030-07-01      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179UWA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4805 | PA      | $4706.92      | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2018-A, Class B                                                                    | CUSIP: 00969EAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2535 | PA      | $2500.60      | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29871 | PA      | $27931.94     | 0.00%             | 2031-06-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $429.23       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Energy Transfer LP                                                        | Energy Transfer LP                                                                                                  | CUSIP: 29273RBL2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     122000 | PA      | $101502.62    | 0.01%             | 2047-04-15      | Fixed         | 5.30%                 | No            | 2                  | On Loan: No      |
| LCM 26 Ltd.                                                               | LCM 26 Ltd., Series 26A, Class A1                                                                                   | CUSIP: 50200FAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     280000 | PA      | $276465.70    | 0.04%             | 2031-01-20      | Floating      | 5.31%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251451 | PA      | $237454.64    | 0.03%             | 2050-03-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1134508 | PA      | $982884.10    | 0.13%             | 2052-05-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CCF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4768000 | PA      | $4252273.76   | 0.57%             | 2026-05-31      | Fixed         | 0.75%                 | No            | 2                  | On Loan: No      |
| Cox Communications, Inc.                                                  | Cox Communications, Inc.                                                                                            | CUSIP: 224044CM7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |     279000 | PA      | $167274.79    | 0.02%             | 2050-10-01      | Fixed         | 2.95%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      13000 | PA      | $7735.00      | 0.00%             | 2050-11-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1245 | PA      | $1181.54      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106161 | PA      | $100496.58    | 0.01%             | 2050-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Navient Corp.                                                             | Navient Corp.                                                                                                       | CUSIP: 63938CAB4<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      37000 | PA      | $35799.36     | 0.00%             | 2024-10-25      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     738000 | PA      | $702669.59    | 0.09%             | 2033-07-25      | Variable      | 4.91%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMR23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38426 | PA      | $36806.40     | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     637004 | PA      | $547776.88    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-OA16, Class A4C                                                                 | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139117 | PA      | $101277.87    | 0.01%             | 2046-10-25      | Floating      | 5.07%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HH6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11010 | PA      | $10841.00     | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Anheuser-Busch Cos. LLC                                                   | Anheuser-Busch Cos. LLC                                                                                             | CUSIP: 03522AAH3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     249000 | PA      | $235166.26    | 0.03%             | 2036-02-01      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2020-1, Class B                                                          | CUSIP: 90932VAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     102870 | PA      | $97869.01     | 0.01%             | 2026-01-15      | 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      | $-798.16      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140X8MY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134115 | PA      | $116181.60    | 0.02%             | 2050-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co., Series 127                                                                                 | CUSIP: 202795JQ4<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     180000 | PA      | $127976.48    | 0.02%             | 2049-11-15      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| BAMLL Commercial Mortgage Securities Trust                                | BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class F                                               | CUSIP: 05526QAN6<br>LEI: 549300UQK6PJ8BF5JQ90 | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $243795.45    | 0.03%             | 2033-04-14      | Variable      | 3.60%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-OC10, Class 2A3                                                                 | CUSIP: 23245FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55710 | PA      | $46907.65     | 0.01%             | 2036-11-25      | Floating      | 4.85%                 | 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      | $-1644.41     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| DTE Electric Co.                                                          | DTE Electric Co.                                                                                                    | CUSIP: 23338VAJ5<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     623000 | PA      | $510510.07    | 0.07%             | 2049-03-01      | Fixed         | 3.95%                 | 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      | $-455.97      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Ecopetrol SA                                                              | Ecopetrol SA                                                                                                        | CUSIP: 279158AK5<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | NUSS              | CO        |      92000 | PA      | $87446.00     | 0.01%             | 2025-01-16      | Fixed         | 4.12%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2005-RP1, Class 1AF                                                               | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32798 | PA      | $29415.32     | 0.00%             | 2035-01-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Bank of America Corp.                                                     | Bank of America Corp.                                                                                               | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     981000 | PA      | $755474.79    | 0.10%             | 2032-07-21      | Variable      | 2.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMZU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     482153 | PA      | $411017.65    | 0.05%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $291.14       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                    | CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A                                                     | CUSIP: 126685AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       4040 | PA      | $3965.95      | 0.00%             | 2035-05-15      | Floating      | 4.50%                 | No            | 2                  | On Loan: No      |
| Dryden 53 CLO Ltd.                                                        | Dryden 53 CLO Ltd., Series 2017-53A, Class A                                                                        | CUSIP: 26243EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $790163.04    | 0.11%             | 2031-01-15      | Floating      | 5.20%                 | 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      | $-456.64      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CAZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5251000 | PA      | $4696773.33   | 0.63%             | 2025-11-30      | Fixed         | 0.38%                 | 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      | $687.93       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Applied Materials, Inc.                                                   | Applied Materials, Inc.                                                                                             | CUSIP: 038222AP0<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     154000 | PA      | $104897.12    | 0.01%             | 2050-06-01      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFCS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101687 | PA      | $100081.26    | 0.01%             | 2045-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -9000 | PA      | $-8428.89     | -0.00%            | 2038-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Soundview Home Loan Trust                                                 | Soundview Home Loan Trust, Series 2004-WMC1, Class M2                                                               | CUSIP: 83611MBW7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       1248 | PA      | $1119.90      | 0.00%             | 2035-01-25      | Floating      | 5.18%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CCE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1607000 | PA      | $1391310.47   | 0.19%             | 2028-05-31      | Fixed         | 1.25%                 | No            | 2                  | On Loan: No      |
| Bally's Corp.                                                             | Bally's Corp., Facility Term Loan B                                                                                 | CUSIP: 05875CAB0<br>LEI: 549300NS4D5IK406VT62 | Long             | LON              | CORP              | US        |     320578 | PA      | $295812.89    | 0.04%             | 2028-10-02      | Variable      | 7.54%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2138000 | PA      | $2073673.01   | 0.28%             | 2053-01-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     677427 | PA      | $552094.33    | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5129000 | PA      | $4203976.85   | 0.56%             | 2048-02-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307QBA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7434 | PA      | $7166.14      | 0.00%             | 2031-02-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32348 | PA      | $30249.20     | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Equinix, Inc.                                                             | Equinix, Inc.                                                                                                       | CUSIP: 29444UBH8<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |    1188000 | PA      | $945100.64    | 0.13%             | 2030-07-15      | Fixed         | 2.15%                 | No            | 2                  | On Loan: No      |
| CP Iris Holdco I, Inc.                                                    | CP Iris Holdco I, Inc., 1st Lien Term Loan                                                                          | CUSIP: 12659EAC2<br>LEI: 25490024F0AS5UR7DB02 | Long             | LON              | CORP              | US        |      31748 | PA      | $28216.30     | 0.00%             | 2028-10-02      | Variable      | 7.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ERM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166580 | PA      | $158949.23    | 0.02%             | 2031-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Anglo American Capital plc                                                | Anglo American Capital plc                                                                                          | CUSIP: 034863BB5<br>LEI: TINT358G1SSHR3L3PW36 | Long             | DBT              | CORP              | GB        |    1138000 | PA      | $1023488.75   | 0.14%             | 2029-03-16      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4541180 | PA      | $3712316.69   | 0.49%             | 2051-02-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Washington Mutual, Inc.                                                   | Washington Mutual Escrow Bonds                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | DBT              | CORP              | US        |     500000 | PA      | $0.05         | 0.00%             | 2017-09-29      | Fixed         | 0.00%                 | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3662 | PA      | $3820.31      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            | 2                  | On Loan: No      |
| Apidos CLO XII                                                            | Apidos CLO XII, Series 2013-12A, Class AR                                                                           | CUSIP: 03764DAH4<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492393.75    | 0.07%             | 2031-04-15      | Floating      | 5.16%                 | No            | 2                  | On Loan: No      |
| Amazon.com, Inc.                                                          | Amazon.com, Inc.                                                                                                    | CUSIP: 023135CB0<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     229000 | PA      | $163095.35    | 0.02%             | 2051-05-12      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Cedar Fair LP                                                             | Cedar Fair LP                                                                                                       | CUSIP: 150190AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      73000 | PA      | $69715.00     | 0.01%             | 2027-04-15      | Fixed         | 5.38%                 | No            | 2                  | On Loan: No      |
| LCM XX LP                                                                 | LCM XX LP, Series 20A, Class AR                                                                                     | CUSIP: 50188WAE8<br>LEI: 549300VQTTD2PAP2Y421 | Long             | ABS-CBDO         | CORP              | KY        |      70971 | PA      | $70475.14     | 0.01%             | 2027-10-20      | Floating      | 5.28%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180020 | PA      | $165199.51    | 0.02%             | 2035-10-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7845 | PA      | $7972.78      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Fertitta Entertainment LLC                                                | Fertitta Entertainment LLC, Term Loan B                                                                             | CUSIP: 31556PAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     207023 | PA      | $196439.73    | 0.03%             | 2029-01-27      | Variable      | 8.32%                 | No            | 2                  | On Loan: No      |
| Grupo Aval Ltd.                                                           | Grupo Aval Ltd.                                                                                                     | CUSIP: 40053FAC2<br>LEI: 549300J4FW1ELLQ80113 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $161600.00    | 0.02%             | 2030-02-04      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1833 | PA      | $1817.33      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Commonwealth Edison Co.                                                   | Commonwealth Edison Co.                                                                                             | CUSIP: 202795JP6<br>LEI: D8YOXB8L2ZDC8P7Q0771 | Long             | DBT              | CORP              | US        |     135000 | PA      | $109190.48    | 0.01%             | 2049-03-01      | 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      | $-1644.41     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     406252 | PA      | $342446.82    | 0.05%             | 2041-12-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394876 | PA      | $354106.69    | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Public Service Electric & Gas Co.                                         | Public Service Electric & Gas Co.                                                                                   | CUSIP: 74456QCK0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     304000 | PA      | $304544.29    | 0.04%             | 2032-12-15      | Fixed         | 4.90%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | EUR Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    2400000 | PA      | $36307.19     | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2015-CR25, Class XA                                                               | CUSIP: 12593PAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179296 | PA      | $3080.46      | 0.00%             | 2048-08-10      | Variable      | 0.80%                 | No            | 2                  | On Loan: No      |
| Oi SA                                                                     | Oi SA                                                                                                               | CUSIP: N/A<br>LEI: 254900YEMWCRRAGD4978       | Long             | DBT              | CORP              | BR        |      49000 | PA      | $8201.38      | 0.00%             | 2025-07-27      | Fixed         | 10.00%                | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -10 | NC      | $-468.75      | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Turkish Airlines Pass-Through Trust                                       | Turkish Airlines Pass-Through Trust, Series 2015-1, Class A                                                         | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |      23826 | PA      | $20451.73     | 0.00%             | 2027-03-15      | Fixed         | 4.20%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132JNVH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12239 | PA      | $11894.89     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138ETBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28033 | PA      | $26646.22     | 0.00%             | 2031-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Corpus Christi Holdings LLC                                      | Cheniere Corpus Christi Holdings LLC                                                                                | CUSIP: 16412XAC9<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    1161000 | PA      | $1168051.84   | 0.16%             | 2025-03-31      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| BWAY Mortgage Trust                                                       | BWAY Mortgage Trust, Series 2013-1515, Class C                                                                      | CUSIP: 05604FAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     105000 | PA      | $93667.70     | 0.01%             | 2033-03-10      | Fixed         | 3.45%                 | No            | 2                  | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                           | CHL Mortgage Pass-Through Trust, Series 2006-OA4, Class A1                                                          | CUSIP: 126694E95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128379 | PA      | $40428.54     | 0.01%             | 2046-04-25      | Floating      | 3.01%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132QTHA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17361 | PA      | $17074.39     | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| TEGNA, Inc.                                                               | TEGNA, Inc.                                                                                                         | CUSIP: 87901JAJ4<br>LEI: 549300YC5EDBGX85AO10 | Long             | DBT              | CORP              | US        |      15000 | PA      | $14245.50     | 0.00%             | 2028-03-15      | 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      | $291.14       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QKWP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78959 | PA      | $74004.39     | 0.01%             | 2036-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Nomura Holdings, Inc.                                                     | Nomura Holdings, Inc.                                                                                               | CUSIP: 65535HAX7<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     343000 | PA      | $265277.66    | 0.04%             | 2031-07-14      | Fixed         | 2.61%                 | No            | 2                  | On Loan: No      |
| ACE Securities Corp. Home Equity Loan Trust                               | ACE Securities Corp. Home Equity Loan Trust, Series 2003-OP1, Class A2                                              | CUSIP: 004427BK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     118165 | PA      | $107152.68    | 0.01%             | 2033-12-25      | Floating      | 5.11%                 | No            | 2                  | On Loan: No      |
| American Airlines Pass-Through Trust                                      | American Airlines Pass-Through Trust, Series 2016-3, Class AA                                                       | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     304026 | PA      | $263432.33    | 0.04%             | 2028-10-15      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| DBUBS Mortgage Trust                                                      | DBUBS Mortgage Trust, Series 2017-BRBK, Class F                                                                     | CUSIP: 23305JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80000 | PA      | $67301.16     | 0.01%             | 2034-10-10      | Variable      | 3.53%                 | No            | 3                  | On Loan: No      |
| Charter Communications Operating LLC                                      | Charter Communications Operating LLC                                                                                | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     557000 | PA      | $328574.34    | 0.04%             | 2062-06-30      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Philip Morris International, Inc.                                         | Philip Morris International, Inc.                                                                                   | CUSIP: 718172CM9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     395000 | PA      | $241832.95    | 0.03%             | 2039-08-01      | Fixed         | 1.45%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-1228.45     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| BXP Trust                                                                 | BXP Trust, Series 2017-GM, Class D                                                                                  | CUSIP: 056083AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $167300.00    | 0.02%             | 2039-06-13      | Variable      | 3.42%                 | No            | 3                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9171000 | PA      | $805120.97    | 0.11%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140HHWN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28809 | PA      | $27480.56     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     311098 | PA      | $256196.85    | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39858 | PA      | $36976.32     | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CenterPoint Energy Houston Electric LLC                                   | CenterPoint Energy Houston Electric LLC, Series AD                                                                  | CUSIP: 15189XAU2<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |     414000 | PA      | $278354.26    | 0.04%             | 2050-07-01      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8841 | PA      | $8271.08      | 0.00%             | 2030-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Citicorp Mortgage Securities Trust                                        | Citicorp Mortgage Securities Trust, Series 2008-2, Class 1A1                                                        | CUSIP: 17314DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54899 | PA      | $41822.79     | 0.01%             | 2038-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| HSBC Holdings plc                                                         | HSBC Holdings plc                                                                                                   | CUSIP: 404280CX5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     247000 | PA      | $213913.15    | 0.03%             | 2027-11-22      | Variable      | 2.25%                 | 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      | $-197.26      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Republic of Panama                                                        | Republic of Panama                                                                                                  | CUSIP: 698299BM5<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     488000 | PA      | $357856.50    | 0.05%             | 2056-04-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         -3 | NC      | $-1453.13     | -0.00%            |  |  |  | No            | 1                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEP89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1025144 | PA      | $957497.63    | 0.13%             | 2050-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                     | Conseco Finance Corp., Series 2001-D, Class B1                                                                      | CUSIP: 20847TBM2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       9170 | PA      | $10084.35     | 0.00%             | 2032-11-15      | Floating      | 6.82%                 | No            | 2                  | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                          | Oakwood Mortgage Investors, Inc., Series 2001-D, Class A4                                                           | CUSIP: 67087TCW9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8680 | PA      | $4962.34      | 0.00%             | 2031-09-15      | Variable      | 6.93%                 | 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      | $381.72       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11951 | PA      | $11205.74     | 0.00%             | 2030-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Juniper Networks, Inc.                                                    | Juniper Networks, Inc.                                                                                              | CUSIP: 48203RAP9<br>LEI: AUHIXNGG7U2U7JEHM527 | Long             | DBT              | CORP              | US        |     156000 | PA      | $118754.15    | 0.02%             | 2030-12-10      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| iHeartCommunications, Inc.                                                | iHeartCommunications, Inc.                                                                                          | CUSIP: 45174HBG1<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |       7000 | PA      | $5700.38      | 0.00%             | 2028-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| HCA, Inc.                                                                 | HCA, Inc.                                                                                                           | CUSIP: 404119BU2<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    1103000 | PA      | $1063046.11   | 0.14%             | 2027-02-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Rockford Tower CLO Ltd.                                                   | Rockford Tower CLO Ltd., Series 2017-3A, Class A                                                                    | CUSIP: 77341DAA5<br>LEI: 549300V5ZF7112UGSH89 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $246500.18    | 0.03%             | 2030-10-20      | Floating      | 5.43%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     465000 | PA      | $436011.87    | 0.06%             | 2053-01-25      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A8S40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31240 | PA      | $28213.09     | 0.00%             | 2050-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5671000 | PA      | $5587190.62   | 0.74%             | 2053-01-25      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| LSF11 A5 Holdco LLC                                                       | LSF11 A5 Holdco LLC, Term Loan                                                                                      | CUSIP: 50216YAB6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     199492 | PA      | $192460.39    | 0.03%             | 2028-10-15      | Variable      | 7.94%                 | No            | 2                  | On Loan: No      |
| Agile Group Holdings Ltd.                                                 | Agile Group Holdings Ltd.                                                                                           | CUSIP: N/A<br>LEI: 549300ZRISRT38EEYY07       | Long             | DBT              | CORP              | KY        |     200000 | PA      | $49500.00     | 0.01%             | 2023-12-04      | Variable      | 8.38%                 | No            | 2                  | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                            | Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1                                          | CUSIP: 86360QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56675 | PA      | $46435.81     | 0.01%             | 2036-06-25      | Floating      | 4.77%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | GBP Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | GB        |     154000 | PA      | $2476.97      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Marble Point CLO XI Ltd.                                                  | Marble Point CLO XI Ltd., Series 2017-2A, Class A                                                                   | CUSIP: 56607FAA3<br>LEI: 549300DBVCVH5X7MO467 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245038.53    | 0.03%             | 2030-12-18      | Floating      | 5.37%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179478 | PA      | $159819.74    | 0.02%             | 2052-01-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Tricon American Homes Trust                                               | Tricon American Homes Trust, Series 2018-SFR1, Class E                                                              | CUSIP: 89613TAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     100000 | PA      | $93537.71     | 0.01%             | 2037-05-17      | Fixed         | 4.56%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100388 | PA      | $91340.06     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Transcontinental Gas Pipe Line Co. LLC                                    | Transcontinental Gas Pipe Line Co. LLC                                                                              | CUSIP: 893574AK9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     895000 | PA      | $839736.48    | 0.11%             | 2028-03-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    1032863 | PA      | $1962.14      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828ZD5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4593000 | PA      | $4558010.62   | 0.61%             | 2023-03-15      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| First Franklin Mortgage Loan Trust                                        | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A5                                                      | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     333628 | PA      | $301933.74    | 0.04%             | 2036-12-25      | Floating      | 4.54%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11909 | PA      | $11090.30     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Bank of America Merrill Lynch Trust                        | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class XD                                       | CUSIP: 61690VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     120000 | PA      | $3841.41      | 0.00%             | 2048-10-15      | Variable      | 1.31%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179DEK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28010 | PA      | $26342.46     | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9096250 | PA      | $8752923.78   | 1.17%             | 2053-01-25      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGKD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77632 | PA      | $72856.50     | 0.01%             | 2035-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Union Pacific Corp.                                                       | Union Pacific Corp.                                                                                                 | CUSIP: 907818FL7<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     143000 | PA      | $104239.28    | 0.01%             | 2070-02-05      | Fixed         | 3.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5764322 | PA      | $5304196.93   | 0.71%             | 2051-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     505000 | PA      | $404650.98    | 0.05%             | 2046-11-15      | Fixed         | 2.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J6DA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3652 | PA      | $3415.30      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBJ3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     238000 | PA      | $173439.72    | 0.02%             | 2046-07-15      | 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      | $-1614.84     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Irwin Home Equity Loan Trust                                              | Irwin Home Equity Loan Trust, Series 2006-3, Class 2A3                                                              | CUSIP: 464125AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      11806 | PA      | $10851.33     | 0.00%             | 2037-09-25      | Variable      | 6.03%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WD6X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3131 | PA      | $2935.69      | 0.00%             | 2030-02-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4332 | PA      | $4057.44      | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WJNC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     183142 | PA      | $163808.63    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2995808 | PA      | $2856585.49   | 0.38%             | 2051-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| University of California                                                  | University of California, Series 2012 AD                                                                            | CUSIP: 91412GHA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      25000 | PA      | $21222.62     | 0.00%             | 2112-05-15      | Fixed         | 4.86%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                  | CUSIP: 37045XAS5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     443000 | PA      | $429839.75    | 0.06%             | 2025-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Public Service Electric and Gas Co.                                       | Public Service Electric and Gas Co.                                                                                 | CUSIP: 74456QCB0<br>LEI: 549300RUHPVD434XUK18 | Long             | DBT              | CORP              | US        |     129000 | PA      | $110665.62    | 0.01%             | 2030-01-15      | Fixed         | 2.45%                 | No            | 2                  | On Loan: No      |
| Altria Group, Inc.                                                        | Altria Group, Inc.                                                                                                  | CUSIP: 02209SAZ6<br>LEI: XSGZFLO9YTNO9VCQV219 | Long             | DBT              | CORP              | US        |     460000 | PA      | $407798.67    | 0.05%             | 2031-06-15      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14066 | PA      | $13182.04     | 0.00%             | 2044-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                       | Seasoned Credit Risk Transfer Trust, Series 2018-1, Class BX                                                        | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18795 | PA      | $6896.80      | 0.00%             | 2057-05-25      | Variable      | 2.73%                 | No            | 2                  | On Loan: No      |
| Interpublic Group of Cos., Inc. (The)                                     | Interpublic Group of Cos., Inc. (The)                                                                               | CUSIP: 460690BR0<br>LEI: 5493008IUOJ5VWTRC333 | Long             | DBT              | CORP              | US        |      79000 | PA      | $74528.48     | 0.01%             | 2030-03-30      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13029 | PA      | $12241.71     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGVQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164168 | PA      | $144847.11    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2004-B, Class A1                                                    | CUSIP: 073250BE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      70123 | PA      | $55134.25     | 0.01%             | 2039-05-28      | Floating      | 5.39%                 | No            | 3                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7562 | PA      | $6880.90      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| AEA International Holdings (Luxembourg) SARL                              | AEA International Holdings (Luxembourg) SARL, 1st Lien Term Loan                                                    | CUSIP: 46033XAB7<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     147609 | PA      | $145763.90    | 0.02%             | 2028-09-07      | Variable      | 8.50%                 | No            | 3                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828X88<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1390000 | PA      | $1295903.52   | 0.17%             | 2027-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2006-15CB, Class A1                                                                  | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7772 | PA      | $3851.89      | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $1412.88      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Ajax Mortgage Loan Trust                                                  | Ajax Mortgage Loan Trust, Series 2018-F, Class C                                                                    | CUSIP: 00969JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11041 | PA      | $7202.43      | 0.00%             | 2058-11-25      | Fixed         | 0.00%                 | No            | 2                  | On Loan: No      |
| Deutsche Alt-B Securities Mortgage Loan Trust                             | Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8                                            | CUSIP: 25151EAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7590 | PA      | $6200.98      | 0.00%             | 2036-07-25      | Variable      | 6.36%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     474000 | PA      | $430895.63    | 0.06%             | 2029-05-15      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CBC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5251000 | PA      | $4692876.15   | 0.62%             | 2025-12-31      | Fixed         | 0.38%                 | No            | 2                  | On Loan: No      |
| 245 Park Avenue Trust                                                     | 245 Park Avenue Trust, Series 2017-245P, Class E                                                                    | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $143783.06    | 0.02%             | 2037-06-05      | Variable      | 3.66%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     367499 | PA      | $327784.09    | 0.04%             | 2037-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| VMware, Inc.                                                              | VMware, Inc.                                                                                                        | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |     699000 | PA      | $530445.87    | 0.07%             | 2031-08-15      | Fixed         | 2.20%                 | No            | 2                  | On Loan: No      |
| AbbVie, Inc.                                                              | AbbVie, Inc.                                                                                                        | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     342000 | PA      | $303764.83    | 0.04%             | 2045-05-14      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| Simpar Europe SA                                                          | Simpar Europe SA                                                                                                    | CUSIP: 82883PAA2<br>LEI: 54930068BSUST41D5C30 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $149310.00    | 0.02%             | 2031-01-26      | Fixed         | 5.20%                 | No            | 2                  | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2018-1A, Class A1                                                                    | CUSIP: 69703PAA7<br>LEI: 549300A8L0VCZ9626397 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $245847.05    | 0.03%             | 2031-04-18      | Floating      | 5.22%                 | No            | 2                  | On Loan: No      |
| Sirius XM Radio, Inc.                                                     | Sirius XM Radio, Inc.                                                                                               | CUSIP: 82967NBC1<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |      90000 | PA      | $82150.20     | 0.01%             | 2029-07-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CDW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      67000 | PA      | $58850.08     | 0.01%             | 2029-01-31      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBH7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     260000 | PA      | $212605.61    | 0.03%             | 2036-07-15      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16659 | PA      | $15174.79     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | 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      | $-654.94      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Northern States Power Co.                                                 | Northern States Power Co.                                                                                           | CUSIP: 665772CR8<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |     221000 | PA      | $151156.16    | 0.02%             | 2050-03-01      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2006-MH1, Class B1                                        | CUSIP: 1248P8AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      83533 | PA      | $78981.40     | 0.01%             | 2036-10-25      | Variable      | 6.25%                 | No            | 2                  | On Loan: No      |
| CBAM Ltd.                                                                 | CBAM Ltd., Series 2017-1A, Class A1                                                                                 | CUSIP: 12480VAC9<br>LEI: 254900JWJFDB3KD6V066 | Long             | ABS-CBDO         | CORP              | KY        |     249186 | PA      | $246518.95    | 0.03%             | 2030-07-20      | Floating      | 5.49%                 | No            | 2                  | On Loan: No      |
| Cedar Fair LP                                                             | Cedar Fair LP                                                                                                       | CUSIP: 150190AF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      47000 | PA      | $46488.48     | 0.01%             | 2025-05-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13692 | PA      | $12750.73     | 0.00%             | 2046-10-20      | 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      | $818.73       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 912828ZS2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2717000 | PA      | $2329402.97   | 0.31%             | 2027-05-31      | Fixed         | 0.50%                 | No            | 2                  | On Loan: No      |
| Ohio Power Co.                                                            | Ohio Power Co., Series Q                                                                                            | CUSIP: 677415CT6<br>LEI: 06ZODLC132CY1O2Y7D77 | Long             | DBT              | CORP              | US        |     122000 | PA      | $94402.30     | 0.01%             | 2031-01-15      | Fixed         | 1.62%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179RF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178102 | PA      | $166099.49    | 0.02%             | 2045-06-20      | 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      | $1164.32      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Credit Suisse Mortgage Capital Certificates                               | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4, Class A                                              | CUSIP: 12653VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     698000 | PA      | $690298.76    | 0.09%             | 2036-05-15      | Floating      | 5.30%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -9332750 | PA      | $-8980497.39  | -1.20%            | 2053-01-25      | 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      | $381.72       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                            | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1                                             | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      35728 | PA      | $35385.84     | 0.00%             | 2040-04-15      | Variable      | 6.63%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1554 | PA      | $1550.58      | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Moody's Corp.                                                             | Moody's Corp.                                                                                                       | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |     809000 | PA      | $745705.20    | 0.10%             | 2028-01-15      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410000 | PA      | $383982.87    | 0.05%             | 2038-01-25      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56774 | PA      | $54506.52     | 0.01%             | 2047-05-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132L8EV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204163 | PA      | $182810.18    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VFR0<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     106000 | PA      | $82238.87     | 0.01%             | 2031-01-20      | Fixed         | 1.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QGKA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577429 | PA      | $529799.55    | 0.07%             | 2035-12-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31402QYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77307 | PA      | $78947.11     | 0.01%             | 2035-02-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     503000 | PA      | $481162.81    | 0.06%             | 2038-01-25      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| MASTR Specialized Loan Trust                                              | MASTR Specialized Loan Trust, Series 2006-3, Class A                                                                | CUSIP: 57643BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       8600 | PA      | $8093.67      | 0.00%             | 2046-06-25      | Floating      | 4.65%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20195 | PA      | $19435.16     | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     258786 | PA      | $212634.49    | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179UQ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44697 | PA      | $43769.49     | 0.01%             | 2049-04-20      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645677 | PA      | $555234.35    | 0.07%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GYN8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1053000 | PA      | $831416.57    | 0.11%             | 2032-10-21      | Variable      | 2.65%                 | 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      | $277.85       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBX2<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1155000 | PA      | $777623.00    | 0.10%             | 2050-04-01      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10467 | PA      | $9391.61      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132HRMP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28067 | PA      | $25567.21     | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Brookfield Residential Properties, Inc.                                   | Brookfield Residential Properties, Inc.                                                                             | CUSIP: 11283YAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      87000 | PA      | $77264.70     | 0.01%             | 2027-09-15      | Fixed         | 6.25%                 | No            | 2                  | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                                           | Goldman Sachs Group, Inc. (The)                                                                                     | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     716000 | PA      | $637515.92    | 0.08%             | 2028-02-24      | Variable      | 2.64%                 | No            | 2                  | On Loan: No      |
| State of Texas                                                            | State of Texas, Series 2009A                                                                                        | CUSIP: 882722KF7<br>LEI: 549300X9CH74QB747L76 | Long             | DBT              | MUN               | US        |     215000 | PA      | $226824.08    | 0.03%             | 2039-04-01      | Fixed         | 5.52%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-9787.62     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Standard Industries, Inc.                                                 | Standard Industries, Inc.                                                                                           | CUSIP: 853496AD9<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      15000 | PA      | $13498.35     | 0.00%             | 2028-01-15      | Fixed         | 4.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     326407 | PA      | $280024.62    | 0.04%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  128349500 | PA      | $39701.71     | 0.01%             |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     901000 | PA      | $1498.81      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Cameron LNG LLC                                                           | Cameron LNG LLC                                                                                                     | CUSIP: 133434AC4<br>LEI: 549300C39FLHGVD73K22 | Long             | DBT              | CORP              | US        |     707000 | PA      | $573996.66    | 0.08%             | 2038-01-15      | Fixed         | 3.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307U5V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14011 | PA      | $13349.46     | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QK7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     432000 | PA      | $421402.50    | 0.06%             | 2040-08-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9899 | PA      | $9796.18      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| T-Mobile USA, Inc.                                                        | T-Mobile USA, Inc.                                                                                                  | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     381000 | PA      | $335573.18    | 0.04%             | 2029-04-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                       | Bear Stearns Mortgage Funding Trust, Series 2007-AR2, Class A1                                                      | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72746 | PA      | $65735.00     | 0.01%             | 2037-03-25      | Floating      | 4.56%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65193 | PA      | $59278.39     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Alternative Loan Trust                                                    | Alternative Loan Trust, Series 2005-76, Class 2A1                                                                   | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14258 | PA      | $12644.57     | 0.00%             | 2036-02-25      | Floating      | 3.05%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1716437 | PA      | $1446822.82   | 0.19%             | 2042-03-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J8ZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153192 | PA      | $151017.82    | 0.02%             | 2048-08-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2017-H1, Class XD                                                            | CUSIP: 61691JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110000 | PA      | $8327.77      | 0.00%             | 2050-06-15      | Variable      | 2.15%                 | No            | 2                  | On Loan: No      |
| Republic of Colombia                                                      | Republic of Colombia                                                                                                | CUSIP: N/A<br>LEI: 549300MHDRBVRF6B9117       | Long             | DBT              | NUSS              | CO        |  334000000 | PA      | $45158.03     | 0.01%             | 2034-10-18      | Fixed         | 7.25%                 | No            | 2                  | On Loan: No      |
| SLM Private Credit Student Loan Trust                                     | SLM Private Credit Student Loan Trust, Series 2004-B, Class A3                                                      | CUSIP: 78443CBN3<br>LEI: 549300HIOV1ESFZYQ040 | Long             | ABS-O            | CORP              | US        |      22556 | PA      | $22488.98     | 0.00%             | 2024-03-15      | Floating      | 5.10%                 | No            | 2                  | On Loan: No      |
| Palmer Square CLO Ltd.                                                    | Palmer Square CLO Ltd., Series 2014-1A, Class A1R2                                                                  | CUSIP: 69688XAS0<br>LEI: 549300UP5H2PFBIITY41 | Long             | ABS-CBDO         | CORP              | KY        |     250000 | PA      | $247481.45    | 0.03%             | 2031-01-17      | Floating      | 5.21%                 | No            | 2                  | On Loan: No      |
| General Motors Financial Co., Inc.                                        | General Motors Financial Co., Inc.                                                                                  | CUSIP: 37045XDS2<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |     975000 | PA      | $763953.21    | 0.10%             | 2032-01-12      | Fixed         | 3.10%                 | No            | 2                  | On Loan: No      |
| Cedar Fair LP                                                             | Cedar Fair LP                                                                                                       | CUSIP: 150190AE6<br>LEI: 549300TUVLNQQ6BVKH61 | Long             | DBT              | CORP              | US        |      73000 | PA      | $65557.59     | 0.01%             | 2029-07-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                            | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     401000 | PA      | $361053.37    | 0.05%             | 2044-09-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15779 | PA      | $14770.65     | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3273 | PA      | $3130.60      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Northern States Power Co.                                                 | Northern States Power Co.                                                                                           | CUSIP: 665772CP2<br>LEI: 3S1GHB0TEH85KX44SB51 | Long             | DBT              | CORP              | US        |      27000 | PA      | $20775.59     | 0.00%             | 2046-05-15      | Fixed         | 3.60%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11259 | PA      | $10568.85     | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| GSR Mortgage Loan Trust                                                   | GSR Mortgage Loan Trust, Series 2007-1F, Class 2A4                                                                  | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2712 | PA      | $3304.07      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                                  | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-HE1, Class A2MZ                                               | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     155481 | PA      | $134782.67    | 0.02%             | 2034-12-25      | Floating      | 4.99%                 | No            | 2                  | On Loan: No      |
| Penske Truck Leasing Co. LP                                               | Penske Truck Leasing Co. LP                                                                                         | CUSIP: 709599BM5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     376000 | PA      | $328919.94    | 0.04%             | 2026-06-15      | Fixed         | 1.70%                 | No            | 2                  | On Loan: No      |
| Port Authority of New York & New Jersey                                   | Port Authority of New York & New Jersey, Series 2010-165                                                            | CUSIP: 73358WCX0<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |     120000 | PA      | $126167.84    | 0.02%             | 2040-11-01      | Fixed         | 5.65%                 | No            | 2                  | On Loan: No      |
| Yango Justice International Ltd.                                          | Yango Justice International Ltd.                                                                                    | CUSIP: N/A<br>LEI: 3003007ELD2HAYCXPT77       | Long             | DBT              | CORP              | HK        |     200000 | PA      | $3000.00      | 0.00%             | 2023-11-25      | Fixed         | 8.25%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1816191 | PA      | $1576032.63   | 0.21%             | 2051-10-20      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| NGPL PipeCo LLC                                                           | NGPL PipeCo LLC                                                                                                     | CUSIP: 62912XAF1<br>LEI: 549300K3NT1HSQFEM073 | Long             | DBT              | CORP              | US        |     230000 | PA      | $218443.05    | 0.03%             | 2027-08-15      | Fixed         | 4.88%                 | No            | 2                  | On Loan: No      |
| New Residential Mortgage Loan Trust                                       | New Residential Mortgage Loan Trust, Series 2019-2A, Class A1                                                       | CUSIP: 64830DAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39176 | PA      | $37023.65     | 0.00%             | 2057-12-25      | Variable      | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191357 | PA      | $157941.94    | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    1002000 | PA      | $937.25       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| CVS Health Corp.                                                          | CVS Health Corp.                                                                                                    | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     233000 | PA      | $185448.10    | 0.02%             | 2050-04-01      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     427650 | PA      | $369054.10    | 0.05%             | 2050-07-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-864.12      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |    -266000 | PA      | $-374.72      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                    | CUSIP: 494550BW5<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     364000 | PA      | $327055.05    | 0.04%             | 2044-09-01      | Fixed         | 5.40%                 | No            | 2                  | On Loan: No      |
| Atento Luxco 1 SA                                                         | Atento Luxco 1 SA                                                                                                   | CUSIP: N/A<br>LEI: 549300MLFF3HYCZQTC48       | Long             | DBT              | CORP              | LU        |      14000 | PA      | $7483.88      | 0.00%             | 2026-02-10      | Fixed         | 8.00%                 | No            | 2                  | On Loan: No      |
| Home Equity Mortgage Loan Asset-Backed Trust                              | Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-A, Class 2A2                                              | CUSIP: 43710BAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      52630 | PA      | $34415.84     | 0.00%             | 2037-04-25      | Floating      | 4.58%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                       | Bear Stearns Mortgage Funding Trust, Series 2006-SL1, Class A1                                                      | CUSIP: 07400WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14460 | PA      | $13976.40     | 0.00%             | 2036-08-25      | Floating      | 4.67%                 | No            | 2                  | On Loan: No      |
| Atmos Energy Corp.                                                        | Atmos Energy Corp.                                                                                                  | CUSIP: 049560AS4<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |     100000 | PA      | $72582.89     | 0.01%             | 2049-09-15      | Fixed         | 3.38%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26302 | PA      | $25291.61     | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5184 | PA      | $4984.05      | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Baltimore Gas & Electric Co.                                              | Baltimore Gas & Electric Co.                                                                                        | CUSIP: 059165EM8<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |     221000 | PA      | $146041.84    | 0.02%             | 2050-06-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QM5X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17602 | PA      | $15465.00     | 0.00%             | 2052-01-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    9171000 | PA      | $786178.28    | 0.10%             |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3383500 | PA      | $3201120.69   | 0.43%             | 2053-01-15      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Shell International Finance BV                                            | Shell International Finance BV                                                                                      | CUSIP: 822582CB6<br>LEI: 213800ITMMKU4Z7I4F78 | Long             | DBT              | CORP              | NL        |     487000 | PA      | $468980.43    | 0.06%             | 2028-11-13      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| AEP Texas, Inc.                                                           | AEP Texas, Inc., Series I                                                                                           | CUSIP: 00108WAM2<br>LEI: 5493001L78U618KXNZ75 | Long             | DBT              | CORP              | US        |     171000 | PA      | $138629.65    | 0.02%             | 2030-07-01      | Fixed         | 2.10%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1933000 | PA      | $1200423.19   | 0.16%             | 2040-08-15      | Fixed         | 1.12%                 | No            | 2                  | On Loan: No      |
| Electronic Arts, Inc.                                                     | Electronic Arts, Inc.                                                                                               | CUSIP: 285512AE9<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     174000 | PA      | $136761.67    | 0.02%             | 2031-02-15      | Fixed         | 1.85%                 | No            | 2                  | On Loan: No      |
| Barclays plc                                                              | Barclays plc                                                                                                        | CUSIP: 06738ECA1<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     235000 | PA      | $221995.49    | 0.03%             | 2033-08-09      | Variable      | 5.75%                 | No            | 2                  | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust                                | JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1                                               | CUSIP: 46645JBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $84728.22     | 0.01%             | 2048-12-15      | Variable      | 4.12%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     636326 | PA      | $574690.61    | 0.08%             | 2050-09-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-FXD2, Class 1A1                                                         | CUSIP: 68403BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      85918 | PA      | $74567.05     | 0.01%             | 2037-03-25      | Variable      | 5.82%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     540911 | PA      | $441471.88    | 0.06%             | 2051-11-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| United Airlines Pass-Through Trust                                        | United Airlines Pass-Through Trust, Series 2019-2, Class AA                                                         | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     114988 | PA      | $92781.18     | 0.01%             | 2032-05-01      | Fixed         | 2.70%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     383000 | PA      | $-11648.99    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| iHeartCommunications, Inc.                                                | iHeartCommunications, Inc.                                                                                          | CUSIP: 45174HBE6<br>LEI: 54930076J6KDZL504O62 | Long             | DBT              | CORP              | US        |      54000 | PA      | $45742.50     | 0.01%             | 2027-08-15      | Fixed         | 5.25%                 | No            | 2                  | On Loan: No      |
| Credit-Based Asset Servicing & Securitization LLC                         | Credit-Based Asset Servicing & Securitization LLC, Series 2006-CB2, Class AF4                                       | CUSIP: 12498NAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      10986 | PA      | $8610.96      | 0.00%             | 2036-12-25      | Variable      | 6.20%                 | No            | 2                  | On Loan: No      |
| Boeing Co. (The)                                                          | Boeing Co. (The)                                                                                                    | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     132000 | PA      | $122387.21    | 0.02%             | 2050-05-01      | Fixed         | 5.80%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15343 | PA      | $14300.45     | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Conseco Finance Corp.                                                     | Conseco Finance Corp., Series 1997-6, Class M1                                                                      | CUSIP: 393505XH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      14264 | PA      | $13279.97     | 0.00%             | 2029-01-15      | Variable      | 7.21%                 | No            | 2                  | On Loan: No      |
| Level 3 Financing, Inc.                                                   | Level 3 Financing, Inc.                                                                                             | CUSIP: 527298BN2<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |      15000 | PA      | $12487.50     | 0.00%             | 2027-09-15      | Fixed         | 4.62%                 | No            | 2                  | On Loan: No      |
| JPMorgan Chase & Co.                                                      | JPMorgan Chase & Co.                                                                                                | CUSIP: 46647PDF0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     472000 | PA      | $444087.93    | 0.06%             | 2030-06-14      | Variable      | 4.57%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35059 | PA      | $36393.91     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     376787 | PA      | $-831.35      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Standard Industries, Inc.                                                 | Standard Industries, Inc.                                                                                           | CUSIP: 853496AC1<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |      35000 | PA      | $32295.66     | 0.00%             | 2027-02-15      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Oracle Corp.                                                              | Oracle Corp.                                                                                                        | CUSIP: 68389XBZ7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    1079000 | PA      | $796510.62    | 0.11%             | 2041-03-25      | Fixed         | 3.65%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     548664 | PA      | $449794.94    | 0.06%             | 2050-10-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     120000 | PA      | $-843.81      | -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      | $132.04       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                                                        | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     178758 | PA      | $180188.06    | 0.02%             | 2027-10-27      | Fixed         | 4.38%                 | No            | 2                  | On Loan: No      |
| Petroleos Mexicanos                                                       | Petroleos Mexicanos                                                                                                 | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |     160000 | PA      | $149730.00    | 0.02%             | 2029-06-02      | Fixed         | 8.75%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9270 | PA      | $8797.12      | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 3617ALXR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13913 | PA      | $13814.76     | 0.00%             | 2047-05-15      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2368862 | PA      | $2037030.42   | 0.27%             | 2051-11-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     695151 | PA      | $595239.08    | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Northwest Pipeline LLC                                                    | Northwest Pipeline LLC                                                                                              | CUSIP: 66775VAB1<br>LEI: 549300FFKMN9OW536A14 | Long             | DBT              | CORP              | US        |     710000 | PA      | $671145.19    | 0.09%             | 2027-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16300 | PA      | $15592.78     | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| American Home Mortgage Assets Trust                                       | American Home Mortgage Assets Trust, Series 2006-3, Class 2A11                                                      | CUSIP: 02660UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44906 | PA      | $31058.40     | 0.00%             | 2046-10-25      | Floating      | 2.99%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     282000 | PA      | $-463.58      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45875 | PA      | $42828.73     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | USD Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     188000 | PA      | $1296.07      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Diamondback Energy, Inc.                                                  | Diamondback Energy, Inc.                                                                                            | CUSIP: 25278XAR0<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     751000 | PA      | $621873.91    | 0.08%             | 2031-03-24      | Fixed         | 3.12%                 | No            | 2                  | On Loan: No      |
| Option One Mortgage Loan Trust                                            | Option One Mortgage Loan Trust, Series 2007-CP1, Class 2A3                                                          | CUSIP: 68402YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      90000 | PA      | $69591.55     | 0.01%             | 2037-03-25      | Floating      | 4.60%                 | No            | 2                  | On Loan: No      |
| Service Properties Trust                                                  | Service Properties Trust                                                                                            | CUSIP: 44106MAZ5<br>LEI: 529900IS770AG1K9QG27 | Long             | DBT              | CORP              | US        |      37000 | PA      | $33635.65     | 0.00%             | 2024-10-01      | Fixed         | 4.35%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132J8KH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47096 | PA      | $42902.28     | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Gaci First Investment Co.                                                 | Gaci First Investment Co.                                                                                           | CUSIP: N/A<br>LEI: 558600TU1PWGNLZ3XM88       | Long             | DBT              | CORP              | KY        |     295000 | PA      | $295041.30    | 0.04%             | 2027-10-13      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLSU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150124 | PA      | $142123.73    | 0.02%             | 2051-08-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4307 | PA      | $4274.25      | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31307UR34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13169 | PA      | $12545.03     | 0.00%             | 2032-10-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2015-C2, Class A4                                                           | CUSIP: 12634NAT5<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |      50000 | PA      | $47445.52     | 0.01%             | 2057-06-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     698334 | PA      | $600499.13    | 0.08%             | 2050-08-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36189MS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5027 | PA      | $4808.85      | 0.00%             | 2046-10-20      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Massachusetts Housing Finance Agency                                      | Massachusetts Housing Finance Agency, Series 2015A                                                                  | CUSIP: 57586NXZ9<br>LEI: 549300NLJBK1VP6K2K81 | Long             | DBT              | MUN               | US        |      30000 | PA      | $27235.47     | 0.00%             | 2048-12-01      | 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      | $-2594.92     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Churchill Downs, Inc.                                                     | Churchill Downs, Inc.                                                                                               | CUSIP: 171484AG3<br>LEI: 529900FODTBQC8MIS994 | Long             | DBT              | CORP              | US        |      88000 | PA      | $83384.85     | 0.01%             | 2027-04-01      | Fixed         | 5.50%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                  | CUSIP: 22822VAK7<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     369000 | PA      | $342936.19    | 0.05%             | 2028-02-15      | Fixed         | 3.80%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5078 | PA      | $4758.39      | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     153718 | PA      | $136895.05    | 0.02%             | 2051-07-01      | Fixed         | 3.00%                 | 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      | $56.65        | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| 1011778 BC ULC                                                            | 1011778 BC ULC                                                                                                      | CUSIP: 68245XAH2<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      11000 | PA      | $9840.00      | 0.00%             | 2028-01-15      | Fixed         | 3.88%                 | No            | 2                  | On Loan: No      |
| Broadcom, Inc.                                                            | Broadcom, Inc.                                                                                                      | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     100000 | PA      | $75059.72     | 0.01%             | 2033-02-15      | Fixed         | 2.60%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31761 | PA      | $29959.12     | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VFV1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     303000 | PA      | $180413.03    | 0.02%             | 2060-11-20      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    9512000 | PA      | $-2997.46     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23145 | PA      | $21690.40     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40871 | PA      | $38216.87     | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| American Transmission Systems, Inc.                                       | American Transmission Systems, Inc.                                                                                 | CUSIP: 030288AC8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     521000 | PA      | $427564.72    | 0.06%             | 2032-01-15      | Fixed         | 2.65%                 | No            | 2                  | On Loan: No      |
| Wells Fargo & Co.                                                         | Wells Fargo & Co.                                                                                                   | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     134000 | PA      | $118266.90    | 0.02%             | 2028-06-02      | Variable      | 2.39%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1521 | PA      | $1423.89      | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    6710000 | PA      | $-7421.95     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 31292LGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96976 | PA      | $90879.55     | 0.01%             | 2042-03-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42714 | PA      | $41019.38     | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     432000 | PA      | $441348.75    | 0.06%             | 2040-11-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J9Y96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46045 | PA      | $46103.59     | 0.01%             | 2048-09-01      | Fixed         | 5.00%                 | No            | 2                  | On Loan: No      |
| Citigroup, Inc.                                                           | Citigroup, Inc.                                                                                                     | CUSIP: 17327CAQ6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     442000 | PA      | $356700.52    | 0.05%             | 2033-01-25      | Variable      | 3.06%                 | No            | 2                  | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                   | Bayview Financial Revolving Asset Trust, Series 2005-A, Class A1                                                    | CUSIP: 073250BM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      92461 | PA      | $86091.88     | 0.01%             | 2040-02-28      | Floating      | 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      | $-41.24       | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Apidos CLO XV                                                             | Apidos CLO XV, Series 2013-15A, Class A1RR                                                                          | CUSIP: 03764QBC5<br>LEI: 549300HXW2GBYSKFE344 | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492677.05    | 0.07%             | 2031-04-20      | Floating      | 5.25%                 | No            | 2                  | On Loan: No      |
| Crown Castle, Inc.                                                        | Crown Castle, Inc.                                                                                                  | CUSIP: 22822VAT8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     193000 | PA      | $154830.76    | 0.02%             | 2031-01-15      | Fixed         | 2.25%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3079 | PA      | $2945.76      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138W5M21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27529 | PA      | $25047.92     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34339 | PA      | $33960.74     | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                 | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      97000 | PA      | $99902.42     | 0.01%             | 2039-05-15      | Fixed         | 4.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDSCMBX                                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | DE        |      60000 | PA      | $-1500.82     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VCQ5<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     593000 | PA      | $544525.19    | 0.07%             | 2034-11-01      | Fixed         | 4.40%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85817 | PA      | $79006.42     | 0.01%             | 2050-01-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12097 | PA      | $11313.78     | 0.00%             | 2043-06-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132JQEV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7535 | PA      | $7410.09      | 0.00%             | 2043-11-01      | 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      | $818.73       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Olympic Tower Mortgage Trust                                              | Olympic Tower Mortgage Trust, Series 2017-OT, Class E                                                               | CUSIP: 68162MAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190000 | PA      | $130356.42    | 0.02%             | 2039-05-10      | Variable      | 3.95%                 | No            | 3                  | On Loan: No      |
| Credito Real SAB de CV SOFOM ER                                           | Credito Real SAB de CV SOFOM ER, Term Loan A                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | MX        |      21000 | PA      | $399.00       | 0.00%             | 2023-02-21      | Variable      | 5.25%                 | No            | 3                  | On Loan: No      |
| LSTAR Commercial Mortgage Trust                                           | LSTAR Commercial Mortgage Trust, Series 2015-3, Class AS                                                            | CUSIP: 54910JAN4<br>LEI: 549300MAI3U5Y4VL8H37 | Long             | ABS-MBS          | CORP              | US        |       9620 | PA      | $9190.39      | 0.00%             | 2048-04-20      | Variable      | 3.14%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $5847.40      | 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      | $240.17       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                    | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26217 | PA      | $24568.79     | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |
| American Homes 4 Rent Trust                                               | American Homes 4 Rent Trust, Series 2014-SFR3, Class A                                                              | CUSIP: 02665XAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     170053 | PA      | $163707.43    | 0.02%             | 2036-12-17      | Fixed         | 3.68%                 | No            | 2                  | On Loan: No      |
| GSMPS Mortgage Loan Trust                                                 | GSMPS Mortgage Loan Trust, Series 2006-RP1, Class 1AF1                                                              | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30495 | PA      | $25193.41     | 0.00%             | 2036-01-25      | Floating      | 4.74%                 | No            | 2                  | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3298804 | PA      | $2821354.53   | 0.38%             | 2052-04-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     594119 | PA      | $491469.02    | 0.07%             | 2052-01-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Cheniere Energy Partners LP                                               | Cheniere Energy Partners LP                                                                                         | CUSIP: 16411QAN1<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |     887000 | PA      | $704904.88    | 0.09%             | 2032-01-31      | Fixed         | 3.25%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -11492477 | PA      | $-144678.31   | -0.02%            |  |  |  | No            | 2                  | On Loan: No      |
| American Tower Corp.                                                      | American Tower Corp.                                                                                                | CUSIP: 03027XBA7<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |      86000 | PA      | $72830.46     | 0.01%             | 2030-01-15      | Fixed         | 2.90%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     386400 | PA      | $-10992.10    | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                 | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     579000 | PA      | $526482.89    | 0.07%             | 2029-03-31      | Fixed         | 2.38%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | GB        |     123000 | PA      | $-946.88      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Motorola Solutions, Inc.                                                  | Motorola Solutions, Inc.                                                                                            | CUSIP: 620076BU2<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    1617000 | PA      | $1292859.22   | 0.17%             | 2031-05-24      | Fixed         | 2.75%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112743 | PA      | $92210.80     | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | GBP Currency                                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | US        |     156000 | PA      | $1899.53      | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Buckeye Partners LP                                                       | Buckeye Partners LP                                                                                                 | CUSIP: 118230AQ4<br>LEI: 549300C1PQJLVEIUBK50 | Long             | DBT              | CORP              | US        |       9000 | PA      | $8052.30      | 0.00%             | 2026-12-01      | Fixed         | 3.95%                 | No            | 2                  | On Loan: No      |
| Oriental Republic of Uruguay                                              | Oriental Republic of Uruguay                                                                                        | CUSIP: 760942BA9<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     233785 | PA      | $230512.01    | 0.03%             | 2050-06-18      | Fixed         | 5.10%                 | No            | 2                  | On Loan: No      |
| Verizon Communications, Inc.                                              | Verizon Communications, Inc.                                                                                        | CUSIP: 92343VBG8<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     162000 | PA      | $128390.71    | 0.02%             | 2042-11-01      | Fixed         | 3.85%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16128 | PA      | $15121.13     | 0.00%             | 2030-09-01      | Fixed         | 2.50%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $-251.40      | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140XGMR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178015 | PA      | $168638.05    | 0.02%             | 2052-04-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39554 | PA      | $37989.12     | 0.01%             | 2036-01-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Kinder Morgan Energy Partners LP                                          | Kinder Morgan Energy Partners LP                                                                                    | CUSIP: 28370TAF6<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |     486000 | PA      | $401487.41    | 0.05%             | 2042-11-01      | Fixed         | 4.70%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140J7R64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116466 | PA      | $114374.73    | 0.02%             | 2047-11-01      | Fixed         | 4.50%                 | No            | 2                  | On Loan: No      |
| Bear Stearns Mortgage Funding Trust                                       | Bear Stearns Mortgage Funding Trust, Series 2007-AR4, Class 1A1                                                     | CUSIP: 07401YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32408 | PA      | $28600.52     | 0.00%             | 2047-09-25      | Floating      | 4.79%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $789.34       | 0.00%             |  |  |  | No            | 2                  | On Loan: No      |
| Morgan Stanley                                                            | Morgan Stanley                                                                                                      | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2177000 | PA      | $2162397.58   | 0.29%             | 2024-01-25      | Variable      | 0.53%                 | No            | 2                  | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |          1 | NC      | $88.91        | 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      | $-4296.74     | -0.00%            |  |  |  | No            | 2                  | On Loan: No      |
| Albertsons Cos., Inc.                                                     | Albertsons Cos., Inc.                                                                                               | CUSIP: 013092AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      68000 | PA      | $64646.24     | 0.01%             | 2028-02-15      | Fixed         | 5.88%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133489 | PA      | $127188.09    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            | 2                  | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                  | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1108897 | PA      | $904102.43    | 0.12%             | 2051-08-01      | Fixed         | 2.00%                 | No            | 2                  | On Loan: No      |
| Navient Corp.                                                             | Navient Corp.                                                                                                       | CUSIP: 63938CAJ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |      37000 | PA      | $35068.11     | 0.00%             | 2026-06-15      | Fixed         | 6.75%                 | No            | 2                  | On Loan: No      |
| BCPE North Star US Holdco 2, Inc.                                         | BCPE North Star US Holdco 2, Inc., 1st Lien Term Loan                                                               | CUSIP: 05552DAD4<br>LEI: 254900AGB0JDUDNIJC95 | Long             | LON              | CORP              | US        |     190556 | PA      | $174359.08    | 0.02%             | 2028-06-09      | Variable      | 8.71%                 | No            | 2                  | On Loan: No      |
| Republic of the Philippines                                               | Republic of Philippines                                                                                             | CUSIP: 718286CP0<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |     329000 | PA      | $238561.19    | 0.03%             | 2046-07-06      | Fixed         | 3.20%                 | No            | 2                  | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                            | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18928 | PA      | $17800.95     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            | 2                  | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** BlackRock Variable Series Funds II, Inc.

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer