# EDGAR Filing Document

**Accession Number:** 0001048702
**File Stem:** 0001752724-25-148525
**Filing Date:** 2025-6
**Character Count:** 260970
**Document Hash:** 417ee6463628c43bf967fbb060ef098e
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-148525.hdr.sgml**: 20250618

**ACCESSION NUMBER**: 0001752724-25-148525

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250430

**FILED AS OF DATE**: 20250618

**DATE AS OF CHANGE**: 20250618

**PERIOD START**: 20251031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NATIONWIDE MUTUAL FUNDS
- **CENTRAL INDEX KEY:** 0001048702

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08495
- **FILM NUMBER:** 251057080

**BUSINESS ADDRESS:**
- **STREET 1:** ONE NATIONWIDE PLAZA
- **STREET 2:** MAIL CODE 05-02-210
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215
- **BUSINESS PHONE:** 614-435-5749

**MAIL ADDRESS:**
- **STREET 1:** ONE NATIONWIDE PLAZA
- **STREET 2:** MAIL CODE 05-02-210
- **CITY:** COLUMBUS
- **STATE:** OH
- **ZIP:** 43215

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** GARTMORE MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20020125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NATIONWIDE MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 19991015

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NATIONWIDE INVESTING FOUNDATION III
- **DATE OF NAME CHANGE:** 19971029

## Series and Classes Contracts Data

### Nationwide Amundi Strategic Income Fund (Series ID: S000051210)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000161356 | Class A                     | NWXEX           |
| C000161358 | Class R6                    | NWXGX           |
| C000161359 | Institutional Service Class | NWXHX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Nationwide Mutual Funds

- **b. Investment Company Act file number:** 811-08495

- **c. CIK number of Registrant:** 0001048702

- **d. LEI of Registrant:** 549300NXDT8MH8Z3PQ44

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

  - **Street Address 1:** One Nationwide Plaza

  - **City:** Columbus

  - **State:** OH

  - **Foreign country:** US

  - **Zip / Postal Code:** 43215

  - **Telephone number:** 614-435-3820

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

- **a. Name of Series:** Nationwide Amundi Strategic Income Fund

- **b. EDGAR series identifier (if any):** S000051210

- **c. LEI of Series:** 54930040HJF5CDLCWL94

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

- **a. Date of fiscal year-end:** 2025-10-31

- **b. Date as of which information is reported:** 2025-04-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1159245954.45

**Total Liabilities:** $191949913.50

**Net Assets:** $967296040.95

**Cash Not Reported:** $31862391.04

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2184.13105300 | **1-Year:** 11148.87173800 | **5-Year:** 75523.20408800 | **10-Year:** 165604.40277400 | **30-Year:** 84028.46244000

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

- **3-Month:** 181.04402100 | **1-Year:** 13678.05662600 | **5-Year:** 47953.29554600 | **10-Year:** 17685.45140200 | **30-Year:** 251.80207200

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000161356 | 0.60%                | 0.04%                | -0.20%               |
| Class ID C000161359 | 0.70%                | 0.10%                | -0.20%               |
| Class ID C000161358 | 0.70%                | 0.13%                | -0.20%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $1694694.81              | $6915710.03                                |
| Month 2  | $1709396.92              | $-9449300.56                               |
| Month 3  | $182543.20               | $-6714875.18                               |

**Designated Index Information**

- **Index Name:** Portfolio Excluding Derivatives

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-1, Class C                    | CUSIP: 80288AAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830000 | PA      | $838815.10    | 0.09%             | 2030-03-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Bellemeade Re Ltd.                                     | Bellemeade Re Ltd., Series 2021-3A, Class B1                                      | CUSIP: 078777AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1380000 | PA      | $1412080.58   | 0.15%             | 2031-09-25      | Floating      | 8.20%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                | KeyCorp                                                                           | CUSIP: 49326EEQ2<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |   4365000 | PA      | $4358430.54   | 0.45%             | 2031-04-04      | Variable      | 5.12%                 | No            |                  2 | On Loan: —       |
| Equify ABS LLC                                         | Equify ABS LLC, Series 2024-1A, Class A                                           | CUSIP: 29445TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200341 | PA      | $1199699.71   | 0.12%             | 2033-04-18      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                              | CUSIP: 02005NBW9<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   2335000 | PA      | $2313202.82   | 0.24%             | 2031-01-17      | Variable      | 5.54%                 | No            |                  2 | On Loan: —       |
| FNMA or FHLMC                                          | UMBS, 15 Year, Single Family                                                      | CUSIP: 01F052458<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4571532.63   | 0.47%             | 2040-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GCAT Trust                                             | GCAT Trust, Series 2021-CM1, Class M1                                             | CUSIP: 36168AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    530000 | PA      | $458407.34    | 0.05%             | 2065-04-25      | Variable      | 3.28%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR7, Class F                             | CUSIP: 74333PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840000 | PA      | $780069.02    | 0.08%             | 2040-08-17      | Fixed         | 3.83%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR4, Class B2                                     | CUSIP: 35565GAE7<br>LEI: 549300K0XW5MBR2WNZ55 | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $1395200.00   | 0.14%             | 2047-11-25      | Floating      | 9.47%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer LLC                                       | BSPRT Issuer LLC, Series 2024-FL11, Class A                                       | CUSIP: 05613RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1930000 | PA      | $1926374.50   | 0.20%             | 2039-07-15      | Floating      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2023-R06, Class 1M1                   | CUSIP: 20754EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    375204 | PA      | $376610.65    | 0.04%             | 2043-07-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                               | CFMT LLC, Series 2024-HB14, Class M3                                              | CUSIP: 12530XAD3<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   1660000 | PA      | $1541810.49   | 0.16%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CVS Health Corp.                                       | CVS Health Corp.                                                                  | CUSIP: 126650EC0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   6060000 | PA      | $6226002.79   | 0.64%             | 2031-06-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| CSC Holdings LLC                                       | CSC Holdings LLC                                                                  | CUSIP: 126307BN6<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |   4300000 | PA      | $4065298.78   | 0.42%             | 2029-01-31      | Fixed         | 11.75%                | Yes           |                  2 | On Loan: No      |
| Ocelot Re Ltd.                                         | Ocelot Re Ltd., Series A                                                          | CUSIP: 675951AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $746250.00    | 0.08%             | 2029-02-26      | Floating      | 8.78%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397B69<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1282058.31   | 0.13%             | 2031-06-17      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series B                                               | CUSIP: 59013MAL6<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $257000.00    | 0.03%             | 2027-07-07      | Floating      | 13.03%                | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                       | Aquila Re I Ltd., Series C-1                                                      | CUSIP: 03843AAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $259875.00    | 0.03%             | 2026-06-08      | Floating      | 13.46%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2B2                   | CUSIP: 20754BAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3990000 | PA      | $4264312.50   | 0.44%             | 2042-01-25      | Floating      | 12.00%                | Yes           |                  2 | On Loan: No      |
| Voya Financial, Inc.                                   | Voya Financial, Inc.                                                              | CUSIP: 929089AH3<br>LEI: 549300T065Z4KJ686G75 | Long             | DBT              | CORP              | US        |    389000 | PA      | $372017.35    | 0.04%             | 2034-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Gateway Re Ltd.                                        | Gateway Re Ltd., Series A                                                         | CUSIP: 36779CAC0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $260725.00    | 0.03%             | 2026-02-24      | Floating      | 18.24%                | Yes           |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                             | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |   6420000 | PA      | $7070513.08   | 0.73%             | 2037-05-04      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FIGRE Trust                                            | FIGRE Trust, Series 2024-HE3, Class A                                             | CUSIP: 31684GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2120907 | PA      | $2139192.65   | 0.22%             | 2054-07-25      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| BSPRT Issuer Ltd.                                      | BSPRT Issuer Ltd., Series 2022-FL8, Class A                                       | CUSIP: 055983AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    216194 | PA      | $215314.86    | 0.02%             | 2037-02-15      | Floating      | 5.84%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1287.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Santander SA                                     | Banco Santander SA                                                                | CUSIP: 05964HBG9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |   6200000 | PA      | $6401654.69   | 0.66%             | 2031-07-15      | Fixed         | 5.44%                 | No            |                  2 | On Loan: —       |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M1                   | CUSIP: 20755RAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506672 | PA      | $505883.04    | 0.05%             | 2044-09-25      | Floating      | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Mona Lisa Re Ltd.                                      | Mona Lisa Re Ltd., Series B                                                       | CUSIP: 608800AG3<br>LEI: 549300R6SO6XBFDC7M25 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $256075.00    | 0.03%             | 2026-01-08      | Floating      | 16.78%                | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-4, Class D                    | CUSIP: 802919AF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2270000 | PA      | $2265401.21   | 0.23%             | 2031-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                          | Freedom Mortgage Holdings LLC                                                     | CUSIP: 35641AAC2<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |    185000 | PA      | $180935.55    | 0.02%             | 2032-04-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                     | Four Lakes Re Ltd., Series A                                                      | CUSIP: 35087TAD0<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $251925.00    | 0.03%             | 2026-01-07      | Floating      | 10.74%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-2A, Class E                      | CUSIP: 30168JAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1830000 | PA      | $1856830.18   | 0.19%             | 2032-10-15      | Fixed         | 7.81%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-130, Class UI                                                   | CUSIP: 3136AAGJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64173 | PA      | $1303.96      | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                    | Petroleos Mexicanos                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   4686000 | PA      | $4016655.65   | 0.42%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-ARIA, Class G                                               | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2070000 | PA      | $2030033.68   | 0.21%             | 2036-10-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-2, Class B1                               | CUSIP: 92539UAE0<br>LEI: 213800KSJFZ5H8FZ7C61 | Long             | ABS-MBS          | CORP              | US        |   2290000 | PA      | $2293098.83   | 0.24%             | 2069-02-25      | Variable      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Integrity Re Ltd.                                      | Integrity Re Ltd., Series A                                                       | CUSIP: 45833UAH4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $755625.00    | 0.08%             | 2025-06-06      | Floating      | 17.14%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2020-R02, Class 2B1                   | CUSIP: 20754WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2445000 | PA      | $2472506.25   | 0.26%             | 2040-01-25      | Floating      | 7.47%                 | Yes           |                  2 | On Loan: No      |
| Nippon Life Insurance Co.                              | Nippon Life Insurance Co.                                                         | CUSIP: 654579AP6<br>LEI: 549300Y0HHMFW3EVWY08 | Long             | DBT              | CORP              | JP        |   2565000 | PA      | $2602277.86   | 0.27%             | 2055-04-30      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                      | Mystic Re IV Ltd., Series A                                                       | CUSIP: 62865LAF4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $248750.00    | 0.03%             | 2028-01-10      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Regions Financial Corp.                                | Regions Financial Corp.                                                           | CUSIP: 7591EPAV2<br>LEI: CW05CS5KW59QTC0DG824 | Long             | DBT              | CORP              | US        |   1780000 | PA      | $1743080.41   | 0.18%             | 2035-09-06      | Variable      | 5.50%                 | No            |                  2 | On Loan: —       |
| Borr IHC Ltd.                                          | Borr IHC Ltd.                                                                     | CUSIP: 100018AB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    261650 | PA      | $223893.93    | 0.02%             | 2030-11-15      | Fixed         | 10.38%                | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                           | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    695000 | PA      | $725708.89    | 0.08%             | 2029-01-16      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                | Kingdom of Saudi Arabia                                                           | CUSIP: 80413TBH1<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1665000 | PA      | $1573641.45   | 0.16%             | 2054-01-16      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Ready Capital Mortgage Financing LLC                   | Ready Capital Mortgage Financing LLC, Series 2023-FL11, Class B                   | CUSIP: 75575RAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1440000 | PA      | $1447417.87   | 0.15%             | 2039-10-25      | Floating      | 7.86%                 | Yes           |                  2 | On Loan: No      |
| Allianz SE                                             | Allianz SE                                                                        | CUSIP: 018820AD2<br>LEI: 529900K9B0N5BT694847 | Long             | DBT              | CORP              | DE        |   3600000 | PA      | $3492667.08   | 0.36%             | 2054-09-03      | Variable      | 5.60%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2024-3A, Class C                                         | CUSIP: 30339EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1239872.88   | 0.13%             | 2031-03-17      | Fixed         | 5.43%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7757.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Electricite de France SA                               | Electricite de France SA                                                          | CUSIP: 28504DAG8<br>LEI: 549300X3UK4GG3FNMO06 | Long             | DBT              | NUSS              | FR        |   3980000 | PA      | $3934855.10   | 0.41%             | 2055-01-13      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: No      |
| Blackbird Capital II Aircraft Lease Ltd.               | Blackbird Capital II Aircraft Lease Ltd., Series 2021-1A, Class B                 | CUSIP: 09229CAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    987609 | PA      | $923224.43    | 0.10%             | 2046-07-15      | Fixed         | 3.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk Debt Notes, Series 2015-HQA1, Class B         | CUSIP: 3137G0GM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         0 | PA      | $0.25         | 0.00%             | 2028-03-25      | Floating      | 13.27%                | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 225401BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    440000 | PA      | $425171.62    | 0.04%             | 2030-02-10      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FHF Issuer Trust                                       | FHF Issuer Trust, Series 2024-3A, Class D                                         | CUSIP: 30339EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    710000 | PA      | $709734.82    | 0.07%             | 2031-12-15      | Fixed         | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                 | Velocity Commercial Capital Loan Trust, Series 2024-6, Class A                    | CUSIP: 92261BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1202217 | PA      | $1205368.16   | 0.12%             | 2054-12-25      | Variable      | 5.81%                 | Yes           |                  2 | On Loan: No      |
| Weir Group plc (The)                                   | Weir Group plc (The)                                                              | CUSIP: 94877DAA2<br>LEI: 549300KDR56WHY9I3D10 | Long             | DBT              | CORP              | GB        |   2720000 | PA      | $2732576.82   | 0.28%             | 2030-05-06      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                       | CUSIP: 14040HDH5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    450000 | PA      | $455369.18    | 0.05%             | 2035-07-26      | Variable      | 5.88%                 | No            |                  2 | On Loan: —       |
| T-Mobile USA, Inc.                                     | T-Mobile USA, Inc.                                                                | CUSIP: N/A<br>LEI: 549300V2JRLO5DIFGE82       | Long             | DBT              | CORP              | US        |   5440000 | PA      | $5886781.26   | 0.61%             | 2037-02-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-159, Class CI                                                   | CUSIP: 38382BHB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    335259 | PA      | $57707.56     | 0.01%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                               | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   4600000 | PA      | $4635656.81   | 0.48%             | 2027-02-19      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: —       |
| BNP Paribas SA                                         | BNP Paribas SA                                                                    | CUSIP: 05602XJC3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    682000 | PA      | $674053.68    | 0.07%             | 2034-09-10      | Variable      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                         | Element Fleet Management Corp.                                                    | CUSIP: 286181AK8<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1605000 | PA      | $1688295.70   | 0.17%             | 2028-12-04      | Fixed         | 6.32%                 | Yes           |                  2 | On Loan: No      |
| Solomon Re Ltd.                                        | Solomon Re Ltd., Series A                                                         | CUSIP: 83427GAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $511500.00    | 0.05%             | 2026-06-08      | Floating      | 9.80%                 | Yes           |                  2 | On Loan: No      |
| Global Aircraft Leasing Co. Ltd.                       | Global Aircraft Leasing Co. Ltd.                                                  | CUSIP: 37960JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   2465000 | PA      | $2456069.55   | 0.25%             | 2027-09-01      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: —       |
| FHLMC                                                  | FHLMC, Series 4097, Class CI                                                      | CUSIP: 3137ATHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58863 | PA      | $1308.71      | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Ursa Re Ltd.                                           | Ursa Re Ltd., Series F                                                            | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $504800.00    | 0.05%             | 2028-02-22      | Floating      | 11.78%                | Yes           |                  2 | On Loan: No      |
| Alamo Re Ltd.                                          | Alamo Re Ltd., Series A                                                           | CUSIP: 011395AH3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1254375.00   | 0.13%             | 2025-06-07      | Floating      | 11.80%                | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2024-NQM5, Class B1A                                   | CUSIP: 00039KAG5<br>LEI: 9845006Z1DC68561N347 | Long             | ABS-MBS          | CORP              | US        |   1756000 | PA      | $1806498.87   | 0.19%             | 2069-11-25      | Variable      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Sempra                                                 | Sempra                                                                            | CUSIP: 816851BV0<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |   5480000 | PA      | $4989974.51   | 0.52%             | 2055-04-01      | Variable      | 6.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Long Bond                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -208 | NC      | $50479.47     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Chile                                      | Republic of Chile                                                                 | CUSIP: N/A<br>LEI: 549300FLZTJM5YJF8D34       | Long             | DBT              | NUSS              | CL        |   1870000 | PA      | $2152903.17   | 0.22%             | 2032-01-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| WOM Chile Holdco SpA                                   | WOM Chile Holdco SpA                                                              | CUSIP: 97810KAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | CL        |    629927 | PA      | $629927.00    | 0.07%             | 2032-04-01      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4123                                                                | CUSIP: 3137AUXL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154496 | PA      | $3702.06      | 0.00%             | 2027-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                      | CUSIP: 01F022659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22000000 | PA      | $18285756.94  | 1.89%             | 2055-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Tullow Oil plc                                         | Tullow Oil plc                                                                    | CUSIP: 899415AG8<br>LEI: 2138003EYHWO75RKS857 | Long             | DBT              | CORP              | GB        |    654000 | PA      | $514534.50    | 0.05%             | 2026-05-15      | Fixed         | 10.25%                | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                    | Sanders Re III Ltd., Series A                                                     | CUSIP: 799927AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1289000.00   | 0.13%             | 2028-04-07      | Floating      | 10.03%                | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                    | Sanders Re III Ltd., Series A                                                     | CUSIP: 799925AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $518550.00    | 0.05%             | 2026-06-05      | Floating      | 12.42%                | Yes           |                  2 | On Loan: No      |
| Block, Inc.                                            | Block, Inc.                                                                       | CUSIP: 852234AR4<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |   1770000 | PA      | $1805895.60   | 0.19%             | 2032-05-15      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: —       |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1               | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1210000 | PA      | $1211741.19   | 0.13%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                               | BHG Securitization Trust, Series 2024-1CON, Class C                               | CUSIP: 08862HAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1130000 | PA      | $1159976.19   | 0.12%             | 2035-04-17      | Fixed         | 6.86%                 | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                         | Citrus Re Ltd., Series A                                                          | CUSIP: 177510AQ7<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $495900.00    | 0.05%             | 2028-06-07      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| Champions Financing, Inc.                              | Champions Financing, Inc.                                                         | CUSIP: 15870LAA6<br>LEI: 391200ZDD75EGEUJ7625 | Long             | DBT              | CORP              | US        |    735000 | PA      | $647105.27    | 0.07%             | 2029-02-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: —       |
| CF SECURED LLC                                         | Treasury Repurchase Agreement                                                     | CUSIP: N/A<br>LEI: 254900OXTV81I73FAT50       | Long             | RA               | CORP              | US        |  14208527 | PA      | $14208527.00  | 1.47%             |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Trust                                   | Pagaya AI Debt Trust, Series 2023-3, Class A                                      | CUSIP: 69548BAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101493 | PA      | $101613.11    | 0.01%             | 2030-12-16      | Fixed         | 7.60%                 | Yes           |                  2 | On Loan: No      |
| Level 3 Financing, Inc.                                | Level 3 Financing, Inc., First Lien Term Loan B                                   | CUSIP: 52729KAT3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   4184375 | PA      | $4169729.69   | 0.43%             | 2032-03-29      | Variable      | 8.57%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397C68<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $206826.82    | 0.02%             | 2030-03-06      | Fixed         | 7.35%                 | No            |                  2 | On Loan: —       |
| NMEF Funding LLC                                       | NMEF Funding LLC, Series 2023-A, Class C                                          | CUSIP: 62890QAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $627543.05    | 0.06%             | 2030-06-17      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-108, Class QI                                                   | CUSIP: 38379YXW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     92265 | PA      | $17837.76     | 0.00%             | 2046-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-118, Class DS                                                   | CUSIP: 38380AUM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105379 | PA      | $13929.70     | 0.00%             | 2046-09-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                  | United Mexican States                                                             | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2250000 | PA      | $2271782.66   | 0.23%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Light Servicos de Eletricidade SA                      | Light Servicos de Eletricidade SA                                                 | CUSIP: 53222MAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    696741 | PA      | $157198.70    | 0.02%             | 2037-12-19      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Meiji Yasuda Life Insurance Co.                        | Meiji Yasuda Life Insurance Co.                                                   | CUSIP: 585270AE1<br>LEI: 549300SLU4LP6YMRLK07 | Long             | DBT              | CORP              | JP        |   9025000 | PA      | $8900537.13   | 0.92%             | 2055-06-11      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: —       |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2024-R04, Class 1A1                   | CUSIP: 20753GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2068952 | PA      | $2061545.93   | 0.21%             | 2044-05-25      | Floating      | 5.35%                 | Yes           |                  2 | On Loan: No      |
| Veraison Re Ltd.                                       | Veraison Re Ltd., Series B                                                        | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $248625.00    | 0.03%             | 2028-03-08      | Floating      | 9.28%                 | Yes           |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                 | Santander Drive Auto Receivables Trust, Series 2024-5, Class D                    | CUSIP: 802920AG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2760000 | PA      | $2751058.70   | 0.28%             | 2032-02-17      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Herbie Re Ltd.                                         | Herbie Re Ltd., Series A                                                          | CUSIP: 42703VAJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499200.00    | 0.05%             | 2029-01-08      | Floating      | 11.53%                | Yes           |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                 | CUSIP: 404280EV7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   4985000 | PA      | $4880843.21   | 0.50%             | 2031-08-27      | Variable      | 6.95%                 | No            |                  2 | On Loan: —       |
| Phillips 66 Co.                                        | Phillips 66 Co.                                                                   | CUSIP: 718547AU6<br>LEI: RVJMT2IZVVSKIRJJBH76 | Long             | DBT              | CORP              | US        |   3530000 | PA      | $3597926.66   | 0.37%             | 2031-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: —       |
| Cape Lookout Re Ltd.                                   | Cape Lookout Re Ltd., Series A                                                    | CUSIP: 13947LAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1022400.00   | 0.11%             | 2026-04-28      | Floating      | 12.70%                | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2025-1A, Class E                      | CUSIP: 30167MAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3500000 | PA      | $3510701.95   | 0.36%             | 2032-09-15      | Fixed         | 7.48%                 | Yes           |                  2 | On Loan: No      |
| Atlas Capital DAC                                      | Atlas Capital DAC, Series 2025                                                    | CUSIP: 049207AC7<br>LEI: 635400CBPJFGGWD2AH20 | Long             | DBT              | CORP              | IE        |    500000 | PA      | $499250.00    | 0.05%             | 2028-06-07      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| Galileo Re Ltd.                                        | Galileo Re Ltd., Series B                                                         | CUSIP: 36354TAP7<br>LEI: 549300MXI75DHMS7JH38 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $250425.00    | 0.03%             | 2026-01-08      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| CNO Financial Group, Inc.                              | CNO Financial Group, Inc.                                                         | CUSIP: 12621EAM5<br>LEI: 11XPYHB76MPM4Y4P2897 | Long             | DBT              | CORP              | US        |   2640000 | PA      | $2723704.98   | 0.28%             | 2034-06-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: —       |
| Oaktown Re VII Ltd.                                    | Oaktown Re VII Ltd., Series 2021-2, Class B1                                      | CUSIP: 67389JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1050000 | PA      | $1076265.44   | 0.11%             | 2034-04-25      | Floating      | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                              | Towd Point Mortgage Trust, Series 2022-SJ1, Class B1                              | CUSIP: 89180GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1820000 | PA      | $1673555.88   | 0.17%             | 2062-03-25      | Variable      | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                    | CUSIP: 61747YFM2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1110000 | PA      | $1117503.67   | 0.12%             | 2039-02-07      | Variable      | 5.94%                 | No            |                  2 | On Loan: —       |
| UniCredit SpA                                          | UniCredit SpA                                                                     | CUSIP: 904678AF6<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |   2260000 | PA      | $2268940.70   | 0.23%             | 2032-06-19      | Variable      | 5.86%                 | Yes           |                  2 | On Loan: —       |
| Palm RE Ltd.                                           | Palm RE Ltd., Series A                                                            | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499250.00    | 0.05%             | 2028-06-07      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                 | Velocity Commercial Capital Loan Trust, Series 2025-1, Class A                    | CUSIP: 922955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1745726 | PA      | $1758288.73   | 0.18%             | 2055-02-25      | Variable      | 6.03%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                            | CUSIP: 853254CZ1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2000000 | PA      | $2061417.88   | 0.21%             | 2035-01-11      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Tapestry, Inc.                                         | Tapestry, Inc.                                                                    | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |   1060000 | PA      | $1032347.24   | 0.11%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: —       |
| NatWest Group plc                                      | NatWest Group plc                                                                 | CUSIP: 639057AQ1<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    925000 | PA      | $955283.58    | 0.10%             | 2033-11-10      | Variable      | 8.12%                 | No            |                  2 | On Loan: No      |
| Residential Reinsurance 2023 Ltd.                      | Residential Reinsurance 2023 Ltd., Series 3                                       | CUSIP: 76090WAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    250000 | PA      | $258875.00    | 0.03%             | 2027-12-06      | Floating      | 12.70%                | Yes           |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                | Mercedes-Benz Finance North America LLC                                           | CUSIP: 58769JAM9<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1578306.39   | 0.16%             | 2033-08-03      | Fixed         | 5.05%                 | Yes           |                  2 | On Loan: —       |
| Residential Reinsurance 2023 Ltd.                      | Residential Reinsurance 2023 Ltd., Series 5                                       | CUSIP: 76090WAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    250000 | PA      | $256600.00    | 0.03%             | 2027-12-06      | Floating      | 10.20%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                        | Gateway Re Ltd., Series AA                                                        | CUSIP: 36779CAG1<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $248625.00    | 0.03%             | 2027-07-08      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-1, Class B1                               | CUSIP: 92540EAE3<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |    655000 | PA      | $656458.88    | 0.07%             | 2069-01-25      | Variable      | 7.91%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Debt Notes, Series 2017-HRP1, Class B1D                               | CUSIP: 3137G0SK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1560000 | PA      | $1595526.82   | 0.16%             | 2042-12-25      | Floating      | 6.97%                 | 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        |     -1811 | NC      | $-3423675.49  | -0.35%            |  |  |  | No            |                  1 | On Loan: No      |
| State of Qatar                                         | State of Qatar                                                                    | CUSIP: 74738PUJ5<br>LEI: 52990074F6OJOAXK4P65 | Long             | DBT              | NUSS              | QA        |   7760000 | PA      | $7914687.84   | 0.82%             | 2035-02-27      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2009-31, Class PI                                                    | CUSIP: 31397ND85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11463 | PA      | $205.66       | 0.00%             | 2038-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Element Fleet Management Corp.                         | Element Fleet Management Corp.                                                    | CUSIP: 286181AP7<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   5705000 | PA      | $5676999.06   | 0.59%             | 2030-03-25      | Fixed         | 5.04%                 | Yes           |                  2 | On Loan: —       |
| N/A                                                    | CDI                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        | 213200000 | PA      | $2177869.91   | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| Summit Midstream Holdings LLC                          | Summit Midstream Holdings LLC                                                     | CUSIP: 86614JAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4395000 | PA      | $4329675.80   | 0.45%             | 2029-10-31      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: —       |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2024-R02, Class 1B1                   | CUSIP: 20754GAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1720000 | PA      | $1724295.87   | 0.18%             | 2044-02-25      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Black Kite Re Ltd.                                     | Black Kite Re Ltd., Series A                                                      | CUSIP: 092168AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | HK        |   1000000 | PA      | $1002500.00   | 0.10%             | 2025-06-09      | Floating      | 11.10%                | Yes           |                  2 | On Loan: No      |
| Genting New York LLC                                   | Genting New York LLC                                                              | CUSIP: 37255JAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3280000 | PA      | $3277805.25   | 0.34%             | 2029-10-01      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                 | Cascade MH Asset Trust, Series 2022-MH1, Class B1                                 | CUSIP: 14732KAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3137278 | PA      | $2707542.86   | 0.28%             | 2054-08-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| Acorn Re Ltd.                                          | Acorn Re Ltd., Series A                                                           | CUSIP: 00485YAE9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $504250.00    | 0.05%             | 2027-11-05      | Floating      | 7.38%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase & Co.                                   | JPMorgan Chase & Co.                                                              | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   3075000 | PA      | $3130700.64   | 0.32%             | 2031-04-22      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Light Energia SA                                       | Light Energia SA                                                                  | CUSIP: 531959AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    360727 | PA      | $333672.48    | 0.03%             | 2026-06-18      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WOM Mobile SA                                          | WOM Mobile SA                                                                     | CUSIP: N/A<br>LEI: 549300T600VUO0QJ3063       | Long             | EC               | CORP              | CL        |      1018 | NS      | $33085.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Huntington Bank Auto Credit-Linked Notes               | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class D                  | CUSIP: 44644NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    309080 | PA      | $313781.66    | 0.03%             | 2032-05-20      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2023-4, Class B1                               | CUSIP: 92539TAE3<br>LEI: 2138008DC17PCNG48R87 | Long             | ABS-MBS          | CORP              | US        |   2530000 | PA      | $2536281.99   | 0.26%             | 2068-05-25      | Variable      | 8.09%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                   | CUSIP: 38141GC36<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   4690000 | PA      | $4769926.18   | 0.49%             | 2031-01-28      | Variable      | 5.21%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co.                                         | Ford Motor Co.                                                                    | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    210000 | PA      | $201419.01    | 0.02%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: —       |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2023-DNA2, Class M1A                              | CUSIP: 35564KT58<br>LEI: 5493000IRI80KQJUNK40 | Long             | ABS-MBS          | CORP              | US        |   1519712 | PA      | $1538744.93   | 0.16%             | 2043-04-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| SOCIETE GENERALE NY BRANCH                             | Treasury Repurchase Agreement                                                     | CUSIP: N/A<br>LEI: 254900J6B390XMPVLV82       | Long             | RA               | CORP              | US        |  50000000 | PA      | $50000000.00  | 5.17%             |  |  |  | No            |                  2 | On Loan: No      |
| International Bank for Reconstruction & Development    | International Bank for Reconstruction & Development, Series C                     | CUSIP: N/A<br>LEI: ZTMSNXROF84AHWJNKQ93       | Long             | DBT              | NUSS              | US        |    250000 | PA      | $253825.00    | 0.03%             | 2028-04-24      | Floating      | 18.00%                | Yes           |                  2 | On Loan: No      |
| Bonanza RE Ltd.                                        | Bonanza RE Ltd., Series C                                                         | CUSIP: 09785EAQ4<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $500850.00    | 0.05%             | 2027-12-19      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A          | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1074292 | PA      | $1073355.24   | 0.11%             | 2036-11-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| FS Rialto Issuer LLC                                   | FS Rialto Issuer LLC, Series 2024-FL9, Class A                                    | CUSIP: 30338WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   3320000 | PA      | $3313767.70   | 0.34%             | 2039-10-19      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Kendall Re Ltd.                                        | Kendall Re Ltd., Series A                                                         | CUSIP: 48878QAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $523100.00    | 0.05%             | 2027-04-30      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                          | HTL Commercial Mortgage Trust, Series 2024-T53, Class D                           | CUSIP: 404300AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2880000 | PA      | $2929635.65   | 0.30%             | 2039-05-10      | Variable      | 8.47%                 | Yes           |                  2 | On Loan: No      |
| Archrock Partners LP                                   | Archrock Partners LP                                                              | CUSIP: 03959KAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    790000 | PA      | $785555.30    | 0.08%             | 2032-09-01      | Fixed         | 6.62%                 | Yes           |                  2 | On Loan: —       |
| Delek Logistics Partners LP                            | Delek Logistics Partners LP                                                       | CUSIP: 24665FAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5840000 | PA      | $5995127.74   | 0.62%             | 2029-03-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: —       |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   1650000 | PA      | $1644829.69   | 0.17%             | 2030-05-30      | Fixed         | 5.38%                 | Yes           |                  2 | On Loan: —       |
| Ready Capital Mortgage Financing LLC                   | Ready Capital Mortgage Financing LLC, Series 2021-FL7, Class B                    | CUSIP: 75575WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1150000 | PA      | $1143107.13   | 0.12%             | 2036-11-25      | Floating      | 6.24%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                                | CUSIP: 37045XFC5<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   6510000 | PA      | $6460582.20   | 0.67%             | 2035-01-07      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| HSBC Holdings plc                                      | HSBC Holdings plc                                                                 | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   5045000 | PA      | $5121469.59   | 0.53%             | 2030-11-19      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| Mercedes-Benz Finance North America LLC                | Mercedes-Benz Finance North America LLC                                           | CUSIP: 58769JBH9<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |   6755000 | PA      | $6712530.77   | 0.69%             | 2035-04-01      | Fixed         | 5.45%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2018-HQA2, Class B2                                     | CUSIP: 35563XBE1<br>LEI: 5493005RUXPCBST1N217 | Long             | ABS-MBS          | CORP              | US        |   2050000 | PA      | $2490224.79   | 0.26%             | 2048-10-25      | Floating      | 15.47%                | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                       | NMEF Funding LLC, Series 2024-A, Class C                                          | CUSIP: 62919UAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1330000 | PA      | $1341316.70   | 0.14%             | 2031-12-15      | Fixed         | 6.33%                 | Yes           |                  2 | On Loan: No      |
| BHG Securitization Trust                               | BHG Securitization Trust, Series 2023-B, Class C                                  | CUSIP: 08862GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1440000 | PA      | $1514181.89   | 0.16%             | 2036-12-17      | Fixed         | 8.15%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd.                                   | Torrey Pines Re Ltd., Series B                                                    | CUSIP: 89141WAM4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $249992.65    | 0.03%             | 2028-06-07      | Floating      | 8.79%                 | Yes           |                  2 | On Loan: No      |
| Borr IHC Ltd.                                          | Borr IHC Ltd.                                                                     | CUSIP: 100018AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    356829 | PA      | $303483.29    | 0.03%             | 2028-11-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: —       |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2021-4A, Class E                        | CUSIP: 36263DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2360000 | PA      | $2287726.65   | 0.24%             | 2028-10-16      | Fixed         | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2024-4A, Class E                      | CUSIP: 30166UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2230000 | PA      | $2250259.33   | 0.23%             | 2032-02-17      | Fixed         | 7.65%                 | Yes           |                  2 | On Loan: No      |
| Tricon American Homes                                  | Tricon American Homes, Series 2020-SFR1, Class F                                  | CUSIP: 89613GAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    570000 | PA      | $564813.97    | 0.06%             | 2038-07-17      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                     | Four Lakes Re Ltd., Series B                                                      | CUSIP: 35087TAF5<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $258975.00    | 0.03%             | 2027-01-07      | Floating      | 13.78%                | Yes           |                  2 | On Loan: No      |
| Integrity RE III Ltd.                                  | Integrity RE III Ltd., Series A-2                                                 | CUSIP: 45870GAB2<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $495750.00    | 0.05%             | 2028-06-06      | Floating      | 12.28%                | Yes           |                  2 | On Loan: No      |
| STACR Trust                                            | STACR Trust, Series 2018-HRP2, Class B2                                           | CUSIP: 35564ACC3<br>LEI: 549300YG8OJES76WL398 | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1692225.00   | 0.17%             | 2047-02-25      | Floating      | 14.97%                | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2023-6, Class B1                               | CUSIP: 92539XAE4<br>LEI: 984500915DDB7T2ACA27 | Long             | ABS-MBS          | CORP              | US        |   1529000 | PA      | $1527612.28   | 0.16%             | 2068-09-25      | Variable      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| FHLMC STACR REMIC Trust                                | FHLMC STACR REMIC Trust, Series 2020-DNA6, Class B2                               | CUSIP: 35566CBE4<br>LEI: 5493000ITBQFEOXM0S98 | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $884659.38    | 0.09%             | 2050-12-25      | Floating      | 10.00%                | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                       | CUSIP: 14040HDE2<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    320000 | PA      | $327786.21    | 0.03%             | 2030-02-01      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2023-7, Class B1                               | CUSIP: 92539YAE2<br>LEI: 213800W65K5FH3AI2J91 | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1090879.30   | 0.11%             | 2068-10-25      | Variable      | 7.89%                 | Yes           |                  2 | On Loan: No      |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series 3                                               | CUSIP: 59013MAG7<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   4750000 | PA      | $4785625.00   | 0.49%             | 2025-07-07      | Floating      | 11.81%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4244, Class AI                                                      | CUSIP: 3137B3PK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       495 | PA      | $0.76         | 0.00%             | 2028-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lottomatica Group Spa                                  | Lottomatica Group Spa                                                             | CUSIP: N/A<br>LEI: 549300R72LKEGT4EX026       | Long             | DBT              | CORP              | IT        |   4355000 | PA      | $4971874.64   | 0.51%             | 2031-01-31      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| MPT Operating Partnership LP                           | MPT Operating Partnership LP                                                      | CUSIP: 55342UAM6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4720000 | PA      | $3128466.03   | 0.32%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                      | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18000000 | PA      | $18535852.08  | 1.92%             | 2055-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Hundred Acre Wood Trust                                | Hundred Acre Wood Trust, Series 2021-INV1, Class AX1                              | CUSIP: 44590HBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14190096 | PA      | $184898.37    | 0.02%             | 2051-07-25      | Variable      | 0.23%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2024-A, Class F                   | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1253960 | PA      | $1278572.53   | 0.13%             | 2032-06-15      | Fixed         | 10.17%                | Yes           |                  2 | On Loan: No      |
| Pagaya AI Debt Trust                                   | Pagaya AI Debt Trust, Series 2023-5, Class A                                      | CUSIP: 69546PAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         0 | PA      | $0.01         | 0.00%             | 2031-04-15      | Fixed         | 7.18%                 | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                        | Gateway Re Ltd., Series AA                                                        | CUSIP: 36779CAP1<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $234325.00    | 0.02%             | 2025-12-22      | Floating      | 4.28%                 | Yes           |                  2 | On Loan: No      |
| Oaktown Re VI Ltd.                                     | Oaktown Re VI Ltd., Series 2021-1A, Class B1                                      | CUSIP: 67401FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    350000 | PA      | $361917.61    | 0.04%             | 2033-10-25      | Floating      | 9.85%                 | Yes           |                  2 | On Loan: No      |
| Charter Communications Operating LLC                   | Charter Communications Operating LLC                                              | CUSIP: 161175CP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3290000 | PA      | $3405306.60   | 0.35%             | 2034-02-01      | Fixed         | 6.65%                 | No            |                  2 | On Loan: —       |
| Ascent Career Funding Trust                            | Ascent Career Funding Trust, Series 2024-1A, Class A                              | CUSIP: 04363LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2591856 | PA      | $2599804.28   | 0.27%             | 2032-10-25      | Fixed         | 6.77%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 902613BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    365000 | PA      | $407993.35    | 0.04%             | 2033-11-13      | Variable      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| FS Rialto                                              | FS Rialto, Series 2021-FL3, Class A                                               | CUSIP: 30323CAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1610695 | PA      | $1602962.69   | 0.17%             | 2036-11-16      | Floating      | 5.69%                 | Yes           |                  2 | On Loan: No      |
| Altice France SA                                       | Altice France SA                                                                  | CUSIP: 02156LAF8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    930000 | PA      | $758771.56    | 0.08%             | 2029-07-15      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: —       |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2022-R02, Class 2M2                   | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    330000 | PA      | $336600.00    | 0.03%             | 2042-01-25      | Floating      | 7.35%                 | Yes           |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                     | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AA4<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   2030000 | PA      | $2082592.39   | 0.22%             | 2033-05-01      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Minerva Luxembourg SA                                  | Minerva Luxembourg SA                                                             | CUSIP: 603374AF6<br>LEI: 222100NM3G3RCPGZ2Z17 | Long             | DBT              | CORP              | LU        |   3725000 | PA      | $3278078.60   | 0.34%             | 2031-03-18      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| 3264 re Ltd.                                           | 3264 re Ltd., Series A                                                            | CUSIP: 88577CAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $263050.00    | 0.03%             | 2027-07-08      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                        | Gateway Re Ltd., Series A                                                         | CUSIP: 36779CAF3<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499150.00    | 0.05%             | 2026-07-08      | Floating      | 14.28%                | Yes           |                  2 | On Loan: No      |
| Transocean, Inc.                                       | Transocean, Inc.                                                                  | CUSIP: 893830AT6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |   6200000 | PA      | $3819629.29   | 0.39%             | 2038-03-15      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-2, Class M                 | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    528703 | PA      | $507754.49    | 0.05%             | 2059-11-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Multifamily Connecticut Avenue Securities Trust        | Multifamily Connecticut Avenue Securities Trust, Series 2019-01, Class M10        | CUSIP: 62547NAB5<br>LEI: 549300HG8ZEWVWVSN227 | Long             | ABS-MBS          | CORP              | US        |    841136 | PA      | $841134.65    | 0.09%             | 2049-10-25      | Floating      | 7.72%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2023-5, Class B2                               | CUSIP: 924934AF9<br>LEI: 984500BADC7CFE3B0756 | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1231609.66   | 0.13%             | 2068-06-25      | Variable      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                              | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    445000 | PA      | $461868.28    | 0.05%             | 2030-01-03      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC               | Avis Budget Rental Car Funding AESOP LLC, Series 2024-1A, Class C                 | CUSIP: 05377RJA3<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    610000 | PA      | $619764.82    | 0.06%             | 2030-06-20      | Fixed         | 6.48%                 | Yes           |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2024-6, Class B1                                 | CUSIP: 19688XAE6<br>LEI: 213800U2X2TO1PQH1O75 | Long             | ABS-MBS          | CORP              | US        |   2337000 | PA      | $2329054.20   | 0.24%             | 2069-11-25      | Variable      | 7.49%                 | Yes           |                  2 | On Loan: No      |
| Kennedy-Wilson, Inc.                                   | Kennedy-Wilson, Inc.                                                              | CUSIP: 489399AN5<br>LEI: 5EA4464UK7FM5QNNKL62 | Long             | DBT              | CORP              | US        |    635000 | PA      | $559943.00    | 0.06%             | 2030-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Alamo Re Ltd.                                          | Alamo Re Ltd., Series B                                                           | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $260575.00    | 0.03%             | 2027-06-07      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| Eagle RE Ltd.                                          | Eagle RE Ltd., Series 2021-2, Class M2                                            | CUSIP: 26982AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1370000 | PA      | $1407222.49   | 0.15%             | 2034-04-25      | Floating      | 8.60%                 | Yes           |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2021-FL7, Class A                                                | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2265457 | PA      | $2255304.24   | 0.23%             | 2036-10-16      | Floating      | 5.51%                 | Yes           |                  2 | On Loan: No      |
| Barclays plc                                           | Barclays plc                                                                      | CUSIP: 06738EDC6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1040000 | PA      | $994913.61    | 0.10%             | 2035-03-15      | Variable      | 7.62%                 | No            |                  2 | On Loan: —       |
| Extended Stay America Trust                            | Extended Stay America Trust, Series 2021-ESH, Class F                             | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3979396 | PA      | $3929653.59   | 0.41%             | 2038-07-15      | Floating      | 8.14%                 | Yes           |                  2 | On Loan: No      |
| International Bank for Reconstruction & Development    | International Bank for Reconstruction & Development, Series A                     | CUSIP: N/A<br>LEI: ZTMSNXROF84AHWJNKQ93       | Long             | DBT              | NUSS              | US        |    250000 | PA      | $256725.00    | 0.03%             | 2028-04-24      | Floating      | 8.58%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                | Flagstar Mortgage Trust, Series 2021-4, Class AX1                                 | CUSIP: 33852FBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  39325983 | PA      | $484177.57    | 0.05%             | 2051-06-01      | Variable      | 0.20%                 | Yes           |                  2 | On Loan: No      |
| Simon Property Group LP                                | Simon Property Group LP                                                           | CUSIP: 828807DW4<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |    892000 | PA      | $955317.75    | 0.10%             | 2034-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 10 Year Note                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -554 | NC      | $-1187994.93  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Mayflower Re Ltd.                                      | Mayflower Re Ltd., Series B                                                       | CUSIP: 57839MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $510000.00    | 0.05%             | 2026-07-08      | Floating      | 10.29%                | Yes           |                  2 | On Loan: No      |
| Enel Finance International NV                          | Enel Finance International NV                                                     | CUSIP: 29278GAX6<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |   1915000 | PA      | $1892350.74   | 0.20%             | 2032-06-15      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397E74<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1215000 | PA      | $1209680.32   | 0.13%             | 2027-05-17      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| BDS LLC                                                | BDS LLC, Series 2024-FL13, Class A                                                | CUSIP: 05555MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1370000 | PA      | $1367428.51   | 0.14%             | 2039-09-19      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2021-R01, Class 1B2                   | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3401143 | PA      | $3532937.29   | 0.37%             | 2041-10-25      | Floating      | 10.35%                | Yes           |                  2 | On Loan: No      |
| Farmers Exchange Capital III                           | Farmers Exchange Capital III                                                      | CUSIP: 30958QAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3270000 | PA      | $2964845.89   | 0.31%             | 2054-10-15      | Variable      | 5.45%                 | Yes           |                  2 | On Loan: —       |
| N/A                                                    | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1857.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2024-OMNI, Class D | CUSIP: 46593JAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260000 | PA      | $256504.90    | 0.03%             | 2039-10-05      | Variable      | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Long Point Re IV Ltd.                                  | Long Point Re IV Ltd., Series 2022                                                | CUSIP: 54279PAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $251625.00    | 0.03%             | 2026-06-01      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                     | Blue Ridge Re Ltd., Series B                                                      | CUSIP: 096003AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $256125.00    | 0.03%             | 2027-01-08      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                   | LoanCore Issuer Ltd., Series 2022-CRE7, Class A                                   | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1410693 | PA      | $1406282.94   | 0.15%             | 2037-01-17      | Floating      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| KeySpan Gas East Corp.                                 | KeySpan Gas East Corp.                                                            | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |   1035000 | PA      | $1058445.71   | 0.11%             | 2033-03-06      | Fixed         | 5.99%                 | Yes           |                  2 | On Loan: No      |
| Sanders RE II Ltd.                                     | Sanders RE II Ltd., Series A-2                                                    | CUSIP: 80001TAB3<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    400000 | PA      | $399600.00    | 0.04%             | 2030-04-08      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| American Airlines Pass-Through Trust                   | American Airlines Pass-Through Trust, Series 2021-1, Class B                      | CUSIP: 02376LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    116250 | PA      | $108842.03    | 0.01%             | 2030-07-11      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-20, Class SB                                                    | CUSIP: 38379VDM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84612 | PA      | $10738.86     | 0.00%             | 2046-02-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| FHLMC STACR Trust                                      | FHLMC STACR Trust, Series 2019-DNA3, Class B2                                     | CUSIP: 35564TBE9<br>LEI: 549300KB1O80CETXGJ21 | Long             | ABS-MBS          | CORP              | US        |    720000 | PA      | $815400.00    | 0.08%             | 2049-07-25      | Floating      | 12.62%                | Yes           |                  2 | On Loan: No      |
| MC Brazil Downstream Trading SARL                      | MC Brazil Downstream Trading SARL                                                 | CUSIP: 55292WAA8<br>LEI: 213800T2A7R9TYNXZI63 | Long             | DBT              | CORP              | LU        |    994298 | PA      | $768592.14    | 0.08%             | 2031-06-30      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| Algonquin Power & Utilities Corp.                      | Algonquin Power & Utilities Corp.                                                 | CUSIP: 015857AH8<br>LEI: 549300K5VIUTJXQL7X75 | Long             | DBT              | CORP              | CA        |    705000 | PA      | $661828.76    | 0.07%             | 2082-01-18      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                    | CUSIP: 29250NBT1<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    928000 | PA      | $1000281.92   | 0.10%             | 2084-01-15      | Variable      | 8.50%                 | No            |                  2 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                         | CUSIP: 92840VAU6<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |   1845000 | PA      | $1836340.68   | 0.19%             | 2034-12-30      | Fixed         | 5.70%                 | Yes           |                  2 | On Loan: —       |
| Logistics Re Ltd.                                      | Logistics Re Ltd., Series A                                                       | CUSIP: 54143LAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $508050.00    | 0.05%             | 2027-12-21      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| MCR Mortgage Trust                                     | MCR Mortgage Trust, Series 2024-TWA, Class D                                      | CUSIP: 582923AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2617491.50   | 0.27%             | 2039-06-12      | Fixed         | 7.40%                 | Yes           |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL16, Class A                                                    | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   5150000 | PA      | $5143560.44   | 0.53%             | 2039-11-18      | Floating      | 5.86%                 | Yes           |                  2 | On Loan: No      |
| Kilimanjaro II Re Ltd.                                 | Kilimanjaro II Re Ltd., Series A                                                  | CUSIP: 49407QAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $521450.00    | 0.05%             | 2028-06-30      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| Home RE Ltd.                                           | Home RE Ltd., Series 2023-1, Class M1B                                            | CUSIP: 43731BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |    510000 | PA      | $525287.30    | 0.05%             | 2033-10-25      | Floating      | 8.95%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd.                                   | Torrey Pines Re Ltd., Series B                                                    | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $261400.00    | 0.03%             | 2027-06-07      | Floating      | 11.53%                | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                            | CUSIP: 85325C2E1<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   2550000 | PA      | $2636637.42   | 0.27%             | 2036-01-21      | Variable      | 6.23%                 | Yes           |                  2 | On Loan: —       |
| PRKCM Trust                                            | PRKCM Trust, Series 2023-AFC3, Class B1                                           | CUSIP: 693984AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870000 | PA      | $868531.18    | 0.09%             | 2058-09-25      | Variable      | 7.80%                 | Yes           |                  2 | On Loan: No      |
| Radnor Re Ltd.                                         | Radnor Re Ltd., Series 2024-1, Class M1A                                          | CUSIP: 75049AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    964762 | PA      | $965375.65    | 0.10%             | 2034-09-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2023-1A, Class D                                 | CUSIP: 67571BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1557982.20   | 0.16%             | 2030-03-20      | Fixed         | 7.76%                 | Yes           |                  2 | On Loan: No      |
| ACREC Ltd.                                             | ACREC Ltd., Series 2021-FL1, Class A                                              | CUSIP: 00500RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    991806 | PA      | $986124.96    | 0.10%             | 2036-10-16      | Floating      | 5.58%                 | Yes           |                  2 | On Loan: No      |
| Bayview Opportunity Master Fund VII LLC                | Bayview Opportunity Master Fund VII LLC, Series 2024-EDU1, Class D                | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    803555 | PA      | $818992.04    | 0.08%             | 2047-06-25      | Floating      | 7.10%                 | Yes           |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA-CACLN                           | JPMorgan Chase Bank NA-CACLN, Series 2021-3, Class F                              | CUSIP: 46591HCH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $549355.18    | 0.06%             | 2029-02-26      | Fixed         | 3.69%                 | Yes           |                  2 | On Loan: No      |
| Nakama Re Pte. Ltd.                                    | Nakama Re Pte. Ltd., Series 1                                                     | CUSIP: 62984JAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | SG        |    750000 | PA      | $756600.00    | 0.08%             | 2029-04-04      | Floating      | 6.63%                 | Yes           |                  2 | On Loan: No      |
| MCR Mortgage Trust                                     | MCR Mortgage Trust, Series 2024-TWA, Class F                                      | CUSIP: 582923AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $2001213.51   | 0.21%             | 2039-06-12      | Fixed         | 10.38%                | Yes           |                  2 | On Loan: No      |
| Sotera Health Holdings LLC                             | Sotera Health Holdings LLC, First Lien Term Loan                                  | CUSIP: 83600VAG6<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |    787919 | PA      | $784475.41    | 0.08%             | 2031-05-30      | Variable      | 7.55%                 | No            |                  2 | On Loan: No      |
| MF1 Ltd.                                               | MF1 Ltd., Series 2022-FL8, Class A                                                | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2117703 | PA      | $2110814.09   | 0.22%             | 2037-02-19      | Floating      | 5.67%                 | Yes           |                  2 | On Loan: No      |
| Galileo Re Ltd.                                        | Galileo Re Ltd., Series A                                                         | CUSIP: 36354TAN2<br>LEI: 549300MXI75DHMS7JH38 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $518500.00    | 0.05%             | 2028-01-07      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series 2                                               | CUSIP: 59013MAF9<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |   1250000 | PA      | $1257000.00   | 0.13%             | 2025-07-07      | Floating      | 11.77%                | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2024-2A, Class E                        | CUSIP: 37964VAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1453000 | PA      | $1482940.95   | 0.15%             | 2031-05-15      | Fixed         | 7.98%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-88, Class SM                                                    | CUSIP: 38379XTJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89735 | PA      | $11574.11     | 0.00%             | 2046-07-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Truist Financial Corp.                                 | Truist Financial Corp.                                                            | CUSIP: 89788NAA8<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |   2255000 | PA      | $2154009.40   | 0.22%             | 2033-07-28      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP                                                                | CUSIP: 29273VAU4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1240000 | PA      | $1305365.41   | 0.13%             | 2033-12-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 225401BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    430000 | PA      | $411244.41    | 0.04%             | 2034-08-10      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Sound Point CLO V-R Ltd.                               | Sound Point CLO V-R Ltd., Series 2014-1RA, Class B                                | CUSIP: 83607EAC6<br>LEI: 549300UPX3H8ENJXHI23 | Long             | ABS-CBDO         | CORP              | KY        |   1350000 | PA      | $1352324.70   | 0.14%             | 2031-07-18      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                          | Freedom Mortgage Holdings LLC                                                     | CUSIP: 35641AAA6<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |   1395000 | PA      | $1421072.55   | 0.15%             | 2029-02-01      | Fixed         | 9.25%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                                     | A&D Mortgage Trust, Series 2023-NQM4, Class B1                                    | CUSIP: 00002MAE9<br>LEI: 9845002EOD0CFAFA4F48 | Long             | ABS-MBS          | CORP              | US        |   1570000 | PA      | $1573797.99   | 0.16%             | 2068-09-25      | Variable      | 8.07%                 | Yes           |                  2 | On Loan: No      |
| Purple Re Ltd.                                         | Purple Re Ltd., Series A                                                          | CUSIP: 74639NAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $259300.00    | 0.03%             | 2026-06-05      | Floating      | 14.78%                | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                               | CUSIP: 83368RCF7<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   2935000 | PA      | $3014241.68   | 0.31%             | 2033-04-13      | Variable      | 6.10%                 | Yes           |                  2 | On Loan: No      |
| Mystic Re IV Ltd.                                      | Mystic Re IV Ltd., Series A                                                       | CUSIP: 62865LAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $256775.00    | 0.03%             | 2026-01-08      | Floating      | 13.21%                | Yes           |                  2 | On Loan: No      |
| Black Kite Re Ltd.                                     | Black Kite Re Ltd., Series A                                                      | CUSIP: 092168AB9<br>LEI: N/A                  | Long             | DBT              | CORP              | HK        |    500000 | PA      | $499950.00    | 0.05%             | 2028-05-08      | Floating      | 12.28%                | Yes           |                  2 | On Loan: No      |
| Grupo Aeromexico SAB de CV                             | Grupo Aeromexico SAB de CV                                                        | CUSIP: 40054JAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   1275000 | PA      | $1192125.00   | 0.12%             | 2029-11-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1               | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1194541.04   | 0.12%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                                | CUSIP: 37045XEP7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1462099.53   | 0.15%             | 2034-01-07      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                           | CUSIP: 05571ABA2<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   5895000 | PA      | $6105753.85   | 0.63%             | 2036-01-14      | Variable      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2013-5, Class YI                                                     | CUSIP: 3136ABF73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74978 | PA      | $1641.45      | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Winston RE Ltd.                                        | Winston RE Ltd., Series A                                                         | CUSIP: 975660AA9<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $262250.00    | 0.03%             | 2027-02-26      | Floating      | 14.53%                | Yes           |                  2 | On Loan: No      |
| Ford Credit Auto Lease Trust                           | Ford Credit Auto Lease Trust, Series 2023-B, Class C                              | CUSIP: 34529NAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1420000 | PA      | $1435306.18   | 0.15%             | 2027-04-15      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| Ursa Re Ltd.                                           | Ursa Re Ltd., Series Aa                                                           | CUSIP: 90323WAL4<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $253675.00    | 0.03%             | 2025-12-06      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| Kinetic Advantage Master Owner Trust                   | Kinetic Advantage Master Owner Trust, Series 2024-1A, Class A                     | CUSIP: 49462DAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2550000 | PA      | $2558490.74   | 0.26%             | 2027-11-15      | Floating      | 6.99%                 | Yes           |                  2 | On Loan: No      |
| SLG Office Trust                                       | SLG Office Trust, Series 2021-OVA, Class E                                        | CUSIP: 78449RAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1975000 | PA      | $1640337.63   | 0.17%             | 2041-07-15      | Fixed         | 2.85%                 | Yes           |                  2 | On Loan: No      |
| Intesa Sanpaolo SpA                                    | Intesa Sanpaolo SpA                                                               | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    760000 | PA      | $867912.11    | 0.09%             | 2033-11-21      | Variable      | 8.25%                 | Yes           |                  2 | On Loan: No      |
| Jane Street Group                                      | Jane Street Group                                                                 | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1790000 | PA      | $1798432.28   | 0.19%             | 2033-05-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2012-150, Class BI                                                   | CUSIP: 3136ABAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81478 | PA      | $2081.54      | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M                 | CUSIP: 35563PPH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $143320.68    | 0.01%             | 2059-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| International Bank for Reconstruction & Development    | International Bank for Reconstruction & Development, Series A                     | CUSIP: N/A<br>LEI: ZTMSNXROF84AHWJNKQ93       | Long             | DBT              | NUSS              | US        |    250000 | PA      | $256150.00    | 0.03%             | 2027-12-29      | Floating      | 11.55%                | Yes           |                  2 | On Loan: No      |
| Atlas Capital DAC                                      | Atlas Capital DAC, Series A                                                       | CUSIP: 049207AA1<br>LEI: 635400CBPJFGGWD2AH20 | Long             | DBT              | CORP              | IE        |    250000 | PA      | $257950.00    | 0.03%             | 2026-06-05      | Floating      | 12.04%                | Yes           |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                       | Aquila Re I Ltd., Series A-1                                                      | CUSIP: 037987AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $253875.00    | 0.03%             | 2027-06-07      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                  | Foundry JV Holdco LLC                                                             | CUSIP: 350930AC7<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1225000 | PA      | $1272572.08   | 0.13%             | 2032-01-25      | Fixed         | 6.15%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                         | Carnival Corp.                                                                    | CUSIP: N/A<br>LEI: F1OF2ZSX47CR0BCWA982       | Long             | DBT              | CORP              | PA        |   1530000 | PA      | $1819923.53   | 0.19%             | 2030-01-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| BX Trust                                               | BX Trust, Series 2021-ARIA, Class D                                               | CUSIP: 05608RAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2118000 | PA      | $2096820.00   | 0.22%             | 2036-10-15      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2013-84, Class SC                                                    | CUSIP: 38378TS68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27925 | PA      | $1503.28      | 0.00%             | 2040-03-16      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2024-3A, Class D                        | CUSIP: 37989AAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3050000 | PA      | $3059127.43   | 0.32%             | 2031-02-18      | Fixed         | 5.53%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Avation plc                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               |  | GB        |     21088 | NS      | $8852.71      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Methanex US Operations, Inc.                           | Methanex US Operations, Inc.                                                      | CUSIP: 59151LAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4948000 | PA      | $4685249.32   | 0.48%             | 2032-03-15      | Fixed         | 6.25%                 | Yes           |                  2 | On Loan: —       |
| Torrey Pines Re Ltd.                                   | Torrey Pines Re Ltd., Series A                                                    | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $259925.00    | 0.03%             | 2027-06-07      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR8, Class G                             | CUSIP: 74333TAQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $995610.98    | 0.10%             | 2038-10-17      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Santander Holdings USA, Inc.                           | Santander Holdings USA, Inc.                                                      | CUSIP: 80282KBL9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   5160000 | PA      | $5272503.89   | 0.55%             | 2035-05-31      | Variable      | 6.34%                 | No            |                  2 | On Loan: —       |
| Micron Technology, Inc.                                | Micron Technology, Inc.                                                           | CUSIP: 595112CH4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |   3355000 | PA      | $3401675.26   | 0.35%             | 2035-11-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| CaixaBank SA                                           | CaixaBank SA                                                                      | CUSIP: N/A<br>LEI: 7CUNS533WID6K7DGFI87       | Long             | DBT              | CORP              | ES        |   2000000 | PA      | $2056763.94   | 0.21%             | 2028-09-14      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| COPT Defense Properties LP                             | COPT Defense Properties LP                                                        | CUSIP: 22003BAP1<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |   1850000 | PA      | $1486851.09   | 0.15%             | 2033-12-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: —       |
| Sanders RE II Ltd.                                     | Sanders RE II Ltd., Series A-1                                                    | CUSIP: 80001TAA5<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    400000 | PA      | $399600.00    | 0.04%             | 2028-04-07      | Floating      | 8.31%                 | Yes           |                  2 | On Loan: No      |
| Citrus Re Ltd.                                         | Citrus Re Ltd., Series A                                                          | CUSIP: 177510AN4<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $263225.00    | 0.03%             | 2027-06-07      | Floating      | 13.53%                | Yes           |                  2 | On Loan: No      |
| HGI CRE CLO Ltd.                                       | HGI CRE CLO Ltd., Series 2021-FL2, Class A                                        | CUSIP: 40390JAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    473482 | PA      | $470470.16    | 0.05%             | 2036-09-17      | Floating      | 5.44%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury Ultra Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -183 | NC      | $-88463.77    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Vistra Operations Co. LLC                              | Vistra Operations Co. LLC                                                         | CUSIP: 92840VAQ5<br>LEI: 549300ZH5GKBTJZ7NM23 | Long             | DBT              | CORP              | US        |    336000 | PA      | $360794.11    | 0.04%             | 2033-10-15      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multifamily Structured Credit Risk, Series 2021-MN1, Class M2               | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    700000 | PA      | $726855.08    | 0.08%             | 2051-01-25      | Floating      | 8.10%                 | Yes           |                  2 | On Loan: No      |
| Mohegan Tribal Gaming Authority                        | Mohegan Tribal Gaming Authority                                                   | CUSIP: 60832QAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   5625000 | PA      | $5624092.01   | 0.58%             | 2030-04-15      | Fixed         | 8.25%                 | Yes           |                  2 | On Loan: —       |
| Keysight Technologies, Inc.                            | Keysight Technologies, Inc.                                                       | CUSIP: 49338LAH6<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |   3820000 | PA      | $3921824.24   | 0.41%             | 2030-07-30      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| Morgan Stanley Capital I Trust                         | Morgan Stanley Capital I Trust, Series 2016-UBS9, Class D                         | CUSIP: 61766CAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $330961.13    | 0.03%             | 2049-03-15      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Structured Agency Credit Risk Debt Notes         | FHLMC Structured Agency Credit Risk REMIC Trust, Series 2020-HQA5, Class B2       | CUSIP: 35565TBE8<br>LEI: 5493000IT2BRJ2Q9YQ96 | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $743927.31    | 0.08%             | 2050-11-25      | Floating      | 11.75%                | Yes           |                  2 | On Loan: No      |
| 2001 Cat RE Ltd.                                       | 2001 Cat RE Ltd., Series A                                                        | CUSIP: 90215BAB3<br>LEI: 5493007NG10QO60NSO35 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1040000.00   | 0.11%             | 2027-01-08      | Floating      | 17.32%                | Yes           |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                | Kingdom of Saudi Arabia                                                           | CUSIP: 80413TBL2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   4785000 | PA      | $4951498.86   | 0.51%             | 2035-01-13      | Fixed         | 5.62%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                  | Foundry JV Holdco LLC                                                             | CUSIP: 350930AA1<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   1321000 | PA      | $1326571.79   | 0.14%             | 2034-01-25      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Torrey Pines Re Ltd.                                   | Torrey Pines Re Ltd., Series A                                                    | CUSIP: 89141WAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $255450.00    | 0.03%             | 2026-06-05      | Floating      | 9.50%                 | Yes           |                  2 | On Loan: No      |
| SCF Equipment Leasing LLC                              | SCF Equipment Leasing LLC, Series 2022-1A, Class E                                | CUSIP: 784033AL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1573314.56   | 0.16%             | 2032-07-20      | Fixed         | 5.26%                 | Yes           |                  2 | On Loan: No      |
| Ursa Re Ltd.                                           | Ursa Re Ltd., Series E                                                            | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $262675.00    | 0.03%             | 2026-12-07      | Floating      | 13.53%                | Yes           |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2025000 | PA      | $2088044.91   | 0.22%             | 2028-05-04      | Fixed         | 6.38%                 | Yes           |                  2 | On Loan: —       |
| THPT Mortgage Trust                                    | THPT Mortgage Trust, Series 2023-THL, Class C                                     | CUSIP: 87252LAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $707954.24    | 0.07%             | 2034-12-10      | Variable      | 8.82%                 | Yes           |                  2 | On Loan: No      |
| US Acute Care Solutions LLC                            | US Acute Care Solutions LLC                                                       | CUSIP: 90367UAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   8205000 | PA      | $8329560.11   | 0.86%             | 2029-05-15      | Fixed         | 9.75%                 | Yes           |                  2 | On Loan: —       |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2023-DNA1, Class M1A                              | CUSIP: 35564KP37<br>LEI: 5493000IRILHAKSCHN59 | Long             | ABS-MBS          | CORP              | US        |   1412007 | PA      | $1435341.03   | 0.15%             | 2043-03-25      | Floating      | 6.45%                 | Yes           |                  2 | On Loan: No      |
| Herbie Re Ltd.                                         | Herbie Re Ltd., Series A                                                          | CUSIP: 42703VAG8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $480150.00    | 0.05%             | 2028-01-07      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| Nissan Motor Acceptance Co. LLC                        | Nissan Motor Acceptance Co. LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   5700000 | PA      | $5192462.77   | 0.54%             | 2028-03-09      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: —       |
| Connect Finco SARL                                     | Connect Finco SARL                                                                | CUSIP: 20752TAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1580000 | PA      | $1478040.23   | 0.15%             | 2029-09-15      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: —       |
| FIGRE Trust                                            | FIGRE Trust, Series 2023-HE3, Class A                                             | CUSIP: 31684CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    929580 | PA      | $953585.94    | 0.10%             | 2053-11-25      | Variable      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Hilton Commercial Mortgage Trust                       | Hilton Commercial Mortgage Trust, Series 2024-ORL, Class D                        | CUSIP: 403956AG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540000 | PA      | $529875.00    | 0.05%             | 2037-05-15      | Floating      | 7.51%                 | Yes           |                  2 | On Loan: No      |
| Atlas Capital DAC                                      | Atlas Capital DAC, Series 2024                                                    | CUSIP: 049207AB9<br>LEI: 635400CBPJFGGWD2AH20 | Long             | DBT              | CORP              | IE        |    500000 | PA      | $558600.00    | 0.06%             | 2027-06-08      | Floating      | 16.86%                | Yes           |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                         | Citizens Financial Group, Inc.                                                    | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   2185000 | PA      | $2188116.49   | 0.23%             | 2031-03-05      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series B                                               | CUSIP: 59013MAJ1<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $260875.00    | 0.03%             | 2026-07-07      | Floating      | 14.53%                | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                       | CUSIP: 14040HDA0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    770000 | PA      | $803224.53    | 0.08%             | 2034-06-08      | Variable      | 6.38%                 | No            |                  2 | On Loan: —       |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class B          | CUSIP: 03880RAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    920000 | PA      | $916290.74    | 0.09%             | 2036-11-15      | Floating      | 6.44%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                  | Bank of America Corp.                                                             | CUSIP: 06051GMQ9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   4065000 | PA      | $4056273.75   | 0.42%             | 2036-02-12      | Variable      | 5.74%                 | No            |                  2 | On Loan: —       |
| Fuchsia - London Bridge 2 PCC Ltd.                     | Fuchsia - London Bridge 2 PCC Ltd., Series A                                      | CUSIP: 541917AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $502000.00    | 0.05%             | 2028-04-06      | Floating      | 9.28%                 | Yes           |                  2 | On Loan: No      |
| MetroCat Re Ltd.                                       | MetroCat Re Ltd., Series A                                                        | CUSIP: 59165HAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $751200.00    | 0.08%             | 2026-05-08      | Floating      | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Fiesta Purchaser, Inc.                                 | Fiesta Purchaser, Inc.                                                            | CUSIP: 31659AAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1510000 | PA      | $1578904.32   | 0.16%             | 2032-09-15      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                  | Foundry JV Holdco LLC                                                             | CUSIP: 350930AK9<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2563458.80   | 0.27%             | 2039-01-25      | Fixed         | 6.30%                 | Yes           |                  2 | On Loan: —       |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series C                                               | CUSIP: 59013MAM4<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $507800.00    | 0.05%             | 2027-07-07      | Floating      | 12.78%                | Yes           |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                     | Four Lakes Re Ltd., Series A                                                      | CUSIP: 35087TAE8<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    750000 | PA      | $762375.00    | 0.08%             | 2027-01-07      | Floating      | 10.03%                | Yes           |                  2 | On Loan: No      |
| Easton Re Ltd.                                         | Easton Re Ltd., Series A                                                          | CUSIP: 27777AAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $506550.00    | 0.05%             | 2027-01-08      | Floating      | 11.78%                | Yes           |                  2 | On Loan: No      |
| FNMA                                                   | FNMA, Series 2018-42, Class SB                                                    | CUSIP: 3136B2AS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5376923 | PA      | $699400.59    | 0.07%             | 2048-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| NMEF Funding LLC                                       | NMEF Funding LLC, Series 2024-A, Class D                                          | CUSIP: 62919UAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1570000 | PA      | $1596959.73   | 0.17%             | 2031-12-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                                | CUSIP: 37045XEY8<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1303266.94   | 0.13%             | 2031-06-18      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                           | Imperial Fund Mortgage Trust, Series 2022-NQM5, Class B1                          | CUSIP: 45276QAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3106000 | PA      | $3048730.64   | 0.32%             | 2067-08-25      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Winston RE Ltd.                                        | Winston RE Ltd., Series B                                                         | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $260300.00    | 0.03%             | 2027-02-26      | Floating      | 16.03%                | Yes           |                  2 | On Loan: No      |
| Celanese US Holdings LLC                               | Celanese US Holdings LLC                                                          | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   7300000 | PA      | $7314163.83   | 0.76%             | 2033-11-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: —       |
| BP Capital Markets plc                                 | BP Capital Markets plc                                                            | CUSIP: 05565QDX3<br>LEI: 549300CRVT18MXX0AG93 | Long             | DBT              | CORP              | GB        |   7605000 | PA      | $7340831.20   | 0.76%             | 2035-03-18      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| First Coast Re IV Ltd.                                 | First Coast Re IV Ltd., Series A                                                  | CUSIP: 31969UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $255325.00    | 0.03%             | 2026-04-07      | Floating      | 9.25%                 | Yes           |                  2 | On Loan: No      |
| Marlon Ltd.                                            | Marlon Ltd., Series A                                                             | CUSIP: 571253AA1<br>LEI: 98450044CD0YE4DAFC06 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $255850.00    | 0.03%             | 2027-06-07      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                           | CUSIP: 44891ADM6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   4780000 | PA      | $4822483.16   | 0.50%             | 2030-01-08      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| Champions Financing, Inc.                              | Champions Financing, Inc., First Lien Term Loan                                   | CUSIP: 15870MAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   3374500 | PA      | $3017376.66   | 0.31%             | 2029-02-06      | Variable      | 9.07%                 | No            |                  2 | On Loan: No      |
| Citizens Financial Group, Inc.                         | Citizens Financial Group, Inc.                                                    | CUSIP: 174610BF1<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    445000 | PA      | $455526.03    | 0.05%             | 2030-01-23      | Variable      | 5.84%                 | No            |                  2 | On Loan: —       |
| FS Rialto Issuer LLC                                   | FS Rialto Issuer LLC, Series 2022-FL4, Class A                                    | CUSIP: 30326MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    576630 | PA      | $576629.97    | 0.06%             | 2039-01-19      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Radnor Re Ltd.                                         | Radnor Re Ltd., Series 2024-1, Class M1B                                          | CUSIP: 75049AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1620000 | PA      | $1631880.43   | 0.17%             | 2034-09-25      | Floating      | 7.25%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-81                                                              | CUSIP: 38379YNN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50026 | PA      | $9478.12      | 0.00%             | 2046-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust, Series 2024-NQM2, Class B1                       | CUSIP: 10569KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1960000 | PA      | $1972260.98   | 0.20%             | 2064-02-25      | Fixed         | 7.91%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA                                                                              | CUSIP: 21H060655<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $9102304.71   | 0.94%             | 2055-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Jefferies Financial Group, Inc.                        | Jefferies Financial Group, Inc.                                                   | CUSIP: 47233WEJ4<br>LEI: 549300HOF34RGOJ5YL07 | Long             | DBT              | CORP              | US        |   1815000 | PA      | $1839150.44   | 0.19%             | 2034-04-14      | Fixed         | 6.20%                 | No            |                  2 | On Loan: —       |
| Hilcorp Energy I LP                                    | Hilcorp Energy I LP                                                               | CUSIP: 431318BE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3145000 | PA      | $2672640.00   | 0.28%             | 2034-05-15      | Fixed         | 6.88%                 | Yes           |                  2 | On Loan: No      |
| Societe Generale SA                                    | Societe Generale SA                                                               | CUSIP: 83368RBL5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   1400000 | PA      | $1421699.12   | 0.15%             | 2033-06-15      | Variable      | 6.22%                 | Yes           |                  2 | On Loan: —       |
| Northshore Re II Ltd.                                  | Northshore Re II Ltd., Series A                                                   | CUSIP: 666842AF6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $995700.00    | 0.10%             | 2028-04-07      | Floating      | 9.28%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 902613BK3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1500000 | PA      | $1534563.00   | 0.16%             | 2031-04-12      | Variable      | 7.75%                 | Yes           |                  2 | On Loan: No      |
| Fortress Intermediate 3, Inc.                          | Fortress Intermediate 3, Inc., First Lien Term Loan                               | CUSIP: 34966LAB0<br>LEI: 254900NLAZ3JQJW5JP75 | Long             | LON              | CORP              | US        |   2178055 | PA      | $2129048.76   | 0.22%             | 2031-06-27      | Variable      | 8.07%                 | No            |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2023-R03, Class 2M1                   | CUSIP: 20753ACJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    702562 | PA      | $711304.03    | 0.07%             | 2043-04-25      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Residential Mortgage Loan Trust         | Morgan Stanley Residential Mortgage Loan Trust, Series 2023-NQM1, Class B2        | CUSIP: 61775VAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3264000 | PA      | $3182721.18   | 0.33%             | 2068-09-25      | Variable      | 7.42%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                | Saluda Grade Alternative Mortgage Trust, Series 2023-FIG4, Class A                | CUSIP: 79581UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2152698 | PA      | $2226616.44   | 0.23%             | 2053-11-25      | Variable      | 6.72%                 | Yes           |                  2 | On Loan: No      |
| Lightning Re                                           | Lightning Re, Series 2023-1                                                       | CUSIP: 532242AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1027000.00   | 0.11%             | 2026-03-31      | Floating      | 15.28%                | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2021-10, Class AX1                             | CUSIP: 46654ABS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  27196314 | PA      | $177999.88    | 0.02%             | 2051-12-25      | Variable      | 0.11%                 | Yes           |                  2 | On Loan: No      |
| Nordea Bank Abp                                        | Nordea Bank Abp                                                                   | CUSIP: 65559CAD3<br>LEI: 529900ODI3047E2LIV03 | Long             | DBT              | CORP              | FI        |   1840000 | PA      | $1616519.49   | 0.17%             | 2029-03-01      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Dai-ichi Life Insurance Co. Ltd. (The)                 | Dai-ichi Life Insurance Co. Ltd. (The)                                            | CUSIP: 23381LAA2<br>LEI: 3538001235ACEIORUV72 | Long             | DBT              | CORP              | JP        |   9760000 | PA      | $9680678.53   | 1.00%             | 2035-01-16      | Variable      | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Blue Ridge Re Ltd.                                     | Blue Ridge Re Ltd., Series A                                                      | CUSIP: 096003AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $256625.00    | 0.03%             | 2027-01-08      | Floating      | 9.53%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                            | Nationwide Building Society                                                       | CUSIP: 63861VAK3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |   3405000 | PA      | $3465178.00   | 0.36%             | 2029-07-29      | Fixed         | 5.13%                 | Yes           |                  2 | On Loan: —       |
| Sanders RE II Ltd.                                     | Sanders RE II Ltd., Series B-2                                                    | CUSIP: 80001TAD9<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    400000 | PA      | $399600.00    | 0.04%             | 2030-04-08      | Floating      | 9.03%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR1, Class B2                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |   3516000 | PA      | $4054984.17   | 0.42%             | 2048-01-25      | Floating      | 12.82%                | Yes           |                  2 | On Loan: No      |
| Herbie Re Ltd.                                         | Herbie Re Ltd., Series B                                                          | CUSIP: 42703VAH6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $239400.00    | 0.02%             | 2028-01-08      | Floating      | 13.28%                | Yes           |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                           | CUSIP: 44891ACP0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    995000 | PA      | $1038013.49   | 0.11%             | 2030-09-21      | Fixed         | 6.20%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2024-R05, Class 2B1                   | CUSIP: 20754XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1260000 | PA      | $1242683.69   | 0.13%             | 2044-07-25      | Floating      | 6.35%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-27801.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ING Groep NV                                           | ING Groep NV, Series NC10                                                         | CUSIP: 456837AZ6<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |   1960000 | PA      | $1582259.98   | 0.16%             | 2031-05-16      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer                                        | DataBank Issuer, Series 2024-1A, Class A2                                         | CUSIP: 23802WAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    495000 | PA      | $489746.47    | 0.05%             | 2054-01-26      | Fixed         | 5.30%                 | Yes           |                  2 | On Loan: No      |
| GCAT Trust                                             | GCAT Trust, Series 2024-NQM1, Class B1                                            | CUSIP: 36169HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595000 | PA      | $597740.03    | 0.06%             | 2059-01-25      | Variable      | 7.92%                 | Yes           |                  2 | On Loan: No      |
| Grupo Aeromexico SAB de CV                             | Grupo Aeromexico SAB de CV                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MX        |     21107 | NS      | $349801.13    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Sanders Re III Ltd.                                    | Sanders Re III Ltd.                                                               | CUSIP: 80001QAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $255700.00    | 0.03%             | 2027-04-07      | Floating      | 9.83%                 | Yes           |                  2 | On Loan: No      |
| AREIT Ltd.                                             | AREIT Ltd., Series 2024-CRE9, Class A                                             | CUSIP: 00193AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1490000 | PA      | $1488132.88   | 0.15%             | 2041-05-17      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Hilcorp Energy I LP                                    | Hilcorp Energy I LP                                                               | CUSIP: 431318BG8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4895000 | PA      | $4264634.14   | 0.44%             | 2035-02-15      | Fixed         | 7.25%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                      | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18400000 | PA      | $18360278.45  | 1.90%             | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Gateway Re Ltd.                                        | Gateway Re Ltd., Series AAA                                                       | CUSIP: 36779CAM8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $493600.00    | 0.05%             | 2028-07-07      | Floating      | 8.53%                 | Yes           |                  2 | On Loan: No      |
| Republic of Colombia                                   | Republic of Colombia                                                              | CUSIP: 195325ES0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   4000000 | PA      | $4062875.04   | 0.42%             | 2035-04-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                           | Avolon Holdings Funding Ltd.                                                      | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   3500000 | PA      | $3459679.51   | 0.36%             | 2030-01-15      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Prestige Auto Receivables Trust                        | Prestige Auto Receivables Trust, Series 2023-2A, Class D                          | CUSIP: 74113VAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1020000 | PA      | $1065740.06   | 0.11%             | 2029-08-15      | Fixed         | 7.71%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2025-SFR1, Class D                               | CUSIP: 895974AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2096579.73   | 0.22%             | 2042-03-17      | Floating      | 6.33%                 | Yes           |                  2 | On Loan: No      |
| Cape Lookout Re Ltd.                                   | Cape Lookout Re Ltd., Series A                                                    | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $502000.00    | 0.05%             | 2028-03-13      | Floating      | 11.18%                | Yes           |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                  | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   4780000 | PA      | $5105153.72   | 0.53%             | 2054-05-01      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397G31<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3875000 | PA      | $3756623.48   | 0.39%             | 2031-11-05      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| Citrus Re Ltd.                                         | Citrus Re Ltd., Series A                                                          | CUSIP: 177510AL8<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $255825.00    | 0.03%             | 2026-06-07      | Floating      | 10.87%                | Yes           |                  2 | On Loan: No      |
| First Coast Re IV Ltd.                                 | First Coast Re IV Ltd., Series B                                                  | CUSIP: 31969UAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $249375.00    | 0.03%             | 2028-03-10      | Floating      | 11.78%                | Yes           |                  2 | On Loan: No      |
| Kosmos Energy Ltd.                                     | Kosmos Energy Ltd.                                                                | CUSIP: 500688AF3<br>LEI: 213800YDFJ3OT9B5P157 | Long             | DBT              | CORP              | US        |   5000000 | PA      | $4515358.50   | 0.47%             | 2027-05-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2024-NQM2, Class B1A                                            | CUSIP: 58004JAE2<br>LEI: 254900MMVXALAH2X8D73 | Long             | ABS-MBS          | CORP              | US        |   1664000 | PA      | $1662971.32   | 0.17%             | 2069-08-25      | Variable      | 6.78%                 | Yes           |                  2 | On Loan: No      |
| NMEF Funding LLC                                       | NMEF Funding LLC, Series 2025-A, Class D                                          | CUSIP: 62919VAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3180000 | PA      | $3194659.16   | 0.33%             | 2032-07-15      | Fixed         | 8.07%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2011-135, Class QI                                                   | CUSIP: 38377YA75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38606 | PA      | $3078.42      | 0.00%             | 2041-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Goat Holdco LLC                                        | Goat Holdco LLC                                                                   | CUSIP: 38021MAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1470000 | PA      | $1436925.00   | 0.15%             | 2032-02-01      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: —       |
| Energy Transfer LP                                     | Energy Transfer LP                                                                | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1005000 | PA      | $996022.46    | 0.10%             | 2034-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: —       |
| Purple Re Ltd.                                         | Purple Re Ltd., Series A                                                          | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $512300.00    | 0.05%             | 2027-06-07      | Floating      | 13.28%                | Yes           |                  2 | On Loan: No      |
| NatWest Group plc                                      | NatWest Group plc                                                                 | CUSIP: 639057AP3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   1355000 | PA      | $1403240.55   | 0.15%             | 2034-06-01      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| Boeing Co. (The)                                       | Boeing Co. (The)                                                                  | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    620000 | PA      | $662806.49    | 0.07%             | 2064-05-01      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                      | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  18300000 | PA      | $18563724.59  | 1.92%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Diamond Sports Group LLC                               | Diamond Sports Group LLC                                                          | CUSIP: N/A<br>LEI: 5493002K6DHWNZH8YA34       | Long             | EC               | CORP              | US        |        79 | NS      | $1129.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FloodSmart Re Ltd.                                     | FloodSmart Re Ltd., Series A                                                      | CUSIP: 33975CAP0<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $1019800.00   | 0.11%             | 2027-03-12      | Floating      | 18.28%                | Yes           |                  2 | On Loan: No      |
| Sutter Re Ltd.                                         | Sutter Re Ltd., Series B                                                          | CUSIP: 86944RAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $256475.00    | 0.03%             | 2026-06-19      | Floating      | 11.03%                | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR Trust, Series 2019-FTR3, Class B2                                     | CUSIP: 35565EAE2<br>LEI: 5493009ZFZYH4FRCW638 | Long             | ABS-MBS          | CORP              | US        |   4089000 | PA      | $4291766.97   | 0.44%             | 2047-09-25      | Floating      | 9.27%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Euro-Bund                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -21 | NC      | $7757.57      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                      | CUSIP: 60687YDE6<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   1010000 | PA      | $1028656.40   | 0.11%             | 2035-05-26      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                         | Home Partners of America Trust, Series 2019-1, Class F                            | CUSIP: 43731QAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    778187 | PA      | $728937.12    | 0.08%             | 2039-09-17      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A          | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1345387 | PA      | $1344549.62   | 0.14%             | 2037-01-15      | Floating      | 5.79%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2012-140, Class IC                                                   | CUSIP: 38378GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83236 | PA      | $13671.05     | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                     | Four Lakes Re Ltd., Series B                                                      | CUSIP: 35087TAH1<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $498050.00    | 0.05%             | 2028-01-07      | Floating      | 12.53%                | Yes           |                  2 | On Loan: No      |
| Commercial Mortgage Trust                              | Commercial Mortgage Trust, Series 2015-CR26, Class D                              | CUSIP: 12593QBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1350000 | PA      | $1085943.51   | 0.11%             | 2048-10-10      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Lapis London Bridge 2 PCC Ltd.                         | Lapis London Bridge 2 PCC Ltd., Series A                                          | CUSIP: 54180CAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    250000 | PA      | $249900.00    | 0.03%             | 2029-01-09      | Floating      | 11.78%                | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2024-R03, Class 2M2                   | CUSIP: 207941AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1090000 | PA      | $1089998.47   | 0.11%             | 2044-03-25      | Floating      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Longleaf Pine Re Ltd.                                  | Longleaf Pine Re Ltd., Series 1                                                   | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $522950.00    | 0.05%             | 2027-05-25      | Floating      | 21.78%                | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 902613BH0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1310000 | PA      | $1340715.45   | 0.14%             | 2035-02-08      | Variable      | 5.70%                 | Yes           |                  2 | On Loan: —       |
| Amentum Holdings, Inc.                                 | Amentum Holdings, Inc., First Lien Term Loan                                      | CUSIP: 02351XAB4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1047375 | PA      | $1032648.91   | 0.11%             | 2031-09-29      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| Topanga Re Ltd.                                        | Topanga Re Ltd., Series A                                                         | CUSIP: 89055TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    400000 | PA      | $385600.00    | 0.04%             | 2026-01-08      | Floating      | 9.33%                 | Yes           |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                    | Exeter Automobile Receivables Trust, Series 2024-3A, Class E                      | CUSIP: 30165AAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1600000 | PA      | $1626487.36   | 0.17%             | 2031-10-15      | Fixed         | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Kingdom of Saudi Arabia                                | Kingdom of Saudi Arabia                                                           | CUSIP: N/A<br>LEI: 635400FMICXSM3SI3H65       | Long             | DBT              | NUSS              | SA        |   3455000 | PA      | $3910176.69   | 0.40%             | 2032-03-05      | Fixed         | 3.38%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust                       | Vista Point Securitization Trust, Series 2020-2, Class M1                         | CUSIP: 92838TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1325000 | PA      | $1250431.78   | 0.13%             | 2065-04-25      | Variable      | 3.40%                 | Yes           |                  2 | On Loan: No      |
| MF1 LLC                                                | MF1 LLC, Series 2024-FL14, Class A                                                | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2175000 | PA      | $2175000.44   | 0.22%             | 2039-03-19      | Floating      | 6.06%                 | Yes           |                  2 | On Loan: No      |
| Radnor RE Ltd.                                         | Radnor RE Ltd., Series 2021-1, Class M2                                           | CUSIP: 75279YAD3<br>LEI: 254900PS93C2BX29OQ80 | Long             | ABS-MBS          | CORP              | BM        |   1230000 | PA      | $1243118.93   | 0.13%             | 2033-12-27      | Floating      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| American Honda Finance Corp.                           | American Honda Finance Corp.                                                      | CUSIP: 02665WFU0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   5575000 | PA      | $5561996.76   | 0.58%             | 2031-10-23      | Fixed         | 4.85%                 | No            |                  2 | On Loan: —       |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                              | CUSIP: 02005NBT6<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    640000 | PA      | $664808.48    | 0.07%             | 2029-06-13      | Variable      | 6.99%                 | No            |                  2 | On Loan: No      |
| Ramble RE Ltd.                                         | Ramble RE Ltd., Series A                                                          | CUSIP: 751443AA0<br>LEI: 254900X8K5BTBY971F92 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $498050.00    | 0.05%             | 2027-03-05      | Floating      | 10.53%                | Yes           |                  2 | On Loan: No      |
| High Point Re Ltd.                                     | High Point Re Ltd., Series A                                                      | CUSIP: 429932AA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $251225.00    | 0.03%             | 2027-01-06      | Floating      | 10.03%                | Yes           |                  2 | On Loan: No      |
| PRPM Trust                                             | PRPM Trust, Series 2025-NQM1, Class B1                                            | CUSIP: 74391EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3094000 | PA      | $3114634.50   | 0.32%             | 2069-11-25      | Variable      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Element Fleet Management Corp.                         | Element Fleet Management Corp.                                                    | CUSIP: 286181AM4<br>LEI: 5493000PGBS1C22ELQ16 | Long             | DBT              | CORP              | CA        |   1500000 | PA      | $1525562.76   | 0.16%             | 2027-03-13      | Fixed         | 5.64%                 | Yes           |                  2 | On Loan: No      |
| Continental Finance Credit Card ABS Master Trust       | Continental Finance Credit Card ABS Master Trust, Series 2024-A, Class A          | CUSIP: 66981PAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    740000 | PA      | $746830.20    | 0.08%             | 2032-12-15      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Titania RE Ltd.                                        | Titania RE Ltd., Series A                                                         | CUSIP: 888329AC3<br>LEI: 5493008E73M6FH2NSB56 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $258500.00    | 0.03%             | 2026-02-27      | Floating      | 16.81%                | Yes           |                  2 | On Loan: No      |
| ITC Holdings Corp.                                     | ITC Holdings Corp.                                                                | CUSIP: 465685AT2<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1010000 | PA      | $1019197.12   | 0.11%             | 2034-05-09      | Fixed         | 5.65%                 | Yes           |                  2 | On Loan: No      |
| Kendall Re Ltd.                                        | Kendall Re Ltd., Series B                                                         | CUSIP: 48878QAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $257875.00    | 0.03%             | 2027-04-30      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| Volkswagen Group of America Finance LLC                | Volkswagen Group of America Finance LLC                                           | CUSIP: 928668CS9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |   3930000 | PA      | $3908626.54   | 0.40%             | 2035-03-27      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: —       |
| GNMA                                                   | GNMA, Series 2016-5, Class CS                                                     | CUSIP: 38379TQP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     89035 | PA      | $10603.06     | 0.00%             | 2046-01-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                           | CUSIP: 44891ACH8<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    515000 | PA      | $524892.88    | 0.05%             | 2028-06-26      | Fixed         | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Locke Tavern Re Ltd.                                   | Locke Tavern Re Ltd., Series A                                                    | CUSIP: 539694AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $505250.00    | 0.05%             | 2026-04-09      | Floating      | 9.06%                 | Yes           |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                        | 1261229 BC Ltd., First Lien Term Loan                                             | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |   6435000 | PA      | $6059646.45   | 0.63%             | 2030-10-08      | Variable      | 10.57%                | No            |                  2 | On Loan: No      |
| Alamo Re Ltd.                                          | Alamo Re Ltd., Series A                                                           | CUSIP: 011395AJ9<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $511850.00    | 0.05%             | 2026-06-07      | Floating      | 12.67%                | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2024-3A, Class C                        | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2560000 | PA      | $2571646.72   | 0.27%             | 2031-02-18      | Fixed         | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Wildfire Intermediate Holdings LLC                     | Wildfire Intermediate Holdings LLC                                                | CUSIP: 96812HAA6<br>LEI: 5493003RHEMQJZEXIR02 | Long             | DBT              | CORP              | US        |   6970000 | PA      | $6377550.00   | 0.66%             | 2029-10-15      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: —       |
| Total Play Telecomunicaciones SA de CV                 | Total Play Telecomunicaciones SA de CV                                            | CUSIP: 89157PAD0<br>LEI: 4469000001BSAPAMOQ06 | Long             | DBT              | CORP              | MX        |  11681750 | PA      | $10517755.43  | 1.09%             | 2032-12-31      | Fixed         | 11.12%                | Yes           |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                        | BRAVO Residential Funding Trust, Series 2023-NQM7, Class B1                       | CUSIP: 10569HAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2535000 | PA      | $2532184.63   | 0.26%             | 2063-09-25      | Variable      | 7.93%                 | Yes           |                  2 | On Loan: No      |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series A                                               | CUSIP: 59013MAH5<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $255875.00    | 0.03%             | 2026-07-07      | Floating      | 12.03%                | Yes           |                  2 | On Loan: No      |
| MMIFS Re Ltd.                                          | MMIFS Re Ltd.                                                                     | CUSIP: N/A<br>LEI: 254900C86PCL10JRTQ88       | Long             | DBT              | CORP              | BM        |    500000 | PA      | $361952.78    | 0.04%             | 2028-01-10      | Floating      | 5.57%                 | Yes           |                  2 | On Loan: No      |
| PNC Financial Services Group, Inc. (The)               | PNC Financial Services Group, Inc. (The)                                          | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |   3085000 | PA      | $3122612.44   | 0.32%             | 2036-01-29      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| Venture Global Plaquemines LNG LLC                     | Venture Global Plaquemines LNG LLC                                                | CUSIP: 922966AB2<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |   1525000 | PA      | $1566019.65   | 0.16%             | 2035-05-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: —       |
| Aker BP ASA                                            | Aker BP ASA                                                                       | CUSIP: 00973RAM5<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   1235000 | PA      | $1240134.88   | 0.13%             | 2033-06-13      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC Structured Agency Credit Risk REMIC Trust, Series 2025-HQA1, Class M2       | CUSIP: 35564NHA4<br>LEI: 529900MBUPRSJMB6GN48 | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1229931.20   | 0.13%             | 2045-02-25      | Floating      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| PRPM                                                   | PRPM, Series 2024-NQM3, Class B1                                                  | CUSIP: 69381FAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2610000 | PA      | $2615107.51   | 0.27%             | 2069-08-25      | Variable      | 7.48%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                             | J.P. Morgan Mortgage Trust, Series 2021-8, Class AX1                              | CUSIP: 46592TBS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  24422629 | PA      | $158373.43    | 0.02%             | 2051-12-25      | Variable      | 0.11%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | Forward Foreign Currency Contract                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6087.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397G56<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   2470000 | PA      | $2390519.57   | 0.25%             | 2035-02-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: —       |
| Mystic Re IV Ltd.                                      | Mystic Re IV Ltd., Series A                                                       | CUSIP: 62865LAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    750000 | PA      | $782700.00    | 0.08%             | 2027-01-08      | Floating      | 16.28%                | Yes           |                  2 | On Loan: No      |
| Americold Realty Operating Partnership LP              | Americold Realty Operating Partnership LP                                         | CUSIP: 03063UAB7<br>LEI: 549300FKD9KVWNHSUU79 | Long             | DBT              | CORP              | US        |   1960000 | PA      | $1961904.14   | 0.20%             | 2032-05-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Aquila Re I Ltd.                                       | Aquila Re I Ltd., Series A-1                                                      | CUSIP: 03843AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $254075.00    | 0.03%             | 2026-06-08      | Floating      | 9.93%                 | Yes           |                  2 | On Loan: No      |
| Sun Communities Operating LP                           | Sun Communities Operating LP                                                      | CUSIP: 866677AK3<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   3630000 | PA      | $3732373.70   | 0.39%             | 2029-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Radnor RE Ltd.                                         | Radnor RE Ltd., Series 2023-1, Class M1A                                          | CUSIP: 75050KAA4<br>LEI: 254900P3K895250PCC81 | Long             | ABS-MBS          | CORP              | BM        |    818564 | PA      | $823044.94    | 0.09%             | 2033-07-25      | Floating      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| GS Mortgage Securities Corp. Trust                     | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class E                       | CUSIP: 36262MAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $145513.29    | 0.02%             | 2036-10-15      | Floating      | 7.99%                 | Yes           |                  2 | On Loan: No      |
| Transocean, Inc.                                       | Transocean, Inc.                                                                  | CUSIP: 893830BX6<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |    284000 | PA      | $277607.27    | 0.03%             | 2030-02-15      | Fixed         | 8.75%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                    | CUSIP: 29250NCG8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    490000 | PA      | $492287.08    | 0.05%             | 2055-03-15      | Variable      | 7.38%                 | No            |                  2 | On Loan: No      |
| Uniti Group LP                                         | Uniti Group LP                                                                    | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   7400000 | PA      | $6617769.68   | 0.68%             | 2030-01-15      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Vista Point Securitization Trust                       | Vista Point Securitization Trust, Series 2024-CES1, Class A1                      | CUSIP: 92839HAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1319025 | PA      | $1335139.41   | 0.14%             | 2054-05-25      | Variable      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| Duke Energy Corp.                                      | Duke Energy Corp.                                                                 | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   1105000 | PA      | $944666.86    | 0.10%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| BAMLL Commercial Mortgage Securities Trust             | BAMLL Commercial Mortgage Securities Trust, Series 2024-NASH, Class B             | CUSIP: 05555CAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2130000 | PA      | $2090311.28   | 0.22%             | 2039-05-15      | Floating      | 7.07%                 | Yes           |                  2 | On Loan: No      |
| Merna Reinsurance II Ltd.                              | Merna Reinsurance II Ltd., Series A                                               | CUSIP: 59013MAK8<br>LEI: 549300478X5RX87PYX60 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $260200.00    | 0.03%             | 2027-07-07      | Floating      | 11.53%                | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2024-3, Class B1                               | CUSIP: 92540MAE5<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-MBS          | CORP              | US        |   2125000 | PA      | $2138768.30   | 0.22%             | 2069-04-25      | Variable      | 8.03%                 | Yes           |                  2 | On Loan: No      |
| Directv Financing LLC                                  | Directv Financing LLC, First Lien Term Loan B                                     | CUSIP: 25460HAD4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    470375 | PA      | $453973.02    | 0.05%             | 2029-08-02      | Variable      | 9.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 5 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -656 | NC      | $-1176554.68  | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Liberty Mutual Insurance Co.                           | Liberty Mutual Insurance Co.                                                      | CUSIP: 53079QAD9<br>LEI: CNC20I6IOMGF7KY49D67 | Long             | DBT              | CORP              | US        |    420000 | PA      | $468184.64    | 0.05%             | 2097-10-15      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Nomura Holdings, Inc.                                  | Nomura Holdings, Inc.                                                             | CUSIP: 65535HBV0<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |   1335000 | PA      | $1357269.80   | 0.14%             | 2034-07-03      | Fixed         | 5.78%                 | No            |                  2 | On Loan: —       |
| American Honda Finance Corp.                           | American Honda Finance Corp.                                                      | CUSIP: 02665WFL0<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |   3065000 | PA      | $3112283.26   | 0.32%             | 2031-07-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC STACR REMIC Trust, Series 2022-DNA1, Class M2                               | CUSIP: 35564KQC6<br>LEI: 5493000ISBDRXIMCHZ70 | Long             | ABS-MBS          | CORP              | US        |    180000 | PA      | $182475.00    | 0.02%             | 2042-01-25      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Genesee Street Re Ltd.                                 | Genesee Street Re Ltd., Series 2025                                               | CUSIP: 37173WAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $500000.00    | 0.05%             | 2028-04-07      | Floating      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| General Motors Financial Co., Inc.                     | General Motors Financial Co., Inc.                                                | CUSIP: 37045XED4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   1365000 | PA      | $1410856.07   | 0.15%             | 2033-01-09      | Fixed         | 6.40%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                             | Verus Securitization Trust, Series 2023-INV3, Class B1                            | CUSIP: 92540CAE7<br>LEI: 9845008F97BFO762AF95 | Long             | ABS-MBS          | CORP              | US        |   1955000 | PA      | $1971941.05   | 0.20%             | 2068-11-25      | Variable      | 8.21%                 | Yes           |                  2 | On Loan: No      |
| Avianca Midco 2 plc                                    | Avianca Midco 2 plc                                                               | CUSIP: 05369YAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |   6450000 | PA      | $5632204.50   | 0.58%             | 2030-02-14      | Fixed         | 9.62%                 | Yes           |                  2 | On Loan: No      |
| Bellemeade Re Ltd.                                     | Bellemeade Re Ltd., Series 2024-1, Class M1B                                      | CUSIP: 078915AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   1320000 | PA      | $1333979.33   | 0.14%             | 2034-08-25      | Floating      | 7.55%                 | Yes           |                  2 | On Loan: No      |
| Energy Transfer LP                                     | Energy Transfer LP, Series G                                                      | CUSIP: 29273VAM2<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    859000 | PA      | $846508.77    | 0.09%             | 2030-05-15      | Variable      | 7.12%                 | No            |                  2 | On Loan: No      |
| Bridge Street Re Ltd.                                  | Bridge Street Re Ltd., Series A                                                   | CUSIP: 10807LAA5<br>LEI: 2549008NKPLMU6X7ID58 | Long             | DBT              | CORP              | BM        |   1000000 | PA      | $995500.00    | 0.10%             | 2028-01-07      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| Progress Residential Trust                             | Progress Residential Trust, Series 2021-SFR9, Class F                             | CUSIP: 74333QAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390000 | PA      | $375394.03    | 0.04%             | 2040-11-17      | Fixed         | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Mayflower Re Ltd.                                      | Mayflower Re Ltd., Series A                                                       | CUSIP: 57839MAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $508750.00    | 0.05%             | 2027-07-08      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| TRTX Issuer Ltd.                                       | TRTX Issuer Ltd., Series 2022-FL5, Class A                                        | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2215638 | PA      | $2212630.84   | 0.23%             | 2039-02-15      | Floating      | 5.98%                 | Yes           |                  2 | On Loan: No      |
| American Credit Acceptance Receivables Trust           | American Credit Acceptance Receivables Trust, Series 2023-4, Class C              | CUSIP: 02530CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2110000 | PA      | $2137065.81   | 0.22%             | 2030-09-12      | Fixed         | 6.99%                 | Yes           |                  2 | On Loan: No      |
| Tricon Residential Trust                               | Tricon Residential Trust, Series 2022-SFR2, Class E                               | CUSIP: 89616TAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    345000 | PA      | $352329.56    | 0.04%             | 2040-07-17      | Fixed         | 7.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-145, Class UI                                                   | CUSIP: 38380BHW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53487 | PA      | $9355.42      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | CDS                                                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |    462712 | PA      | $-2556.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Microchip Technology, Inc.                             | Microchip Technology, Inc.                                                        | CUSIP: 595017BL7<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |   2715000 | PA      | $2702619.52   | 0.28%             | 2030-02-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: —       |
| Commonwealth Bank of Australia                         | Commonwealth Bank of Australia                                                    | CUSIP: 2027A0KY4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   4670000 | PA      | $4679386.70   | 0.48%             | 2030-03-14      | Floating      | 5.19%                 | Yes           |                  2 | On Loan: —       |
| Veraison Re Ltd.                                       | Veraison Re Ltd., Series A                                                        | CUSIP: 92335TAD1<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $247550.00    | 0.03%             | 2028-03-08      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| Triangle Re Ltd.                                       | Triangle Re Ltd., Series 2023-1, Class M1B                                        | CUSIP: 89589AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640000 | PA      | $1729301.94   | 0.18%             | 2033-11-25      | Floating      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Darden Restaurants, Inc.                               | Darden Restaurants, Inc.                                                          | CUSIP: 237194AN5<br>LEI: CY1NFSCCB5GUXC7WZC70 | Long             | DBT              | CORP              | US        |   2610000 | PA      | $2771507.53   | 0.29%             | 2033-10-10      | Fixed         | 6.30%                 | No            |                  2 | On Loan: —       |
| Acorn Re Ltd.                                          | Acorn Re Ltd., Series B                                                           | CUSIP: 00485YAF6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $250550.00    | 0.03%             | 2025-11-07      | Floating      | 7.38%                 | Yes           |                  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             | ABS-O            | CORP              | US        |     66143 | PA      | $65897.77     | 0.01%             | 2026-01-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2016-17, Class JS                                                    | CUSIP: 38379T5H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69983 | PA      | $8666.99      | 0.00%             | 2046-02-20      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                    | CUSIP: 61747YES0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   1690000 | PA      | $1650676.59   | 0.17%             | 2037-04-20      | Variable      | 5.30%                 | No            |                  2 | On Loan: —       |
| GNMA                                                   | GNMA                                                                              | CUSIP: 21H062651<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9000000 | PA      | $9200005.02   | 0.95%             | 2055-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                   | GNMA, Series 2019-159, Class HI                                                   | CUSIP: 38382BKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    975828 | PA      | $165298.21    | 0.02%             | 2049-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp.                                     | Hyatt Hotels Corp.                                                                | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   2110000 | PA      | $2113456.62   | 0.22%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: —       |
| Arivo Acceptance Auto Loan Receivables Trust           | Arivo Acceptance Auto Loan Receivables Trust, Series 2024-1A, Class B             | CUSIP: 039943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2410000 | PA      | $2476921.60   | 0.26%             | 2030-06-17      | Fixed         | 6.87%                 | Yes           |                  2 | On Loan: No      |
| MFA Trust                                              | MFA Trust, Series 2023-RTL2, Class A1                                             | CUSIP: 55286UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1826000 | PA      | $1853284.09   | 0.19%             | 2028-11-25      | Variable      | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Standard Chartered plc                                 | Standard Chartered plc                                                            | CUSIP: 85325C2A9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |   1590000 | PA      | $1597205.50   | 0.17%             | 2030-10-15      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: —       |
| Torrey Pines Re Ltd.                                   | Torrey Pines Re Ltd., Series A                                                    | CUSIP: 89141WAL6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499969.25    | 0.05%             | 2028-06-07      | Floating      | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                   | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    690000 | PA      | $706259.93    | 0.07%             | 2034-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| Virginia Electric and Power Co.                        | Virginia Electric and Power Co.                                                   | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |   5915000 | PA      | $5842450.10   | 0.60%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CDW LLC                                                | CDW LLC                                                                           | CUSIP: 12513GBL2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    815000 | PA      | $799083.05    | 0.08%             | 2034-08-22      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                     | Ally Bank Auto Credit-Linked Notes, Series 2024-B, Class F                        | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    966525 | PA      | $968138.43    | 0.10%             | 2032-09-15      | Fixed         | 8.04%                 | Yes           |                  2 | On Loan: No      |
| Imperial Fund Mortgage Trust                           | Imperial Fund Mortgage Trust, Series 2023-NQM1, Class B1                          | CUSIP: 45290BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2270000 | PA      | $2266373.45   | 0.23%             | 2068-02-25      | Variable      | 8.11%                 | Yes           |                  2 | On Loan: No      |
| Sanders RE II Ltd.                                     | Sanders RE II Ltd., Series A                                                      | CUSIP: 80001RAA9<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   2250000 | PA      | $2212650.00   | 0.23%             | 2029-04-07      | Floating      | 8.28%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                      | CUSIP: 12803RAH7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    540000 | PA      | $557949.36    | 0.06%             | 2035-06-15      | Variable      | 6.04%                 | Yes           |                  2 | On Loan: —       |
| Cruise Yacht Upper HoldCo Ltd.                         | Cruise Yacht Upper HoldCo Ltd.                                                    | CUSIP: N/A<br>LEI: 984500DE088QEE80G074       | Long             | DBT              | CORP              | MT        |   1200000 | PA      | $1166150.57   | 0.12%             | 2028-07-05      | Fixed         | 11.88%                | No            |                  2 | On Loan: No      |
| First Coast Re IV Ltd.                                 | First Coast Re IV Ltd., Series A                                                  | CUSIP: 31969UAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499000.00    | 0.05%             | 2028-03-10      | Floating      | 10.78%                | Yes           |                  2 | On Loan: No      |
| Integrity RE III Ltd.                                  | Integrity RE III Ltd., Series B-2                                                 | CUSIP: 45870GAD8<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $495100.00    | 0.05%             | 2028-06-06      | Floating      | 14.03%                | Yes           |                  2 | On Loan: No      |
| Grupo Aeromexico SAB de CV                             | Grupo Aeromexico SAB de CV                                                        | CUSIP: 40054JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | MX        |   6400000 | PA      | $5921602.56   | 0.61%             | 2031-11-15      | Fixed         | 8.62%                 | Yes           |                  2 | On Loan: No      |
| Vitality Re XIII Ltd.                                  | Vitality Re XIII Ltd., Series A                                                   | CUSIP: 92849MAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    250000 | PA      | $250475.00    | 0.03%             | 2026-01-06      | Floating      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| KeyCorp                                                | KeyCorp                                                                           | CUSIP: 49326EEP4<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    650000 | PA      | $680893.34    | 0.07%             | 2035-03-06      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                         | Morgan Stanley                                                                    | CUSIP: 61747YFB6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    740000 | PA      | $745994.00    | 0.08%             | 2038-01-19      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| Aker BP ASA                                            | Aker BP ASA                                                                       | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |   5720000 | PA      | $5343693.27   | 0.55%             | 2034-10-01      | Fixed         | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Kilimanjaro II Re Ltd.                                 | Kilimanjaro II Re Ltd., Series B                                                  | CUSIP: 49407QAH1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $525600.00    | 0.05%             | 2028-06-30      | Floating      | 11.53%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2004 Ltd.                      | Residential Reinsurance 2004 Ltd., Series 4                                       | CUSIP: 76112AAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    750000 | PA      | $756525.00    | 0.08%             | 2028-12-06      | Floating      | 9.53%                 | Yes           |                  2 | On Loan: No      |
| Sanders Re III Ltd.                                    | Sanders Re III Ltd., Series A                                                     | CUSIP: 80000XAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $492700.00    | 0.05%             | 2026-04-07      | Floating      | 7.69%                 | Yes           |                  2 | On Loan: No      |
| BPCE SA                                                | BPCE SA                                                                           | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   1375000 | PA      | $1390528.40   | 0.14%             | 2035-05-30      | Variable      | 5.94%                 | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2004 Ltd.                      | Residential Reinsurance 2004 Ltd., Series 3                                       | CUSIP: 76112AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    750000 | PA      | $758550.00    | 0.08%             | 2028-12-06      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                      | CUSIP: 01F032658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9023876.70   | 0.93%             | 2055-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hyundai Capital America                                | Hyundai Capital America                                                           | CUSIP: 44891ACY1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2519002.78   | 0.26%             | 2029-03-19      | Fixed         | 5.35%                 | Yes           |                  2 | On Loan: —       |
| GS Mortgage Securities Trust                           | GS Mortgage Securities Trust, Series 2016-GS4, Class D                            | CUSIP: 36251XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1340000 | PA      | $1061280.00   | 0.11%             | 2049-11-10      | Variable      | 3.23%                 | Yes           |                  2 | On Loan: No      |
| Sakura RE Ltd.                                         | Sakura RE Ltd., Series A                                                          | CUSIP: 79381MAD6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $249625.00    | 0.03%             | 2029-04-05      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| Commonwealth Bank of Australia                         | Commonwealth Bank of Australia                                                    | CUSIP: 202712BX2<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   1740000 | PA      | $1682754.52   | 0.17%             | 2046-03-14      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: —       |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2021-R03, Class 1B2                   | CUSIP: 20754AAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2470000 | PA      | $2553362.50   | 0.26%             | 2041-12-25      | Floating      | 9.85%                 | Yes           |                  2 | On Loan: No      |
| International Bank for Reconstruction & Development    | International Bank for Reconstruction & Development, Series D                     | CUSIP: N/A<br>LEI: ZTMSNXROF84AHWJNKQ93       | Long             | DBT              | NUSS              | US        |    250000 | PA      | $264075.00    | 0.03%             | 2028-04-24      | Floating      | 16.52%                | Yes           |                  2 | On Loan: No      |
| Four Lakes Re Ltd.                                     | Four Lakes Re Ltd., Series A                                                      | CUSIP: 35087TAG3<br>LEI: 549300MG4RRU6DT7MN54 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $497350.00    | 0.05%             | 2028-01-07      | Floating      | 9.78%                 | Yes           |                  2 | On Loan: No      |
| 1261229 BC Ltd.                                        | 1261229 BC Ltd.                                                                   | CUSIP: 68288AAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |   2400000 | PA      | $2350017.84   | 0.24%             | 2032-04-15      | Fixed         | 10.00%                | Yes           |                  2 | On Loan: —       |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2024-4, Class B1                                 | CUSIP: 19688WAE8<br>LEI: 213800KKXAZ8LJ3W5A65 | Long             | ABS-MBS          | CORP              | US        |   2080000 | PA      | $2089016.18   | 0.22%             | 2069-07-25      | Variable      | 7.84%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Group, Inc. (The)                        | Goldman Sachs Group, Inc. (The)                                                   | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   1775000 | PA      | $1807747.21   | 0.19%             | 2031-04-23      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Vitality Re XIII Ltd.                                  | Vitality Re XIII Ltd., Series B                                                   | CUSIP: 92849MAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    300000 | PA      | $301110.00    | 0.03%             | 2026-01-06      | Floating      | 7.03%                 | Yes           |                  2 | On Loan: No      |
| CaixaBank SA                                           | CaixaBank SA                                                                      | CUSIP: 12803RAC8<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |   1015000 | PA      | $1103264.41   | 0.11%             | 2034-09-13      | Variable      | 6.84%                 | Yes           |                  2 | On Loan: No      |
| Capital One Financial Corp.                            | Capital One Financial Corp.                                                       | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    275000 | PA      | $277477.58    | 0.03%             | 2034-02-01      | Variable      | 5.82%                 | No            |                  2 | On Loan: No      |
| Freedom Mortgage Holdings LLC                          | Freedom Mortgage Holdings LLC                                                     | CUSIP: 35641AAB4<br>LEI: 254900ROJ91RGM43S156 | Long             | DBT              | CORP              | US        |   5180000 | PA      | $5237378.86   | 0.54%             | 2031-05-15      | Fixed         | 9.12%                 | Yes           |                  2 | On Loan: No      |
| South Bow Canadian Infrastructure Holdings Ltd.        | South Bow Canadian Infrastructure Holdings Ltd.                                   | CUSIP: 836720AH5<br>LEI: 2549004FYUSYLPBT1G26 | Long             | DBT              | CORP              | CA        |    805000 | PA      | $791251.24    | 0.08%             | 2055-03-01      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: —       |
| GLS Auto Select Receivables Trust                      | GLS Auto Select Receivables Trust, Series 2024-1A, Class D                        | CUSIP: 37988XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2060000 | PA      | $2127203.38   | 0.22%             | 2031-01-15      | Fixed         | 6.43%                 | Yes           |                  2 | On Loan: No      |
| Ford Motor Credit Co. LLC                              | Ford Motor Credit Co. LLC                                                         | CUSIP: 345397G49<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   1870000 | PA      | $1840347.47   | 0.19%             | 2029-11-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Teva Pharmaceutical Finance Netherlands II BV          | Teva Pharmaceutical Finance Netherlands II BV                                     | CUSIP: N/A<br>LEI: 549300HSQCIKJAOYIT23       | Long             | DBT              | CORP              | NL        |   4007000 | PA      | $4589603.04   | 0.47%             | 2030-05-09      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   1110000 | PA      | $1152661.80   | 0.12%             | 2034-01-12      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Comerica Bank                                          | Comerica Bank                                                                     | CUSIP: 200339EX3<br>LEI: 70WY0ID1N53Q4254VH70 | Long             | DBT              | CORP              | US        |   1610000 | PA      | $1522123.37   | 0.16%             | 2033-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Transocean Titan Financing Ltd.                        | Transocean Titan Financing Ltd.                                                   | CUSIP: 89386MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    108571 | PA      | $107556.49    | 0.01%             | 2028-02-01      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: No      |
| Octane Receivables Trust                               | Octane Receivables Trust, Series 2022-2A, Class D                                 | CUSIP: 67578XAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1275000 | PA      | $1315647.00   | 0.14%             | 2030-02-20      | Fixed         | 7.70%                 | Yes           |                  2 | On Loan: No      |
| Ally Bank Auto Credit-Linked Notes                     | Ally Bank Auto Credit-Linked Notes, Series 2024-A, Class E                        | CUSIP: 02007GZ89<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    368161 | PA      | $372520.60    | 0.04%             | 2032-05-17      | Fixed         | 7.92%                 | Yes           |                  2 | On Loan: No      |
| ABRA Global Finance                                    | ABRA Global Finance                                                               | CUSIP: 000852AC7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |   6735763 | PA      | $4580318.84   | 0.47%             | 2029-10-22      | Fixed         | 14.00%                | Yes           |                  2 | On Loan: No      |
| APA Corp.                                              | APA Corp.                                                                         | CUSIP: 03743QAS7<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |   9300000 | PA      | $8139108.34   | 0.84%             | 2055-02-15      | Fixed         | 6.75%                 | Yes           |                  2 | On Loan: —       |
| Winston RE Ltd.                                        | Winston RE Ltd., Series A                                                         | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499050.00    | 0.05%             | 2028-02-21      | Floating      | 10.78%                | Yes           |                  2 | On Loan: No      |
| FloodSmart Re Ltd.                                     | FloodSmart Re Ltd., Series A                                                      | CUSIP: 33975CAM7<br>LEI: 549300KK1LNVFW95S875 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $492300.00    | 0.05%             | 2026-03-11      | Floating      | 21.43%                | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                         | BNP Paribas SA                                                                    | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   3170000 | PA      | $3246631.01   | 0.34%             | 2033-01-13      | Variable      | 5.79%                 | Yes           |                  2 | On Loan: —       |
| GS Mortgage Securities Corp. Trust                     | GS Mortgage Securities Corp. Trust, Series 2021-IP, Class D                       | CUSIP: 36262MAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    350000 | PA      | $345202.03    | 0.04%             | 2036-10-15      | Floating      | 6.54%                 | Yes           |                  2 | On Loan: No      |
| Eagle RE Ltd.                                          | Eagle RE Ltd., Series 2023-1, Class M1B                                           | CUSIP: 26982EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |   2060000 | PA      | $2111269.07   | 0.22%             | 2033-09-26      | Floating      | 8.30%                 | Yes           |                  2 | On Loan: No      |
| Baldwin Re Ltd.                                        | Baldwin Re Ltd., Series A                                                         | CUSIP: 05826BAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $249625.00    | 0.03%             | 2025-07-07      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| WOM Mobile SA                                          | WOM Mobile SA                                                                     | CUSIP: 97810LAA7<br>LEI: 549300T600VUO0QJ3063 | Long             | DBT              | CORP              | CL        |    328809 | PA      | $332097.09    | 0.03%             | 2031-04-01      | Variable      | 11.00%                | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    730000 | PA      | $738496.97    | 0.08%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                    | Euro-Bobl                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -7 | NC      | $-6294.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Westlake Automobile Receivables Trust                  | Westlake Automobile Receivables Trust, Series 2024-2A, Class D                    | CUSIP: 96042YAG8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2320000 | PA      | $2357725.98   | 0.24%             | 2030-04-15      | Fixed         | 5.91%                 | Yes           |                  2 | On Loan: No      |
| MF1                                                    | MF1, Series 2024-FL15, Class A                                                    | CUSIP: 58003MAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1800001.62   | 0.19%             | 2041-08-18      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Integrity Re Ltd.                                      | Integrity Re Ltd., Series B                                                       | CUSIP: 45833UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    250000 | PA      | $257725.00    | 0.03%             | 2026-06-06      | Floating      | 17.53%                | Yes           |                  2 | On Loan: No      |
| Tricida, Inc.                                          | Tricida, Inc.                                                                     | CUSIP: 896LIQAM6<br>LEI: 549300QVPFFJC8SZXG25 | Long             | DBT              | CORP              | US        |    715000 | PA      | $0.00         | 0.00%             | 2027-05-15      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| Golar LNG Ltd.                                         | Golar LNG Ltd.                                                                    | CUSIP: N/A<br>LEI: 213800C2VSFZG3EZLO34       | Long             | DBT              | CORP              | BM        |    346055 | PA      | $346095.16    | 0.04%             | 2025-10-20      | Fixed         | 7.00%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                  | FHLMC, Series 4395, Class TI                                                      | CUSIP: 3137BEX58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        75 | PA      | $0.71         | 0.00%             | 2026-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Tricida, Inc.                                          | Tricida, Inc.                                                                     | CUSIP: 896CPTAN0<br>LEI: 549300QVPFFJC8SZXG25 | Long             | DBT              | CORP              | US        |    715000 | PA      | $0.00         | 0.00%             | 2027-05-15      | Fixed         | 3.50%                 | No            |                  3 | On Loan: No      |
| UBS Commercial Mortgage Trust                          | UBS Commercial Mortgage Trust, Series 2017-C4, Class C                            | CUSIP: 90276RBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    810000 | PA      | $735369.35    | 0.08%             | 2050-10-15      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Sanders RE II Ltd.                                     | Sanders RE II Ltd., Series B-1                                                    | CUSIP: 80001TAC1<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |    400000 | PA      | $399600.00    | 0.04%             | 2028-04-07      | Floating      | 8.78%                 | Yes           |                  2 | On Loan: No      |
| Mona Lisa Re Ltd.                                      | Mona Lisa Re Ltd., Series A                                                       | CUSIP: 608800AE8<br>LEI: 549300R6SO6XBFDC7M25 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $500250.00    | 0.05%             | 2025-07-08      | Floating      | 11.28%                | Yes           |                  2 | On Loan: No      |
| FARM Mortgage Trust                                    | FARM Mortgage Trust, Series 2021-1, Class B                                       | CUSIP: 30768WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    284207 | PA      | $209443.60    | 0.02%             | 2051-07-25      | Variable      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| Foundry JV Holdco LLC                                  | Foundry JV Holdco LLC                                                             | CUSIP: 350930AE3<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    450000 | PA      | $471963.16    | 0.05%             | 2038-01-25      | Fixed         | 6.40%                 | Yes           |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                 | Harvest SBA Loan Trust, Series 2024-1, Class A                                    | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1540271 | PA      | $1548714.10   | 0.16%             | 2051-12-25      | Floating      | 6.68%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                    | U.S. Treasury 2 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        68 | NC      | $113989.31    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Citigroup, Inc.                                        | Citigroup, Inc.                                                                   | CUSIP: 172967PU9<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7250000 | PA      | $7269963.89   | 0.75%             | 2036-01-24      | Variable      | 6.02%                 | No            |                  2 | On Loan: —       |
| Queen Street 2023 RE DAC                               | Queen Street 2023 RE DAC, Series A                                                | CUSIP: 747977AA4<br>LEI: 635400VHHVVMXL5BJI05 | Long             | DBT              | CORP              | IE        |    750000 | PA      | $751650.00    | 0.08%             | 2025-12-08      | Floating      | 11.78%                | Yes           |                  2 | On Loan: No      |
| Bonanza RE Ltd.                                        | Bonanza RE Ltd., Series A                                                         | CUSIP: 09785EAK7<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $253625.00    | 0.03%             | 2026-01-08      | Floating      | 12.73%                | Yes           |                  2 | On Loan: No      |
| Residential Reinsurance 2021 Ltd.                      | Residential Reinsurance 2021 Ltd., Series 3                                       | CUSIP: 76114NAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    500000 | PA      | $487400.00    | 0.05%             | 2025-12-06      | Floating      | 10.33%                | Yes           |                  2 | On Loan: No      |
| Vitality Re XIV Ltd.                                   | Vitality Re XIV Ltd., Series A                                                    | CUSIP: 92851QAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |    500000 | PA      | $513050.00    | 0.05%             | 2027-01-05      | Floating      | 7.78%                 | Yes           |                  2 | On Loan: No      |
| UBS Group AG                                           | UBS Group AG                                                                      | CUSIP: 225401BG2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    365000 | PA      | $386428.51    | 0.04%             | 2034-09-22      | Variable      | 6.30%                 | Yes           |                  2 | On Loan: No      |
| Connecticut Avenue Securities Trust                    | Connecticut Avenue Securities Trust, Series 2024-R06, Class 1M2                   | CUSIP: 20755RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1990000 | PA      | $1986907.34   | 0.21%             | 2044-09-25      | Floating      | 5.95%                 | Yes           |                  2 | On Loan: No      |
| Gateway Re Ltd.                                        | Gateway Re Ltd., Series A                                                         | CUSIP: 36779CAA4<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $499500.00    | 0.05%             | 2025-05-12      | Floating      | 13.56%                | Yes           |                  2 | On Loan: No      |
| GLS Auto Receivables Issuer Trust                      | GLS Auto Receivables Issuer Trust, Series 2025-1A, Class E                        | CUSIP: 36271KAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2058136.08   | 0.21%             | 2032-03-15      | Fixed         | 7.19%                 | Yes           |                  2 | On Loan: No      |
| American Airlines, Inc.                                | American Airlines, Inc.                                                           | CUSIP: 00253XAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $184281.59    | 0.02%             | 2029-04-20      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| Palm RE Ltd.                                           | Palm RE Ltd., Series A                                                            | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $262275.00    | 0.03%             | 2027-06-07      | Floating      | 13.78%                | Yes           |                  2 | On Loan: No      |
| Radnor RE Ltd.                                         | Radnor RE Ltd., Series 2023-1, Class M1B                                          | CUSIP: 75050KAB2<br>LEI: 254900P3K895250PCC81 | Long             | ABS-MBS          | CORP              | BM        |    330000 | PA      | $340746.22    | 0.04%             | 2033-07-25      | Floating      | 8.70%                 | Yes           |                  2 | On Loan: No      |
| Ally Financial, Inc.                                   | Ally Financial, Inc.                                                              | CUSIP: 02005NBV1<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   1455000 | PA      | $1434713.44   | 0.15%             | 2035-07-26      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Montoya Re Ltd.                                        | Montoya Re Ltd., Series A                                                         | CUSIP: 613752AD6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    500000 | PA      | $494250.00    | 0.05%             | 2028-04-07      | Floating      | 10.04%                | Yes           |                  2 | On Loan: No      |
| KREF Ltd.                                              | KREF Ltd., Series 2022-FL3, Class A                                               | CUSIP: 48275EAA4<br>LEI: 549300DG0FGL1EU1CT79 | Long             | ABS-CBDO         | CORP              | KY        |   1839691 | PA      | $1835086.51   | 0.19%             | 2039-02-17      | Floating      | 5.77%                 | Yes           |                  2 | On Loan: No      |
| Armor RE II Ltd.                                       | Armor RE II Ltd., Series A                                                        | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $502150.00    | 0.05%             | 2028-01-07      | Floating      | 12.78%                | Yes           |                  2 | On Loan: No      |
| Mizuho Financial Group, Inc.                           | Mizuho Financial Group, Inc.                                                      | CUSIP: 60687YDJ5<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |   8390000 | PA      | $8416019.15   | 0.87%             | 2036-05-13      | Variable      | 5.42%                 | No            |                  2 | On Loan: —       |
| PRPM Trust                                             | PRPM Trust, Series 2023-NQM2, Class B1                                            | CUSIP: 74390KAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1228137.66   | 0.13%             | 2068-08-25      | Variable      | 6.96%                 | Yes           |                  2 | On Loan: No      |
| Sanders RE II Ltd.                                     | Sanders RE II Ltd., Series B                                                      | CUSIP: 80001RAB7<br>LEI: 254900VRQU0N0MF3CT92 | Long             | DBT              | CORP              | BM        |   2250000 | PA      | $2244375.00   | 0.23%             | 2029-04-07      | Floating      | 9.53%                 | Yes           |                  2 | On Loan: No      |
| Enbridge, Inc.                                         | Enbridge, Inc.                                                                    | CUSIP: 29250NCF0<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    490000 | PA      | $487029.38    | 0.05%             | 2054-06-27      | Variable      | 7.20%                 | No            |                  2 | On Loan: No      |
| Hypatia Ltd.                                           | Hypatia Ltd., Series A                                                            | CUSIP: 44914CAC0<br>LEI: 98450041F85DB4C2C372 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $259600.00    | 0.03%             | 2026-04-08      | Floating      | 14.79%                | Yes           |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Credit Risk               | FHLMC Multifamily Structured Credit Risk, Series 2021-MN3, Class M2               | CUSIP: 35563GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    815000 | PA      | $846508.80    | 0.09%             | 2051-11-25      | Floating      | 8.35%                 | Yes           |                  2 | On Loan: No      |
| FNMA or FHLMC                                          | UMBS, 30 Year, Single Family                                                      | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   9300000 | PA      | $9102990.85   | 0.94%             | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kinder Morgan, Inc.                                    | Kinder Morgan, Inc.                                                               | CUSIP: 49456BBC4<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |    590000 | PA      | $597364.65    | 0.06%             | 2035-06-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Farmers Insurance Exchange                             | Farmers Insurance Exchange                                                        | CUSIP: 309601AG7<br>LEI: 549300UWG2TLX1GZVT44 | Long             | DBT              | CORP              | US        |   1300000 | PA      | $1305978.70   | 0.14%             | 2064-10-15      | Variable      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                        | CSAIL Commercial Mortgage Trust, Series 2015-C4, Class D                          | CUSIP: 12635RBE7<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |    250000 | PA      | $241631.93    | 0.02%             | 2048-11-15      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| COLT Mortgage Loan Trust                               | COLT Mortgage Loan Trust, Series 2024-5, Class B1                                 | CUSIP: 19685AAE9<br>LEI: 213800AWBXHFGYDU9Q16 | Long             | ABS-MBS          | CORP              | US        |   3792000 | PA      | $3763109.13   | 0.39%             | 2069-08-25      | Variable      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Alamo Re Ltd.                                          | Alamo Re Ltd., Series A                                                           | CUSIP: 011395AN0<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $515850.00    | 0.05%             | 2027-06-07      | Floating      | 10.28%                | Yes           |                  2 | On Loan: No      |
| Homeward Opportunities Fund I Trust                    | Homeward Opportunities Fund I Trust, Series 2020-2, Class M1                      | CUSIP: 43789XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170000 | PA      | $165851.46    | 0.02%             | 2065-05-25      | Variable      | 3.90%                 | Yes           |                  2 | On Loan: No      |
| Santander Bank Auto Credit-Linked Notes                | Santander Bank Auto Credit-Linked Notes, Series 2022-A, Class D                   | CUSIP: 80290CAU8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1240000 | PA      | $1251625.00   | 0.13%             | 2032-05-15      | Fixed         | 9.96%                 | Yes           |                  2 | On Loan: No      |
| Veraison Re Ltd.                                       | Veraison Re Ltd., Series A                                                        | CUSIP: 92335TAC3<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |    500000 | PA      | $512400.00    | 0.05%             | 2027-03-08      | Floating      | 9.02%                 | Yes           |                  2 | On Loan: No      |
| Carnival Corp.                                         | Carnival Corp.                                                                    | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |   2595000 | PA      | $2579709.22   | 0.27%             | 2029-05-01      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Alpha Generation LLC                                   | Alpha Generation LLC, First Lien Term Loan B                                      | CUSIP: 02072UAC6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1572100 | PA      | $1570983.81   | 0.16%             | 2031-09-30      | Variable      | 7.07%                 | No            |                  2 | On Loan: No      |
| Garda World Security Corp.                             | Garda World Security Corp.                                                        | CUSIP: 36485MAP4<br>LEI: 549300ZF1NDXLMCHNO20 | Long             | DBT              | CORP              | CA        |   5820000 | PA      | $5740986.52   | 0.59%             | 2032-11-15      | Fixed         | 8.38%                 | Yes           |                  2 | On Loan: —       |
| Acuris Finance US, Inc.                                | Acuris Finance US, Inc.                                                           | CUSIP: 00511BAE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   3905000 | PA      | $3726834.38   | 0.39%             | 2029-08-01      | Fixed         | 9.00%                 | Yes           |                  2 | On Loan: —       |
| Bonanza RE Ltd.                                        | Bonanza RE Ltd., Series B                                                         | CUSIP: 09785EAP6<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |    250000 | PA      | $247125.00    | 0.03%             | 2027-12-19      | Floating      | 8.03%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-05-30

**Name of Applicant:** Nationwide Mutual Funds

**Signature:** David Majewski

**Name of Signer:** David Majewski

**Title:** Treasurer