# EDGAR Filing Document

**Accession Number:** 0000939934
**File Stem:** 0001752724-23-016930
**Filing Date:** 2023-1
**Character Count:** 233605
**Document Hash:** 0548f3fc4499d99af3c21a8800524257
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-016930.hdr.sgml**: 20230127

**ACCESSION NUMBER**: 0001752724-23-016930

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230127

**DATE AS OF CHANGE**: 20230127

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SEI INSTITUTIONAL INVESTMENTS TRUST
- **CENTRAL INDEX KEY:** 0000939934
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07257
- **FILM NUMBER:** 23564310

**BUSINESS ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456
- **BUSINESS PHONE:** 610 676-3097

**MAIL ADDRESS:**
- **STREET 1:** 1 FREEDOM VALLEY DRIVE
- **CITY:** OAK
- **STATE:** PA
- **ZIP:** 19456

## Series and Classes Contracts Data

### SIIT Limited Duration Bond Fund (Series ID: S000046099)

| Class ID   | Class Name                                | Ticker Symbol   |
|:---|:---|:---|
| C000144225 | SIIT Limited Duration Bond Fund - Class A | SLDBX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** SEI INSTITUTIONAL INVESTMENTS TRUST

- **b. Investment Company Act file number:** 811-07257

- **c. CIK number of Registrant:** 0000939934

- **d. LEI of Registrant:** 0N2JSH1PTH72JCCP2A88

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

  - **Street Address 1:** ONE FREEDOM VALLEY DRIVE

  - **City:** OAKS

  - **State:** PA

  - **Foreign country:** US

  - **Zip / Postal Code:** 19456

  - **Telephone number:** 8003425734

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

- **a. Name of Series:** SIIT LIMITED DURATION BOND FUND

- **b. EDGAR series identifier (if any):** S000046099

- **c. LEI of Series:** 54930044ZQT8QBJWLR55

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

- **a. Date of fiscal year-end:** 2023-05-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1674935965.30

**Total Liabilities:** $114416056.79

**Net Assets:** $1560519908.51

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3312.80756005 | **1-Year:** -104548.18375470 | **5-Year:** -85330.67368356 | **10-Year:** -43690.07971319 | **30-Year:** -12593.45278047

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

- **3-Month:** -676.42730230 | **1-Year:** -9958.96986374 | **5-Year:** -13321.87571962 | **10-Year:** -7564.49278325 | **30-Year:** -1932.15205077

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000144225 | 0.97%                | -0.22%               | -1.29%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2697987.48             | $14947511.03                               |
| Month 2  | $-8777678.62             | $827919.54                                 |
| Month 3  | $-4251323.99             | $-19982354.12                              |

**Designated Index Information**

- **Index Name:** BofA ML 1-3 Year Treasury Index (G1O2)

- **Index Identifier:** ML1-3YR

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 2990 LK                                                   | CUSIP: 31395V3H0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    652640 | PA      | $648430.37    | 0.04%             | 2034-10-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| DENVER COLO CITY & CNTY ARPT REV                        | DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE | CUSIP: 249182PL4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2865000 | PA      | $2673009.76   | 0.17%             | 2024-11-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | WELLS FARGO & CO 2.188000% 04/30/2026                                            | CUSIP: 95000U2N2<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   2145000 | PA      | $1997841.37   | 0.13%             | 2026-04-30      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-SMP WFCM 2017-SMP A                   | CUSIP: 95001CAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1125000 | PA      | $1092246.86   | 0.07%             | 2034-12-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES        | CD 2017-CD4 MORTGAGE TRUST CD 2017-CD4 ASB                                       | CUSIP: 12515DAP9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1867390 | PA      | $1779047.37   | 0.11%             | 2050-05-10      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                      | ORACLE CORP 1.650000% 03/25/2026                                                 | CUSIP: 68389XCC7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   1865000 | PA      | $1674001.97   | 0.11%             | 2026-03-25      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-B2 CGCMT 2018-B2 AAB                    | CUSIP: 17327FAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   6610000 | PA      | $6332151.29   | 0.41%             | 2051-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC.                           | THERMO FISHER SCIENTIFIC INC 1.215000% 10/18/2024                                | CUSIP: 883556CS9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   8780000 | PA      | $8215326.77   | 0.53%             | 2024-10-18      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD                                         | BARINGS CLO LTD 2018-III BABSN 2018-3A A1                                        | CUSIP: 06760PAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    467829 | PA      | $462358.43    | 0.03%             | 2029-07-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                             | BANK OF AMERICA CORP MTN 1.319000% 06/19/2026                                    | CUSIP: 06051GJD2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |  10315000 | PA      | $9307071.43   | 0.60%             | 2026-06-19      | Fixed         | 1.32%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN OWNER TRUST                           | FREMONT HOME LOAN TRUST 2005-E FHLT 2005-E 2A4                                   | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2626477 | PA      | $2398200.37   | 0.15%             | 2036-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K038 A1                  | CUSIP: 3137BBBC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     21489 | PA      | $21416.55     | 0.00%             | 2023-10-25      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF40 A                   | CUSIP: 3137FCP81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     43143 | PA      | $42688.41     | 0.00%             | 2027-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-111 NF                                                | CUSIP: 3136A9EW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    500826 | PA      | $491237.94    | 0.03%             | 2042-05-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                              | MADISON PARK FUNDING XVII LTD MDPK 2015-17A AR2                                  | CUSIP: 55818YBN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1982513 | PA      | $1944896.53   | 0.12%             | 2030-07-21      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST                            | SAXON ASSET SECURITIES TRUST 2006-3 SAST 2006-3 A3                               | CUSIP: 80556AAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1638981 | PA      | $1583675.02   | 0.10%             | 2046-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST                        | ONEMAIN FINANCIAL ISSUANCE TRUST 2020-A OMFIT 2020-1A A                          | CUSIP: 68269LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1812019 | PA      | $1794778.40   | 0.12%             | 2032-05-14      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ29 A1                  | CUSIP: 3137FTQW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    525386 | PA      | $498730.78    | 0.03%             | 2026-01-25      | Fixed         | 0.73%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2008-24 PF                                                 | CUSIP: 31397LAH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    111974 | PA      | $111932.64    | 0.01%             | 2038-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                     | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  13050000 | PA      | $10759113.22  | 0.69%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                         | SANTANDER UK GROUP HOLDINGS PLC 1.089000% 03/15/2025                             | CUSIP: 80281LAN5<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | NUSS              | GB        |    200000 | PA      | $185570.06    | 0.01%             | 2025-03-15      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)                                    | CUSIP: 01F0506C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  15575000 | PA      | $15497125.00  | 0.99%             | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DONLEN FLEET LEASE FUNDING 2                            | DONLEN FLEET LEASE FUNDING 2 LLC DFLF2 2021-2 B                                  | CUSIP: 257812AE7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3743000 | PA      | $3491895.98   | 0.22%             | 2034-12-11      | Fixed         | 0.98%                 | Yes           |                  2 | On Loan: No      |
| DBWF COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES      | DBWF 2018-GLKS MORTGAGE TRUST DBWF 2018-GLKS A                                   | CUSIP: 23307GAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1600000 | PA      | $1543820.96   | 0.10%             | 2030-12-19      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST                             | TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 B                            | CUSIP: 89613FAB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1545000 | PA      | $1490285.83   | 0.10%             | 2036-01-17      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERS INCOME TAX REV            | NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY                | CUSIP: 64990FD43<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6915000 | PA      | $6341841.24   | 0.41%             | 2025-03-15      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK 2017-BNK7 BANK 2017-BNK7 ASB                                                | CUSIP: 06541XAD2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2535159 | PA      | $2413585.22   | 0.15%             | 2060-09-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| OBX TRUST                                               | OBX 2022-NQM1 TRUST OBX 2022-NQM1 A1                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5780593 | PA      | $4844730.00   | 0.31%             | 2061-11-25      | Floating      | 2.31%                 | Yes           |                  2 | On Loan: No      |
| BSPRT ISSUER, LTD.                                      | BSPRT 2019-FL5 ISSUER LTD BSPRT 2019-FL5 A                                       | CUSIP: 05587TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    258968 | PA      | $255940.90    | 0.02%             | 2029-05-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 MA0757                                                     | CUSIP: 36179MZW3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |         0 | PA      | $0.01         | 0.00%             | 2028-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                         | PALMER SQUARE LOAN FUNDING 2021-2 LTD PSTAT 2021-2A A1                           | CUSIP: 69702DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1321343 | PA      | $1304394.38   | 0.08%             | 2029-05-20      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | CREDIT SUISSE GROUP AG 144A 6.442000% 08/11/2028                                 | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | NUSS              | CH        |   1340000 | PA      | $1215579.14   | 0.08%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-C41 WFCM 2017-C41 ASB                 | CUSIP: 95001ABB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1099976 | PA      | $1053300.36   | 0.07%             | 2050-11-15      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                  | SLM STUDENT LOAN TRUST 2013-2 SLMA 2013-2 A                                      | CUSIP: 78446CAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    994276 | PA      | $944717.60    | 0.06%             | 2043-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HCA INC.                                                | HCA INC 5.000000% 03/15/2024                                                     | CUSIP: 404119BN8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    610000 | PA      | $607545.43    | 0.04%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST            | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST AMXCA 2022-4 A                      | CUSIP: 02582JJX9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1900000 | PA      | $1909373.46   | 0.12%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | LLOYDS BANKING GROUP PLC 1.627000% 05/11/2027                                    | CUSIP: 53944YAP8<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | NUSS              | GB        |    620000 | PA      | $534257.06    | 0.03%             | 2027-05-11      | Fixed         | 1.63%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN MA4497                                                        | CUSIP: 31418D7K2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2266991 | PA      | $2045805.43   | 0.13%             | 2036-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 0.500000% 02/28/2026                                             | CUSIP: 91282CBQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  15230000 | PA      | $13598129.26  | 0.87%             | 2026-02-28      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-BNK1 WFCM 2016-BNK1 ASB               | CUSIP: 95000GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    656058 | PA      | $625357.14    | 0.04%             | 2049-08-15      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP JPMCC 2017-JP7 ASB            | CUSIP: 465968AF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5244428 | PA      | $4999104.25   | 0.32%             | 2050-09-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| BRIDGE DEBT STRATEGIES FUND MANAGER                     | BDS 2019-FL4 LTD BDS 2019-FL4 AS                                                 | CUSIP: 05492KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $985858.00    | 0.06%             | 2036-08-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| VOYA CLO                                                | VOYA CLO 2017-2 VOYA 2017-2A A1R                                                 | CUSIP: 92915UAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1873774 | PA      | $1842309.13   | 0.12%             | 2030-06-07      | Floating      | 5.06%                 | Yes           |                  2 | On Loan: No      |
| SEQUOIA INFRASTRUCTURE FUNDING LTD                      | SEQUOIA INFRASTRUCTURE FUNDING I LTD SEQI 2021-1A A                              | CUSIP: 81742LAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   3191319 | PA      | $3164243.81   | 0.20%             | 2031-04-15      | Floating      | 5.48%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-B NAVSL 2021-BA A                 | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2394167 | PA      | $2020735.47   | 0.13%             | 2069-07-15      | Fixed         | 0.94%                 | Yes           |                  2 | On Loan: No      |
| PACIFICORP                                              | PACIFICORP 3.600000% 04/01/2024                                                  | CUSIP: 695114CR7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |   7405000 | PA      | $7295405.56   | 0.47%             | 2024-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WHEELS SPV, LLC                                         | WHEELS SPV 2 LLC WHLS 2020-1A A3                                                 | CUSIP: 96328DBU7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4110000 | PA      | $3903181.10   | 0.25%             | 2029-08-20      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PARKER-HANNIFIN CORPORATION                             | PARKER-HANNIFIN CORP 3.650000% 06/15/2024                                        | CUSIP: 701094AQ7<br>LEI: 5493002CONDB4N2HKI23 | Long             | DBT              | CORP              | US        |  10840000 | PA      | $10596370.24  | 0.68%             | 2024-06-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                    | JPMORGAN CHASE & CO 2.595000% 02/24/2026                                         | CUSIP: 46647PCV6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    385000 | PA      | $363192.84    | 0.02%             | 2026-02-24      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORPORATION                                 | DUKE ENERGY CORP 3.750000% 04/15/2024                                            | CUSIP: 26441CAN5<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   7200000 | PA      | $7088933.88   | 0.45%             | 2024-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                             | BANK OF AMERICA CORP MTN 0.810000% 10/24/2024                                    | CUSIP: 06051GJH3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   9200000 | PA      | $8788191.99   | 0.56%             | 2024-10-24      | Fixed         | 0.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF34 A                   | CUSIP: 3137FARP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    156224 | PA      | $155687.65    | 0.01%             | 2024-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK 2018-BNK14 BANK 2018-BN14 A2                                                | CUSIP: 06035RAP1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    425445 | PA      | $417297.96    | 0.03%             | 2060-09-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| ILLUMINA, INC.                                          | ILLUMINA INC 5.800000% 12/12/2025                                                | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | NUSS              | US        |   1200000 | PA      | $1206443.34   | 0.08%             | 2025-12-12      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| LCM LIMITED PARTNERSHIP                                 | LCM XXI LP LCM 21A AR                                                            | CUSIP: 50189CAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1037867 | PA      | $1028802.93   | 0.07%             | 2028-04-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 0.125000% 12/15/2023                                             | CUSIP: 91282CBA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  70500000 | PA      | $67214590.02  | 4.31%             | 2023-12-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AMMC CLO LIMITED                                        | AMMC CLO XIII LTD AMMC 2013-13A A1R2                                             | CUSIP: 00176DAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1089525 | PA      | $1076652.02   | 0.07%             | 2029-07-24      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                     | PFS FINANCING CORP PFSFC 2020-E A                                                | CUSIP: 69335PDT9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    921000 | PA      | $881736.66    | 0.06%             | 2025-10-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ31 A1                  | CUSIP: 3137F62S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    612441 | PA      | $587026.28    | 0.04%             | 2026-05-25      | Fixed         | 0.57%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                      | METROPOLITAN LIFE GLOBAL FUNDING I 144A 3.450000% 12/18/2026                     | CUSIP: 59217GBY4<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |   2500000 | PA      | $2346803.33   | 0.15%             | 2026-12-18      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                    | FREMF 2014-K37 MORTGAGE TRUST FREMF 2014-K37 B                                   | CUSIP: 35563BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $979203.40    | 0.06%             | 2047-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BANQUE CANADIENNE IMPERIALE DE COMMERCE                 | CANADIAN IMPERIAL BANK OF COMMERCE 3.300000% 04/07/2025                          | CUSIP: 13607HR46<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | NUSS              | CA        |  10660000 | PA      | $10271579.13  | 0.66%             | 2025-04-07      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                    | FREMF 2013-K35 MORTGAGE TRUST FREMF 2013-K35 B                                   | CUSIP: 30291VAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3175000 | PA      | $3123665.97   | 0.20%             | 2046-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US 2YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       320 | NC      | $65715000.00  | 4.21%             |  |  |  | No            |                  1 | On Loan: No      |
| C-BASS MORTGAGE LOAN ASSET-BACKED CERTIFICATES          | CREDIT-BASED ASSET SERVICING AND SECURITIZATION LL CBASS 2005-CB3 M3             | CUSIP: 12489WLG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    260776 | PA      | $258023.41    | 0.02%             | 2035-06-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| CSAIL COMMERCIAL MORTGAGE TRUST                         | CSAIL 2016-C5 COMMERCIAL MORTGAGE TRUST CSAIL 2016-C5 ASB                        | CUSIP: 12636LAZ3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     31142 | PA      | $30084.33     | 0.00%             | 2048-11-15      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                         | SANTANDER UK GROUP HOLDINGS PLC 4.796000% 11/15/2024                             | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | NUSS              | GB        |    410000 | PA      | $402317.44    | 0.03%             | 2024-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS, INC.               | RAMP SERIES 2006-NC2 TRUST RAMP 2006-NC2 A3                                      | CUSIP: 75156TAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    289538 | PA      | $287095.61    | 0.02%             | 2036-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| NETFLIX, INC.                                           | NETFLIX INC 5.875000% 02/15/2025                                                 | CUSIP: 64110LAL0<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    915000 | PA      | $924265.69    | 0.06%             | 2025-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                      | BANK OF MONTREAL MTN 2.150000% 03/08/2024                                        | CUSIP: 06368FAG4<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |  10780000 | PA      | $10417173.98  | 0.67%             | 2024-03-08      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| TRINITY ACQUISITION PLC                                 | TRINITY ACQUISITION PLC 4.625000% 08/15/2023                                     | CUSIP: 89641UAA9<br>LEI: 549300FJZWZN6MJNGB63 | Long             | DBT              | NUSS              | US        |    860000 | PA      | $852548.39    | 0.05%             | 2023-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT FLOORPLAN MASTER OWNER TRUST A              | FORD CREDIT FLOORPLAN MASTER OWNER TRUST A FORDF 2019-4 A                        | CUSIP: 34528QHF4<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-MBS          |  | US        |  12000000 | PA      | $11403679.20  | 0.73%             | 2026-09-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I, INC.                      | MORGAN STANLEY ABS CAPITAL I INC TRUST 2006-NC3 MSAC 2006-NC3 A2D                | CUSIP: 61744CZD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    562711 | PA      | $532271.56    | 0.03%             | 2036-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C21 ASB            | CUSIP: 46642EAZ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    560787 | PA      | $549171.81    | 0.04%             | 2047-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                      | T-MOBILE USA INC 3.750000% 04/15/2027                                            | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    640000 | PA      | $606244.79    | 0.04%             | 2027-04-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-G NAVSL 2020-GA A                 | CUSIP: 63941UAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2361319 | PA      | $2078041.17   | 0.13%             | 2069-09-16      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3946 FG                                                   | CUSIP: 3137AGJL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      3828 | PA      | $3827.42      | 0.00%             | 2039-10-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2019-1 AMCAR 2019-1 D                   | CUSIP: 03066GAG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2375000 | PA      | $2326918.13   | 0.15%             | 2025-03-18      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| DNB BANK ASA                                            | DNB BANK ASA 144A 0.856000% 09/30/2025                                           | CUSIP: 25601B2A2<br>LEI: 549300GKFG0RYRRQ1414 | Long             | DBT              | NUSS              | NO        |   1405000 | PA      | $1289406.59   | 0.08%             | 2025-09-30      | Fixed         | 0.86%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LIMITED                                 | MACQUARIE GROUP LTD 144A 1.340000% 01/12/2027                                    | CUSIP: 55608JAR9<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | NUSS              | AU        |    705000 | PA      | $609573.96    | 0.04%             | 2027-01-12      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C28 WFCM 2015-C28 A3                  | CUSIP: 94989JAY2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2052430 | PA      | $1946314.11   | 0.12%             | 2048-05-15      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY MTN 0.791000% 01/22/2025                                          | CUSIP: 61747YEB7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    725000 | PA      | $681875.19    | 0.04%             | 2025-01-22      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORPORATION                | RASC SERIES 2006-KS6 TRUST RASC 2006-KS6 A4                                      | CUSIP: 75406WAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     13573 | PA      | $13551.06     | 0.00%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 0.500000% 03/31/2025                                             | CUSIP: 912828ZF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  41535000 | PA      | $38161903.61  | 2.45%             | 2025-03-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD.                         | PALMER SQUARE LOAN FUNDING 2020-1 LTD PSTAT 2020-1A A1                           | CUSIP: 69701EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    355911 | PA      | $352143.01    | 0.02%             | 2028-02-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                 | BAYER US FINANCE II LLC 144A 4.250000% 12/15/2025                                | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | DE        |    580000 | PA      | $562459.87    | 0.04%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES L.P.                                    | VICI PROPERTIES LP / VICI NOTE CO INC 144A 4.250000% 12/01/2026                  | CUSIP: 92564RAA3<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    245000 | PA      | $227894.28    | 0.01%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE TRUST | BANK OF AMERICA MERRILL LYNCH COMMERCIAL MORTGAGE BACM 2017-BNK3 ASB             | CUSIP: 06427DAQ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1282553 | PA      | $1233727.65   | 0.08%             | 2050-02-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-159 D                          | CUSIP: 38376GYM6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    759250 | PA      | $734348.98    | 0.05%             | 2044-09-16      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST               | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA A4                | CUSIP: 802830AK5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |         0 | PA      | $0.05         | 0.00%             | 2025-04-15      | Fixed         | 0.54%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST                           | MILL CITY MORTGAGE LOAN TRUST 2021-NMR1 MCMLT 2021-NMR1 A1                       | CUSIP: 59982HAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2593109 | PA      | $2385249.27   | 0.15%             | 2060-11-25      | Floating      | 1.12%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF38 A                   | CUSIP: 3137FBUC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    308545 | PA      | $307287.39    | 0.02%             | 2024-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                | LLOYDS BANKING GROUP PLC 4.716000% 08/11/2026                                    | CUSIP: 53944YAT0<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | NUSS              | GB        |   2190000 | PA      | $2124766.38   | 0.14%             | 2026-08-11      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                             | BBCMS 2020-BID MORTGAGE TRUST BBCMS 2020-BID A                                   | CUSIP: 05493BAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $969397.50    | 0.06%             | 2037-10-15      | Floating      | 6.01%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (JANUARY)                                     | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  14000000 | PA      | $11985859.48  | 0.77%             | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                      | T-MOBILE USA INC 2.250000% 02/15/2026                                            | CUSIP: 87264ABR5<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    705000 | PA      | $645513.89    | 0.04%             | 2026-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2015-C26 ASB            | CUSIP: 61690VAW8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    433934 | PA      | $420323.43    | 0.03%             | 2048-10-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 2.125000% 05/15/2025                                             | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   6000000 | PA      | $5708906.28   | 0.37%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                  | SLM STUDENT LOAN TRUST 2005-5 SLMA 2005-5 A4                                     | CUSIP: 78442GPQ3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    270901 | PA      | $269023.24    | 0.02%             | 2028-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C18 ASB            | CUSIP: 61763XAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    237708 | PA      | $233536.48    | 0.01%             | 2047-10-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3102 FB                                                   | CUSIP: 31396H5M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    252600 | PA      | $251166.61    | 0.02%             | 2036-01-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC NON GOLD POOL FH 1Q0268                                              | CUSIP: 3128S4JM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |      4718 | PA      | $4629.17      | 0.00%             | 2037-03-01      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3136 KF                                                   | CUSIP: 31396NGS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    266396 | PA      | $263810.38    | 0.02%             | 2036-04-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP.                            | GSAA HOME EQUITY TRUST 2007-8 GSAA 2007-8 A3                                     | CUSIP: 38144RAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    464891 | PA      | $446508.01    | 0.03%             | 2037-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3774 EW                                                   | CUSIP: 3137A3WT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    164623 | PA      | $161131.54    | 0.01%             | 2025-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES L.P.                                    | VICI PROPERTIES LP / VICI NOTE CO INC 144A 5.625000% 05/01/2024                  | CUSIP: 92564RAF2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    125000 | PA      | $123792.35    | 0.01%             | 2024-05-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                             | NATIONWIDE BUILDING SOCIETY 144A 3.766000% 03/08/2024                            | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | NUSS              | GB        |    350000 | PA      | $347201.23    | 0.02%             | 2024-03-08      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST            | AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2020- ACAR 2020-3 D                 | CUSIP: 025297AD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2460000 | PA      | $2376914.73   | 0.15%             | 2026-06-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION                 | STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRU SASC 2005-WF2 M1              | CUSIP: 86359DDB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    105576 | PA      | $104679.25    | 0.01%             | 2035-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CAMDEN PROPERTY TRUST                                   | CAMDEN PROPERTY TRUST 2.950000% 12/15/2022                                       | CUSIP: 133131AT9<br>LEI: 5493002MYX22OHYJBD89 | Long             | DBT              | CORP              | US        |   1490000 | PA      | $1488703.70   | 0.10%             | 2022-12-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| LSTAR COMMERCIAL MORTGAGE TRUST                         | LSTAR COMMERCIAL MORTGAGE TRUST 2016-4 LNSTR 2016-4 A2                           | CUSIP: 50219QAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2752100 | PA      | $2739873.97   | 0.18%             | 2049-03-10      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV             | NEW YORK CITY NY TRANSITIONAL NEW YORK CITY TRANSITIONAL FINANCE AUTHORITY FUTUR | CUSIP: 64971XMF2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    820000 | PA      | $747151.94    | 0.05%             | 2026-11-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| LHOME MORTGAGE TRUST                                    | LHOME MORTGAGE TRUST 2021-RTL3 LHOME 2021-RTL3 A1                                | CUSIP: 50203RAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2500000 | PA      | $2316742.25   | 0.15%             | 2026-09-25      | Fixed         | 2.36%                 | Yes           |                  2 | On Loan: No      |
| JBS USA Lux S.A.                                        | JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE 3.000000% 02/02/2029          | CUSIP: 46590XAF3<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | NUSS              | US        |   1025000 | PA      | $859794.56    | 0.06%             | 2029-02-02      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                     | PFS FINANCING CORP PFSFC 2021-A A                                                | CUSIP: 69335PDZ5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1350000 | PA      | $1264530.56   | 0.08%             | 2026-04-15      | Fixed         | 0.71%                 | Yes           |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FLA AVIATION REV                        | MIAMI-DADE CNTY FL AVIATION RE COUNTY OF MIAMI-DADE FL AVIATION REVENUE          | CUSIP: 59333P6A1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    370000 | PA      | $334582.79    | 0.02%             | 2025-10-01      | Fixed         | 1.23%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                              | FLAGSHIP CREDIT AUTO TRUST 2019-4 FCAT 2019-4 D                                  | CUSIP: 33845FAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2450000 | PA      | $2320476.34   | 0.15%             | 2026-01-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC                       | CITIGROUP MORTGAGE LOAN TRUST 2006-AMC1 CMLTI 2006-AMC1 A1                       | CUSIP: 17309PAS5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1932020 | PA      | $1829854.90   | 0.12%             | 2036-09-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                     | COMMONSPIRIT HEALTH 1.547000% 10/01/2025                                         | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |  10550000 | PA      | $9481257.04   | 0.61%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                  | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2021-4 SDART 2021-4 B                     | CUSIP: 80285VAD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1560000 | PA      | $1517898.88   | 0.10%             | 2026-06-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| PFS FINANCING CORP.                                     | PFS FINANCING CORP PFSFC 2022-B A                                                | CUSIP: 69335PEH4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2400000 | PA      | $2373180.48   | 0.15%             | 2026-02-15      | Floating      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                   | ATHENE GLOBAL FUNDING 144A VARIABLE RATE 05/24/2024                              | CUSIP: 04685A2X8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    920000 | PA      | $902298.45    | 0.06%             | 2024-05-24      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY, INC.                   | AMERICAN ELECTRIC POWER CO INC 2.031000% 03/15/2024                              | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   1325000 | PA      | $1273165.83   | 0.08%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY, INC.                   | AMERICAN ELECTRIC POWER CO INC 2.031000% 03/15/2024                              | CUSIP: 025537AK7<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |   4470000 | PA      | $4295133.02   | 0.28%             | 2024-03-15      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2005-83 FP                                                 | CUSIP: 31394FUN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    574822 | PA      | $566338.15    | 0.04%             | 2035-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ30 A1                  | CUSIP: 3137FUZN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    655476 | PA      | $637747.38    | 0.04%             | 2025-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| STACK INFRASTRUCTURE ISSUER, LLC                        | STACK INFRASTRUCTURE ISSUER LLC SIDC 2020-1A A2                                  | CUSIP: 85236KAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $883214.60    | 0.06%             | 2045-08-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST 2018-GS9 GSMS 2018-GS9 A2                           | CUSIP: 36255NAR6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    770601 | PA      | $769585.84    | 0.05%             | 2051-03-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                             | BANK OF AMERICA CORP MTN 3.593000% 07/21/2028                                    | CUSIP: 06051GGR4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    465000 | PA      | $431134.18    | 0.03%             | 2028-07-21      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL, INC.                              | COREBRIDGE FINANCIAL INC 144A 3.500000% 04/04/2025                               | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   6190000 | PA      | $5927664.64   | 0.38%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT CGCMT 2019-SMRT A                  | CUSIP: 29429MAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1115000 | PA      | $1084315.31   | 0.07%             | 2036-01-10      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                       | HSBC HOLDINGS PLC 0.976000% 05/24/2025                                           | CUSIP: 404280CS6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | NUSS              | GB        |   5000000 | PA      | $4599478.65   | 0.29%             | 2025-05-24      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF86 AL                  | CUSIP: 3137FXLS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    453992 | PA      | $445460.91    | 0.03%             | 2027-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                               | TOWD POINT MORTGAGE TRUST 2021-SJ1 TPMT 2021-SJ1 A1                              | CUSIP: 89180FCD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    982265 | PA      | $919873.65    | 0.06%             | 2068-07-25      | Floating      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2013-CCRE11 MORTGAGE TRUST COMM 2013-CR11 ASB                               | CUSIP: 12626LAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     69252 | PA      | $68779.61     | 0.00%             | 2050-08-10      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICIATES   | WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 200 WAMU 2005-AR15 A1A1           | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    946378 | PA      | $838174.19    | 0.05%             | 2045-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST                      | FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2006-FF1 FFML 2006-FF18 A1             | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2010682 | PA      | $1843410.28   | 0.12%             | 2037-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURITIZATION CORPORATION TRUST              | HSI ASSET SECURITIZATION CORP TRUST 2006-OPT1 HASC 2006-OPT1 M1                  | CUSIP: 40430HDE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    806988 | PA      | $795506.13    | 0.05%             | 2035-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| THE FEDERAL HOME LOAN BANKS                             | FEDERAL HOME LOAN BANK 2.200000% 02/28/2025                                      | CUSIP: 3130AR2C4<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   7815000 | PA      | $7410971.22   | 0.47%             | 2025-02-28      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 3.250000% 06/30/2027                                             | CUSIP: 91282CEW7<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  23460000 | PA      | $22849673.55  | 1.46%             | 2027-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                  | SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 5.152000% 03/20/2028          | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1000000 | PA      | $984350.98    | 0.06%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Amcor Flexibles North America, Inc                      | AMCOR FLEXIBLES NORTH AMERICA INC 4.000000% 05/17/2025                           | CUSIP: 02343JAA8<br>LEI: PTVU09TE3QPJPL7K4E13 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1131040.04   | 0.07%             | 2025-05-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                         | AVOLON HOLDINGS FUNDING LTD 144A 2.750000% 02/21/2028                            | CUSIP: 05401AAP6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | NUSS              | IE        |    580000 | PA      | $466969.86    | 0.03%             | 2028-02-21      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| PORT AUTH N Y & N J                                     | PORT AUTH OF NEW YORK & NEW JE PORT AUTHORITY OF NEW YORK & NEW JERSEY           | CUSIP: 73358W4V3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |  11480000 | PA      | $11224511.45  | 0.72%             | 2023-07-01      | Fixed         | 1.09%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                  | SLM STUDENT LOAN TRUST 2005-4 SLMA 2005-4 A3                                     | CUSIP: 78442GPG5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    143920 | PA      | $143495.69    | 0.01%             | 2027-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| THE GOLDMAN SACHS GROUP, INC.                           | GOLDMAN SACHS GROUP INC/THE 0.925000% 10/21/2024                                 | CUSIP: 38141GYL2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |  13525000 | PA      | $12899640.11  | 0.83%             | 2024-10-21      | Fixed         | 0.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 5276                                                       | CUSIP: 36202F2H8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    758565 | PA      | $734171.46    | 0.05%             | 2027-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                          | CITIGROUP INC 3.290000% 03/17/2026                                               | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1645000 | PA      | $1563572.22   | 0.10%             | 2026-03-17      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company      | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 2.450000% 10/29/2026          | CUSIP: 00774MAV7<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    255000 | PA      | $224220.33    | 0.01%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                 | CF HIPPOLYTA ISSUER LLC SORT 2020-1 A1                                           | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1097234 | PA      | $971183.71    | 0.06%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| BANQUE ROYALE DU CANADA                                 | ROYAL BANK OF CANADA MTN 1.600000% 01/21/2025                                    | CUSIP: 78016EYM3<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | NUSS              | CA        |  11675000 | PA      | $10904193.15  | 0.70%             | 2025-01-21      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| Nationwide Building Society                             | NATIONWIDE BUILDING SOCIETY 144A 0.550000% 01/22/2024                            | CUSIP: 63859UBG7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | NUSS              | GB        |   9170000 | PA      | $8688589.12   | 0.56%             | 2024-01-22      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| MF1 LTD                                                 | MF1 2020-FL4 LTD MF1 2020-FL4 A                                                  | CUSIP: 58003UAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    644472 | PA      | $632403.35    | 0.04%             | 2035-11-15      | Floating      | 5.68%                 | Yes           |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                   | DOMINION ENERGY INC 144A 2.450000% 01/15/2023                                    | CUSIP: 25746UDC0<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    500000 | PA      | $497573.84    | 0.03%             | 2023-01-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC                             | IMPERIAL BRANDS FINANCE PLC 144A 4.250000% 07/21/2025                            | CUSIP: 453140AF2<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | NUSS              | GB        |   1035000 | PA      | $987953.28    | 0.06%             | 2025-07-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PHEAA STUDENT LOAN TRUST I                              | PHEAA STUDENT LOAN TRUST 2016-1 PHEAA 2016-1A A                                  | CUSIP: 69343FAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1063130 | PA      | $1048323.02   | 0.07%             | 2065-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PARK AEROSPACE HOLDINGS LIMITED                         | PARK AEROSPACE HOLDINGS LTD 144A 4.500000% 03/15/2023                            | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | NUSS              | IE        |    170000 | PA      | $169154.33    | 0.01%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C32 WFCM 2016-C32 ASB                 | CUSIP: 94989YBA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1428240 | PA      | $1380529.61   | 0.09%             | 2059-01-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES INC                | BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-2 BSABS 2006-2 M5                | CUSIP: 07388FAH6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1648124 | PA      | $1635766.26   | 0.10%             | 2036-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| COMPAGNIE DE CHEMIN DE FER CANADIEN PACIFIQUE           | CANADIAN PACIFIC RAILWAY CO 1.350000% 12/02/2024                                 | CUSIP: 13645RBD5<br>LEI: 54930036474DURYNB481 | Long             | DBT              | NUSS              | CA        |    910000 | PA      | $847397.16    | 0.05%             | 2024-12-02      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| STACK INFRASTRUCTURE ISSUER, LLC                        | STACK INFRASTRUCTURE ISSUER LLC SIDC 2019-2A A2                                  | CUSIP: 85236KAC6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    740000 | PA      | $701157.40    | 0.04%             | 2044-10-25      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC                                  | SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC 4.738000% 03/20/2025          | CUSIP: 85208NAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1031250 | PA      | $1018050.39   | 0.07%             | 2025-03-20      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES, INC.            | FIDELITY NATIONAL INFORMATION SERVICES INC 4.500000% 07/15/2025                  | CUSIP: 31620MBV7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    945000 | PA      | $931100.80    | 0.06%             | 2025-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                               | TOWD POINT MORTGAGE TRUST SERIES: 2021-1  CLASS: A1                              | CUSIP: 89179YAR4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1884914 | PA      | $1675585.69   | 0.11%             | 2061-11-25      | Floating      | 2.25%                 | Yes           |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                | AMERICAN EXPRESS CO 2.250000% 03/04/2025                                         | CUSIP: 025816CQ0<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |   2485000 | PA      | $2347522.64   | 0.15%             | 2025-03-04      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                           | UBS COMMERCIAL MORTGAGE TRUST 2018-C12 UBSCM 2018-C12 A2                         | CUSIP: 90353DAV7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1596512 | PA      | $1576569.98   | 0.10%             | 2051-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | ENERGY TRANSFER LP 4.250000% 04/01/2024                                          | CUSIP: 86765BAN9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    250000 | PA      | $245013.43    | 0.02%             | 2024-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                            | BX COMMERCIAL MORTGAGE TRUST 2020-VKNG BX 2020-VKNG A                            | CUSIP: 12433YAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1145776 | PA      | $1108535.67   | 0.07%             | 2037-10-15      | Floating      | 4.81%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST               | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA B                 | CUSIP: 802830AN9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4710000 | PA      | $4586798.18   | 0.29%             | 2025-12-15      | Fixed         | 0.77%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRISE GROUP INCORPORATED            | PUBLIC SERVICE ENTERPRISE GROUP INC 2.875000% 06/15/2024                         | CUSIP: 744573AN6<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |   2825000 | PA      | $2727135.70   | 0.17%             | 2024-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BM4154                                                        | CUSIP: 3140J8TL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1456932 | PA      | $1391332.86   | 0.09%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TAKE-TWO INTERACTIVE SOFTWARE, INC.                     | TAKE-TWO INTERACTIVE SOFTWARE INC 3.300000% 03/28/2024                           | CUSIP: 874054AE9<br>LEI: BOMSTHHJK882EWYX3334 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1109688.77   | 0.07%             | 2024-03-28      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| HOUSTON GALLERIA MALL TRUST                             | HOUSTON GALLERIA MALL TRUST 2015-HGLR HGMT 2015-HGLR A1A1                        | CUSIP: 44217NAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $919809.50    | 0.06%             | 2037-03-05      | Fixed         | 3.09%                 | No            |                  2 | On Loan: No      |
| REESE PARK CLO LIMITED                                  | REESE PARK CLO LTD RESPK 2020-1A XR                                              | CUSIP: 758465AY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1100000 | PA      | $1099587.50   | 0.07%             | 2034-10-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2014-157 C                          | CUSIP: 38378XUK5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1172448 | PA      | $1139645.37   | 0.07%             | 2054-10-16      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN, INC.                                          | 7-ELEVEN INC 144A 0.800000% 02/10/2024                                           | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |  12395000 | PA      | $11759501.53  | 0.75%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| CIT MORTGAGE LOAN TRUST                                 | CIT MORTGAGE LOAN TRUST 2007-1 CITM 2007-1 1A                                    | CUSIP: 12559QAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    142204 | PA      | $141137.58    | 0.01%             | 2037-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Dominion Energy, Inc.                                   | DOMINION ENERGY INC 3.300000% 03/15/2025                                         | CUSIP: 25746UDE6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |   1570000 | PA      | $1509457.83   | 0.10%             | 2025-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BX TRUST                                                | BX TRUST 2021-SDMF BX 2021-SDMF A                                                | CUSIP: 12434CAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1921000 | PA      | $1830712.81   | 0.12%             | 2034-09-15      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| GSAMP TRUST                                             | GSAMP TRUST 2006-HE3 GSAMP 2006-HE3 A2C                                          | CUSIP: 36244KAD7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     22412 | PA      | $22347.28     | 0.00%             | 2046-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST                           | BANC OF AMERICA FUNDING 2014-R6 TRUST BAFC 2014-R6 2A13                          | CUSIP: 05969KBB8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2374454 | PA      | $2266286.50   | 0.15%             | 2036-07-26      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                               | TOWD POINT MORTGAGE TRUST 2020-4 TPMT 2020-4 A1                                  | CUSIP: 89179JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1285011 | PA      | $1130960.77   | 0.07%             | 2060-10-25      | Fixed         | 1.75%                 | Yes           |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2013-CCRE9 MORTGAGE TRUST COMM 2013-CR9 ASB                                 | CUSIP: 12625UBA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    166957 | PA      | $166107.03    | 0.01%             | 2045-07-10      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO, LIMITED                                  | MAGNETITE XVI LTD MAGNE 2015-16A AR                                              | CUSIP: 55953RAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    546642 | PA      | $541961.30    | 0.03%             | 2028-01-18      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ITC HOLDINGS CORP.                                      | ITC HOLDINGS CORP 144A 4.950000% 09/22/2027                                      | CUSIP: 465685AR6<br>LEI: 549300HTO5U9D3SLE207 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $993292.51    | 0.06%             | 2027-09-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC.                                    | GLOBAL PAYMENTS INC 4.950000% 08/15/2027                                         | CUSIP: 37940XAP7<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |   1460000 | PA      | $1419691.50   | 0.09%             | 2027-08-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                       | CAPITAL ONE FINANCIAL CORP 2.636000% 03/03/2026                                  | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    995000 | PA      | $927882.55    | 0.06%             | 2026-03-03      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                              | MADISON PARK FUNDING LII LTD MDPK 2021-52A X                                     | CUSIP: 55822BAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2105263 | PA      | $2103875.78   | 0.13%             | 2035-01-22      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-G NAVSL 2019-GA A                 | CUSIP: 63941JAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5670242 | PA      | $5183037.16   | 0.33%             | 2068-10-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2013-C13 ASB            | CUSIP: 61763BAS3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     79511 | PA      | $78821.86     | 0.01%             | 2046-11-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK 2020-B19 MORTGAGE TRUST BMARK 2020-B19 A1                              | CUSIP: 08162WAY2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    458282 | PA      | $430857.63    | 0.03%             | 2053-09-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| PERKINELMER, INC.                                       | PERKINELMER INC 0.850000% 09/15/2024                                             | CUSIP: 714046AL3<br>LEI: 549300IKL1SDPFI7N655 | Long             | DBT              | CORP              | US        |   1170000 | PA      | $1081205.47   | 0.07%             | 2024-09-15      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-H NAVSL 2020-HA A                 | CUSIP: 63935BAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2246027 | PA      | $2015202.90   | 0.13%             | 2069-01-15      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                   | ATHENE GLOBAL FUNDING 144A 2.514000% 03/08/2024                                  | CUSIP: 04685A3J8<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    575000 | PA      | $550527.89    | 0.04%             | 2024-03-08      | Fixed         | 2.51%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                              | NAVIENT STUDENT LOAN TRUST 2017-2 NAVSL 2017-2A A                                | CUSIP: 63939RAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    655520 | PA      | $640916.46    | 0.04%             | 2066-12-27      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| B.A.T CAPITAL CORPORATION                               | BAT CAPITAL CORP 3.557000% 08/15/2027                                            | CUSIP: 05526DBB0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | GB        |    895000 | PA      | $816363.59    | 0.05%             | 2027-08-15      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| MASTER CREDIT CARD TRUST II                             | MASTER CREDIT CARD TRUST MCCT 2021-1A B                                          | CUSIP: 576339CK9<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |    550000 | PA      | $511737.93    | 0.03%             | 2025-11-21      | Fixed         | 0.79%                 | Yes           |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE ACQUISITION CORPORATION            | JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH4 JPMAC 2007-CH4 M1                  | CUSIP: 46630CAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3000000 | PA      | $2833898.10   | 0.18%             | 2037-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                       | EVERSOURCE ENERGY 4.200000% 06/27/2024                                           | CUSIP: 30040WAS7<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |  11020000 | PA      | $10868804.06  | 0.70%             | 2024-06-27      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                         | WFRBS COMMERCIAL MORTGAGE TRUST 2013-C18 WFRBS 2013-C18 A4                       | CUSIP: 96221QAD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    978687 | PA      | $954723.42    | 0.06%             | 2046-12-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | CREDIT SUISSE GROUP AG 144A 3.869000% 01/12/2029                                 | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | NUSS              | CH        |    770000 | PA      | $615022.88    | 0.04%             | 2029-01-12      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| MICHIGAN FIN AUTH REV                                   | MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY                          | CUSIP: 59447TA60<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2730000 | PA      | $2643627.71   | 0.17%             | 2023-10-01      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2013-CCRE8 MORTGAGE TRUST COMM 2013-CR8 AM                                  | CUSIP: 12625KAL9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    750000 | PA      | $740688.38    | 0.05%             | 2046-06-10      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| NELNET PRIVATE EDUCATION LOAN TRUST                     | NELNET STUDENT LOAN TRUST 2021-A NSLT 2021-A APT1                                | CUSIP: 64035DAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   6549617 | PA      | $5769685.03   | 0.37%             | 2062-04-20      | Fixed         | 1.36%                 | Yes           |                  2 | On Loan: No      |
| CSMC MORTGAGE BACKED TRUST                              | CSMC SERIES 2014-6R CSMC 2014-6R 15A2                                            | CUSIP: 12648PEN3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1175793 | PA      | $1114849.43   | 0.07%             | 2036-11-27      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM3935                                                        | CUSIP: 3140X7LR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2148098 | PA      | $2034201.79   | 0.13%             | 2034-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BERRY GLOBAL, INC.                                      | BERRY GLOBAL INC 0.950000% 02/15/2024                                            | CUSIP: 08576PAG6<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1343622.45   | 0.09%             | 2024-02-15      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                      | ORACLE CORP 5.800000% 11/10/2025                                                 | CUSIP: 68389XCF0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    660000 | PA      | $676037.06    | 0.04%             | 2025-11-10      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST 2013-GCJ14 GSMS 2013-GC14 AAB                       | CUSIP: 36198FAF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    132688 | PA      | $132023.83    | 0.01%             | 2046-08-10      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                  | SLM STUDENT LOAN TRUST 2003-11 SLMA 2003-11 A6                                   | CUSIP: 78442GJS6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     31014 | PA      | $31002.41     | 0.00%             | 2025-12-15      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK 2020-BNK28 BANK 2020-BN28 A1                                                | CUSIP: 06540YAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    400043 | PA      | $369924.89    | 0.02%             | 2063-03-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| MIAMI-DADE CNTY FLA AVIATION REV                        | MIAMI-DADE CNTY FL AVIATION RE COUNTY OF MIAMI-DADE FL AVIATION REVENUE          | CUSIP: 59333P4K1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3145000 | PA      | $2985265.76   | 0.19%             | 2025-10-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES INC                | BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006- BSABS 2006-HE9 1A2            | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2638367 | PA      | $2500344.92   | 0.16%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                   | NEXTERA ENERGY CAPITAL HOLDINGS INC 0.650000% 03/01/2023                         | CUSIP: 65339KBU3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1237206.14   | 0.08%             | 2023-03-01      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL 30YR TBA (DECEMBER)                                           | CUSIP: 21H0226C0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  10075000 | PA      | $8853406.35   | 0.57%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WarnerMedia Holdings, Inc.                              | WARNERMEDIA HOLDINGS INC 144A 3.755000% 03/15/2027                               | CUSIP: 55903VAG8<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   2400000 | PA      | $2187078.77   | 0.14%             | 2027-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                                     | PETROLEOS MEXICANOS 6.700000% 02/16/2032                                         | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | NUSS              | MX        |   1089000 | PA      | $842027.65    | 0.05%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| SOUTH CAROLINA ST PUB SVCS AUTH REV                     | SOUTH CAROLINA ST PUBLIC SVC A SOUTH CAROLINA PUBLIC SERVICE AUTHORITY           | CUSIP: 837151WM7<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6892000 | PA      | $6735765.94   | 0.43%             | 2023-12-01      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY MTN 2.475000% 01/21/2028                                          | CUSIP: 61747YEK7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2775000 | PA      | $2465499.14   | 0.16%             | 2028-01-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SD8199                                                       | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2622465 | PA      | $2162277.30   | 0.14%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MICHIGAN FIN AUTH REV                                   | MICHIGAN ST FIN AUTH REVENUE MICHIGAN FINANCE AUTHORITY                          | CUSIP: 59447TB44<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1730000 | PA      | $1675265.91   | 0.11%             | 2023-10-01      | Fixed         | 0.49%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST                                  | SLC STUDENT LOAN TRUST 2007-1 SLCLT 2007-1 A4                                    | CUSIP: 784424AD5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    611228 | PA      | $588348.26    | 0.04%             | 2029-05-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UBS Group AG                                            | UBS GROUP AG 144A 4.703000% 08/05/2027                                           | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | NUSS              | CH        |    385000 | PA      | $372396.61    | 0.02%             | 2027-08-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4482 CA                                                   | CUSIP: 3137BJSY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    256681 | PA      | $247213.25    | 0.02%             | 2034-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO CREDIT LINKED NOTES                          | JPMORGAN CHASE BANK NA - CACLN CACLN 2020-2 B                                    | CUSIP: 46591HAU4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    448955 | PA      | $436972.20    | 0.03%             | 2028-02-25      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-116 CB                                                | CUSIP: 3136AG4N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    200064 | PA      | $193363.83    | 0.01%             | 2033-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                 | BAYER US FINANCE II LLC 144A 4.375000% 12/15/2028                                | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | DE        |    245000 | PA      | $232568.25    | 0.01%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST                         | WFRBS COMMERCIAL MORTGAGE TRUST 2014-C21 WFRBS 2014-C21 A5                       | CUSIP: 92939FAU3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1183000 | PA      | $1140409.63   | 0.07%             | 2047-08-15      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4102 LF                                                   | CUSIP: 3137AUMR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     87584 | PA      | $87138.30     | 0.01%             | 2040-01-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST                                 | CARMAX AUTO OWNER TRUST 2022-2 CARMX 2022-2 A4                                   | CUSIP: 14317HAD3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2762000 | PA      | $2647877.20   | 0.17%             | 2027-09-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                          | CITIGROUP INC 3.668000% 07/24/2028                                               | CUSIP: 172967LP4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1805000 | PA      | $1671345.76   | 0.11%             | 2028-07-24      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST 2016-GS3 GSMS 2016-GS3 AAB                          | CUSIP: 36251PAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2090682 | PA      | $1990863.43   | 0.13%             | 2049-10-10      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company      | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 4.875000% 01/16/2024          | CUSIP: 00774MAK1<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    580000 | PA      | $571798.60    | 0.04%             | 2024-01-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                 | BANK OF NEW YORK MELLON CORP/THE MTN 3.442000% 02/07/2028                        | CUSIP: 06406RAB3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1095013.67   | 0.07%             | 2028-02-07      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-93 GF                                                 | CUSIP: 3136A8JF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |       197 | PA      | $197.36       | 0.00%             | 2040-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LMREC INC                                               | LMREC 2019-CRE3 INC LMREC 2019-CRE3 A                                            | CUSIP: 50209TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1468668 | PA      | $1442668.14   | 0.09%             | 2035-12-22      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GLP Capital, L.P.                                       | GLP CAPITAL LP / GLP FINANCING II INC 5.375000% 11/01/2023                       | CUSIP: 361841AF6<br>LEI: 2549005PXW31DRW8EC44 | Long             | DBT              | CORP              | US        |   2803000 | PA      | $2775446.51   | 0.18%             | 2023-11-01      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association 2              | GINNIE MAE II POOL G2 82737                                                      | CUSIP: 36225FBF5<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |     78904 | PA      | $77839.66     | 0.00%             | 2041-02-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2006-31 FP                                                 | CUSIP: 31395DAM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    101070 | PA      | $98956.74     | 0.01%             | 2036-05-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                 | BAYER US FINANCE II LLC 144A 3.875000% 12/15/2023                                | CUSIP: 07274NAE3<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | DE        |    745000 | PA      | $733084.57    | 0.05%             | 2023-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES OWNER TRUST                     | TOYOTA AUTO RECEIVABLES 2022-C OWNER TRUST TAOT 2022-C A3                        | CUSIP: 89231CAD9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5024000 | PA      | $4890997.64   | 0.31%             | 2027-04-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORPORATION                | RASC SERIES 2005-EMX2 TRUST RASC 2005-EMX2 M5                                    | CUSIP: 76110W2L9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1064210 | PA      | $1051422.71   | 0.07%             | 2035-07-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2013-CCRE13 MORTGAGE TRUST COMM 2013-CR13 A3                                | CUSIP: 12630BAZ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    888794 | PA      | $869973.84    | 0.06%             | 2046-11-10      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                          | CITIGROUP INC 0.981000% 05/01/2025                                               | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   1165000 | PA      | $1086823.93   | 0.07%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                       | PROGRESS RESIDENTIAL 2019-SFR3 TRUST PROG 2019-SFR3 E                            | CUSIP: 74332WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1110000 | PA      | $1038364.71   | 0.07%             | 2036-09-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| NEW YORK ST DORM AUTH ST PERS INCOME TAX REV            | NEW YORK ST DORM AUTH ST PERSO NEW YORK STATE DORMITORY AUTHORITY                | CUSIP: 649902S95<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    950000 | PA      | $951951.21    | 0.06%             | 2024-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 0.375000% 04/15/2024                                             | CUSIP: 91282CBV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  89795000 | PA      | $84754554.33  | 5.43%             | 2024-04-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST                               | ASHFORD HOSPITALITY TRUST 2018-KEYS AHT1 2018-KEYS A                             | CUSIP: 04410CAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    825000 | PA      | $784665.75    | 0.05%             | 2035-06-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 0.250000% 09/30/2025                                             | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  25260000 | PA      | $22727092.91  | 1.46%             | 2025-09-30      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Eversource Energy                                       | EVERSOURCE ENERGY 2.900000% 03/01/2027                                           | CUSIP: 30040WAQ1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |   1505000 | PA      | $1380931.14   | 0.09%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP.                            | GSAA HOME EQUITY TRUST 2005-MTR1 GSAA 2005-MTR1 A4                               | CUSIP: 362341UC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |      1877 | PA      | $1873.62      | 0.00%             | 2035-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS, INC.                              | CONSTELLATION BRANDS INC 4.350000% 05/09/2027                                    | CUSIP: 21036PBK3<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    695000 | PA      | $679218.28    | 0.04%             | 2027-05-09      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK 2020-B17 MORTGAGE TRUST BMARK 2020-B17 A2                              | CUSIP: 08162MAV0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   9585000 | PA      | $8816526.46   | 0.56%             | 2053-03-15      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| VMWARE, INC.                                            | VMWARE INC 1.000000% 08/15/2024                                                  | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   8020000 | PA      | $7467646.64   | 0.48%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                   | TERWIN MORTGAGE TRUST 2006-3 TMTS 2006-3 1A2                                     | CUSIP: 881561T61<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     76212 | PA      | $75808.70     | 0.00%             | 2037-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                             | ABBVIE INC 3.750000% 11/14/2023                                                  | CUSIP: 00287YBC2<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |    550000 | PA      | $542904.62    | 0.03%             | 2023-11-14      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BM5111                                                        | CUSIP: 3140J9VD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1144175 | PA      | $1096107.82   | 0.07%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37 CGCMT 2016-GC37 AAB                | CUSIP: 17290XAU4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1315272 | PA      | $1259672.20   | 0.08%             | 2049-04-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-23 D                           | CUSIP: 38378BCZ0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    508708 | PA      | $480266.32    | 0.03%             | 2049-07-16      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C56 WFCM 2020-C56 A1                  | CUSIP: 95002RAS7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    814558 | PA      | $785623.02    | 0.05%             | 2053-06-15      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SB0379                                                       | CUSIP: 3132CWM43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   4265657 | PA      | $4116022.34   | 0.26%             | 2034-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRESTIGE AUTO RECEIVABLES TRUST                         | PRESTIGE AUTO RECEIVABLES TRUST 2022-1 PART 2022-1A B                            | CUSIP: 74113RAG4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1000000 | PA      | $997711.20    | 0.06%             | 2028-07-17      | Fixed         | 6.55%                 | Yes           |                  2 | On Loan: No      |
| HCA INC.                                                | HCA INC 144A 3.125000% 03/15/2027                                                | CUSIP: 404119CD9<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $909613.76    | 0.06%             | 2027-03-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF39 A                   | CUSIP: 3137FCKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    212626 | PA      | $211543.64    | 0.01%             | 2024-11-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE BACKED TRUST                              | CSMC SERIES 2015-6R CSMC 2015-6R 2A1                                             | CUSIP: 12650EAJ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2242158 | PA      | $2172382.25   | 0.14%             | 2046-11-27      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4379 CD                                                   | CUSIP: 3137BCZH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    187571 | PA      | $180901.77    | 0.01%             | 2033-04-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HORMEL FOODS CORPORATION                                | HORMEL FOODS CORP 0.650000% 06/03/2024                                           | CUSIP: 440452AG5<br>LEI: MSD54751OJP1FS2ND863 | Long             | DBT              | CORP              | US        |   8800000 | PA      | $8275635.98   | 0.53%             | 2024-06-03      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-113 PB                                                | CUSIP: 3136A8V64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    584191 | PA      | $548706.80    | 0.04%             | 2040-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC31 CGCMT 2015-GC31 AAB                | CUSIP: 17323YAE9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    962364 | PA      | $934597.28    | 0.06%             | 2048-06-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-C34 WFCM 2016-C34 ASB                 | CUSIP: 95000DBE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1761962 | PA      | $1681947.00   | 0.11%             | 2049-06-15      | Fixed         | 2.91%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2010-98 QF                          | CUSIP: 38377JSS3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    183637 | PA      | $183501.29    | 0.01%             | 2040-01-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY LOAN TRUST                           | CENTEX HOME EQUITY LOAN TRUST 2006-A CXHE 2006-A M1                              | CUSIP: 15231AAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    294626 | PA      | $293144.66    | 0.02%             | 2036-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM6017                                                        | CUSIP: 3140X9VK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1618418 | PA      | $1552039.61   | 0.10%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS HOLDINGS INC.                               | BAE SYSTEMS HOLDINGS INC 144A 3.850000% 12/15/2025                               | CUSIP: 05523UAP5<br>LEI: MF62XBVMNYTYMC18DL76 | Long             | DBT              | CORP              | GB        |    625000 | PA      | $602294.56    | 0.04%             | 2025-12-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST                            | FORD CREDIT AUTO OWNER TRUST 2018-REV2 FORDR 2018-2 A                            | CUSIP: 34528HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1675000 | PA      | $1652880.62   | 0.11%             | 2030-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST                           | WELLS FARGO HOME EQUITY ASSET-BACKED SECURITIES 20 WFHET 2006-1 M3               | CUSIP: 9497EUAK3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1099511 | PA      | $1089220.57   | 0.07%             | 2036-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST                      | FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF15 FFML 2006-FF15 A5                   | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1603757 | PA      | $1557143.75   | 0.10%             | 2036-11-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| BAXTER INTERNATIONAL INC.                               | BAXTER INTERNATIONAL INC 0.868000% 12/01/2023                                    | CUSIP: 071813CE7<br>LEI: J5OIVXX3P24RJRW5CK77 | Long             | DBT              | CORP              | US        |   8655000 | PA      | $8284285.75   | 0.53%             | 2023-12-01      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF68 A                   | CUSIP: 3137FPHF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    687559 | PA      | $684326.30    | 0.04%             | 2026-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| AT&T INC.                                               | AT&T INC 2.300000% 06/01/2027                                                    | CUSIP: 00206RJX1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   2000000 | PA      | $1800009.00   | 0.12%             | 2027-06-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ34 A1                  | CUSIP: 3137H1LS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    806784 | PA      | $734760.18    | 0.05%             | 2026-06-25      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC.                                          | CITIGROUP INC 0.981000% 05/01/2025                                               | CUSIP: 172967MX6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   7800000 | PA      | $7276589.42   | 0.47%             | 2025-05-01      | Fixed         | 0.98%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN BE0522                                                        | CUSIP: 3140FKSL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |     92055 | PA      | $86921.54     | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWER & LIGHT COMPANY                    | JERSEY CENTRAL POWER & LIGHT CO 144A 4.700000% 04/01/2024                        | CUSIP: 476556DB8<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   1545000 | PA      | $1524488.61   | 0.10%             | 2024-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC GOLD POOL FG G18568                                                  | CUSIP: 3128MMT29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    715220 | PA      | $677983.01    | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST 2017-GS5 GSMS 2017-GS5 AAB                          | CUSIP: 36252HAE1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1001388 | PA      | $954058.43    | 0.06%             | 2050-03-10      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4094 BF                                                   | CUSIP: 3137ASV27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    443899 | PA      | $441502.93    | 0.03%             | 2032-08-15      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AMMC CLO LIMITED                                        | AMMC CLO 19 LTD AMMC 2016-19A AR                                                 | CUSIP: 00176PAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1073578 | PA      | $1068342.52   | 0.07%             | 2028-10-16      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER COMPANY, INC.                   | AMERICAN ELECTRIC POWER CO INC 5.750000% 11/01/2027                              | CUSIP: 025537AV3<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    550000 | PA      | $564685.24    | 0.04%             | 2027-11-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST  | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2013-LC11 ASB           | CUSIP: 46639YAR8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    117262 | PA      | $116729.80    | 0.01%             | 2046-04-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY CARD ISSUANCE TRUST, SYNCHRONY                | SYNCHRONY CARD FUNDING LLC SYNIT 2022-A1 A                                       | CUSIP: 87166PAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    750000 | PA      | $722528.70    | 0.05%             | 2028-04-15      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE ACQUISITION CORPORATION            | JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH4 JPMAC 2007-CH4 A5                  | CUSIP: 46630CAE4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1729273 | PA      | $1707411.61   | 0.11%             | 2037-05-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2010-43 VF                                                 | CUSIP: 31398RDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    352203 | PA      | $349241.03    | 0.02%             | 2040-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| HCA INC.                                                | HCA INC 5.250000% 04/15/2025                                                     | CUSIP: 404119BQ1<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    465000 | PA      | $464045.23    | 0.03%             | 2025-04-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | WELLS FARGO & CO MTN 2.406000% 10/30/2025                                        | CUSIP: 95000U2H5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |  10735000 | PA      | $10116856.80  | 0.65%             | 2025-10-30      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2011-151 BF                         | CUSIP: 38378ACT6<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    305557 | PA      | $301510.97    | 0.02%             | 2041-04-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MHC COMMERCIAL MORTGAGE TRUST                           | MHC COMMERCIAL MORTGAGE TRUST 2021-MHC MHC 2021-MHC B                            | CUSIP: 55316VAC8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |  11040000 | PA      | $10519037.86  | 0.67%             | 2038-04-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA, INC.                                      | T-MOBILE USA INC 3.875000% 04/15/2030                                            | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    770000 | PA      | $707195.08    | 0.05%             | 2030-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                    | JPMORGAN CHASE & CO 3.540000% 05/01/2028                                         | CUSIP: 46647PAF3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    465000 | PA      | $432010.10    | 0.03%             | 2028-05-01      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                   | WELLS FARGO & CO MTN 3.526000% 03/24/2028                                        | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   3950000 | PA      | $3669139.40   | 0.24%             | 2028-03-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-D NAVSL 2020-DA A                 | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2302290 | PA      | $2061225.48   | 0.13%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES INC                | BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005- BSABS 2005-HE6 M2             | CUSIP: 073879XZ6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    469232 | PA      | $466949.84    | 0.03%             | 2035-06-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST                              | FLAGSHIP CREDIT AUTO TRUST 2020-3 FCAT 2020-3 D                                  | CUSIP: 33844TAG2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2400000 | PA      | $2193866.64   | 0.14%             | 2026-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC 4.050000% 07/21/2025                                                 | CUSIP: 3134GXG24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |  11005000 | PA      | $10802578.76  | 0.69%             | 2025-07-21      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FS RIALTO ISSUER, LTD.                                  | FS RIALTO 2019-FL1 FSRIA 2019-FL1 A                                              | CUSIP: 30312UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    922317 | PA      | $915359.72    | 0.06%             | 2036-12-16      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS K037 A1                  | CUSIP: 3137B7YX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     78956 | PA      | $78487.78     | 0.01%             | 2023-04-25      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST                        | SMB PRIVATE EDUCATION LOAN TRUST 2021-B SMB 2021-B A                             | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    749596 | PA      | $669211.13    | 0.04%             | 2051-07-17      | Fixed         | 1.31%                 | Yes           |                  2 | On Loan: No      |
| MVW OWNER TRUST                                         | MVW 2021-1W LLC MVWOT 2021-1WA A                                                 | CUSIP: 55389TAA9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2062499 | PA      | $1885378.50   | 0.12%             | 2041-01-22      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST                          | MORGAN STANLEY CAPITAL I 2017-HR2 MSC 2017-HR2 ASB                               | CUSIP: 61691NAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1310000 | PA      | $1249872.18   | 0.08%             | 2050-12-15      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| THERMO FISHER SCIENTIFIC INC.                           | THERMO FISHER SCIENTIFIC INC 1.215000% 10/18/2024                                | CUSIP: 883556CS9<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | DBT              | CORP              | US        |   1375000 | PA      | $1286568.83   | 0.08%             | 2024-10-18      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| INDEPENDENCE PLAZA TRUST                                | INDEPENDENCE PLAZA TRUST 2018-INDP IPT 2018-INDP A                               | CUSIP: 45378YAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1095000 | PA      | $1024418.49   | 0.07%             | 2035-07-10      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| FRESENIUS US FINANCE II, INC.                           | FRESENIUS US FINANCE II INC 144A 4.500000% 01/15/2023                            | CUSIP: 35804GAK4<br>LEI: TRJSJR7WPAPZ2OYFQZ47 | Long             | DBT              | CORP              | DE        |    955000 | PA      | $952391.41    | 0.06%             | 2023-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2006-56 FE                                                 | CUSIP: 31395NXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    484085 | PA      | $478441.01    | 0.03%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST                                | ONE NEW YORK PLAZA TRUST 2020-1NYP ONYP 2020-1NYP A                              | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    952000 | PA      | $896720.69    | 0.06%             | 2036-01-15      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                         | SANTANDER UK GROUP HOLDINGS PLC 3.373000% 01/05/2024                             | CUSIP: 80281LAH8<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | NUSS              | GB        |    355000 | PA      | $354234.63    | 0.02%             | 2024-01-05      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| ING Groep N.V.                                          | ING GROEP NV 3.869000% 03/28/2026                                                | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | NUSS              | NL        |   1230000 | PA      | $1181566.43   | 0.08%             | 2026-03-28      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| CommonSpirit Health                                     | COMMONSPIRIT HEALTH 2.760000% 10/01/2024                                         | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    485000 | PA      | $463883.19    | 0.03%             | 2024-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF43 A                   | CUSIP: 3137FEJN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    425499 | PA      | $420132.30    | 0.03%             | 2028-01-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST                      | NEW CENTURY HOME EQUITY LOAN TRUST 2006-1 NCHET 2006-1 A2B                       | CUSIP: 64352VQR5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2498697 | PA      | $2425384.94   | 0.16%             | 2036-05-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                  | GSK CONSUMER HEALTHCARE CAPITAL US LLC 3.375000% 03/24/2027                      | CUSIP: 36264FAK7<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   1125000 | PA      | $1050311.95   | 0.07%             | 2027-03-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | ENERGY TRANSFER LP 5.950000% 12/01/2025                                          | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    748000 | PA      | $758607.40    | 0.05%             | 2025-12-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC36 CGCMT 2016-GC36 AAB                | CUSIP: 17324TAF6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    868259 | PA      | $832981.58    | 0.05%             | 2049-02-10      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| United States of America                                | TREASURY BILL 0.000000% 04/27/2023                                               | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1405000 | PA      | $1379656.43   | 0.09%             | 2023-04-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MACQUARIE GROUP LIMITED                                 | MACQUARIE GROUP LTD MTN 1.201000% 10/14/2025                                     | CUSIP: 55608JBA5<br>LEI: ACMHD8HWFMFUIQQ8Y590 | Long             | DBT              | NUSS              | AU        |    910000 | PA      | $830926.78    | 0.05%             | 2025-10-14      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)                                    | CUSIP: 01F0226C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  11275000 | PA      | $9644529.35   | 0.62%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST                | AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2021-1 AMCAR 2021-1 D                   | CUSIP: 03063FAF1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1171000 | PA      | $1041878.63   | 0.07%             | 2026-12-18      | Fixed         | 1.21%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4048 GF                                                   | CUSIP: 3137AQUJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     44353 | PA      | $44274.27     | 0.00%             | 2040-10-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST                            | BX COMMERCIAL MORTGAGE TRUST 2021-VINO BX 2021-VINO A                            | CUSIP: 05608KAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1577000 | PA      | $1509770.60   | 0.10%             | 2038-05-15      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3616 FG                                                   | CUSIP: 31398LGY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    293110 | PA      | $291056.24    | 0.02%             | 2032-03-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ROYALTY PHARMA PLC                                      | ROYALTY PHARMA PLC 0.750000% 09/02/2023                                          | CUSIP: 78081BAG8<br>LEI: 549300FGFN7VOK8BZR03 | Long             | DBT              | NUSS              | US        |    985000 | PA      | $950722.23    | 0.06%             | 2023-09-02      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                          | ENTERPRISE FLEET FUNDING 2021-1 LLC EFF 2021-1 A3                                | CUSIP: 29374EAC0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    360000 | PA      | $332563.50    | 0.02%             | 2026-12-21      | Fixed         | 0.70%                 | Yes           |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP, LP                      | PIEDMONT OPERATING PARTNERSHIP LP 3.400000% 06/01/2023                           | CUSIP: 720198AC4<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    690000 | PA      | $688996.43    | 0.04%             | 2023-06-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2015-C3 JPMBB 2015-C31 ASB            | CUSIP: 46644YAW0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1396232 | PA      | $1350464.87   | 0.09%             | 2048-08-15      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| PRKCM TRUST                                             | PRKCM 2021-AFC2 TRUST PRKCM 2021-AFC2 A1                                         | CUSIP: 69361JAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5797450 | PA      | $4783481.78   | 0.31%             | 2056-11-25      | Floating      | 2.07%                 | Yes           |                  2 | On Loan: No      |
| FREMF MORTGAGE TRUST                                    | FREMF 2013-K33 MORTGAGE TRUST FREMF 2013-K33 B                                   | CUSIP: 30265AAN4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1958397.20   | 0.13%             | 2046-08-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 4.250000% 09/30/2024                                             | CUSIP: 91282CFN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |   4850000 | PA      | $4835412.12   | 0.31%             | 2024-09-30      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| JBS USA Lux S.A.                                        | JBS USA LUX SA / JBS USA FOOD CO / JBS USA FINANCE 5.125000% 02/01/2028          | CUSIP: 46590XAG1<br>LEI: P77IMDGVZE8EFBTF2M92 | Long             | DBT              | NUSS              | US        |    520000 | PA      | $495863.06    | 0.03%             | 2028-02-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3895 FM                                                   | CUSIP: 3137ACUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    140220 | PA      | $139761.56    | 0.01%             | 2040-12-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC.                           | ALIMENTATION COUCHE-TARD INC 144A 3.550000% 07/26/2027                           | CUSIP: 01626PAH9<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | NUSS              | CA        |    400000 | PA      | $368972.74    | 0.02%             | 2027-07-26      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST                   | WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-3 WLAKE 2020-3A D                     | CUSIP: 96042QAL4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1700000 | PA      | $1587548.40   | 0.10%             | 2026-02-17      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)                                    | CUSIP: 01F0406C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   2325000 | PA      | $2198487.29   | 0.14%             | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST      | MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST MSBAM 2014-C15 A3             | CUSIP: 61763KAZ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    116505 | PA      | $115425.03    | 0.01%             | 2047-04-15      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION                 | STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRU SASC 2006-WF3 M1              | CUSIP: 86361EAF8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     89344 | PA      | $89181.16     | 0.01%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2015-GC35 CGCMT 2015-GC35 AAB                | CUSIP: 17324KAQ1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3826561 | PA      | $3704687.66   | 0.24%             | 2048-11-10      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2008-92 E                           | CUSIP: 38373M4R8<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    422869 | PA      | $417774.37    | 0.03%             | 2044-03-16      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                 | CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2022-A3 A                          | CUSIP: 14041NGB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3720000 | PA      | $3735950.24   | 0.24%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING, LTD.                              | MADISON PARK FUNDING XIX LTD MDPK 2015-19A A1R2                                  | CUSIP: 55819QAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1101400 | PA      | $1087382.54   | 0.07%             | 2028-01-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8 JPMDB 2018-C8 A2              | CUSIP: 46591AAX3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    781976 | PA      | $772668.62    | 0.05%             | 2051-06-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES L.P.                                    | VICI PROPERTIES LP / VICI NOTE CO INC 144A 5.750000% 02/01/2027                  | CUSIP: 92564RAJ4<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    480000 | PA      | $465128.18    | 0.03%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                | GENERAL ELECTRIC CO MTN VARIABLE RATE 05/05/2026                                 | CUSIP: 36962GW75<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |    330000 | PA      | $316040.83    | 0.02%             | 2026-05-05      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST                                     | DBGS 2018-BIOD MORTGAGE TRUST DBGS 2018-BIOD A                                   | CUSIP: 23306GAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1772700 | PA      | $1732567.30   | 0.11%             | 2035-05-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2019-79 FA                                                 | CUSIP: 3136B72K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    437228 | PA      | $426533.10    | 0.03%             | 2050-01-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-B NAVSL 2021-BA A                 | CUSIP: 63942LAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4456143 | PA      | $3761093.92   | 0.24%             | 2069-07-15      | Fixed         | 0.94%                 | Yes           |                  2 | On Loan: No      |
| SIERRA TIMESHARE RECEIVABLES FUNDING LLC                | SIERRA TIMESHARE 2019-1 RECEIVABLES FUNDING LLC SRFC 2019-1A A                   | CUSIP: 82653EAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    882881 | PA      | $846843.25    | 0.05%             | 2036-01-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US 10YR ULTRA FUT MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -123 | NC      | $-14717718.75 | -0.94%            |  |  |  | No            |                  1 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                   | NEXTERA ENERGY CAPITAL HOLDINGS INC 2.940000% 03/21/2024                         | CUSIP: 65339KCD0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    745000 | PA      | $723719.27    | 0.05%             | 2024-03-21      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2020-10 FA                                                 | CUSIP: 3136B9AC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1281705 | PA      | $1252974.98   | 0.08%             | 2050-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Saudi Arabian Oil Company                               | SAUDI ARABIAN OIL CO MTN 2.875000% 04/16/2024                                    | CUSIP: 80414L2C8<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | NUSS              | SA        |  11985000 | PA      | $11604787.86  | 0.74%             | 2024-04-16      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2016-48 UF                                                 | CUSIP: 3136ATMA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    212690 | PA      | $209569.09    | 0.01%             | 2046-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CWABS ASSET-BACKED CERTIFICATES TRUST                   | COUNTRYWIDE ASSET-BACKED CERTIFICATES CWL 2006-BC4 2A3                           | CUSIP: 12667NAD0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    878672 | PA      | $865080.59    | 0.06%             | 2036-11-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN CORPORATION                         | NELNET STUDENT LOAN TRUST 2012-5 NSLT 2012-5A A                                  | CUSIP: 64033BAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    238065 | PA      | $231122.06    | 0.01%             | 2036-10-27      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST                                              | CSMC 2022-RPL3 TRUST CSMC 2022-RPL3 A1                                           | CUSIP: 12659QAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1992750 | PA      | $1962061.46   | 0.13%             | 2061-03-25      | Floating      | 3.61%                 | Yes           |                  2 | On Loan: No      |
| FRESB MORTGAGE TRUST                                    | FRESB 2018-SB53 MORTGAGE TRUST FRESB 2018-SB53 A10F                              | CUSIP: 30297DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    563544 | PA      | $542357.04    | 0.03%             | 2028-06-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| SKYWORKS SOLUTIONS, INC.                                | SKYWORKS SOLUTIONS INC 0.900000% 06/01/2023                                      | CUSIP: 83088MAJ1<br>LEI: 549300WZ3ORQ2BVKBD96 | Long             | DBT              | CORP              | US        |   1145000 | PA      | $1118711.13   | 0.07%             | 2023-06-01      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2015-PC1 MORTGAGE TRUST COMM 2015-PC1 A4                                    | CUSIP: 12593GAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1364876 | PA      | $1312931.64   | 0.08%             | 2050-07-10      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                | TREASURY BILL 0.000000% 4/20/2023                                                | CUSIP: 912796N96<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8275000 | PA      | $8134724.93   | 0.52%             | 2023-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                | WI TREASURY SEC. 0.250000% 06/15/2024                                            | CUSIP: 91282CCG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  93550000 | PA      | $87586187.50  | 5.61%             | 2024-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN EDISON COMPANY                             | METROPOLITAN EDISON CO 144A 4.000000% 04/15/2025                                 | CUSIP: 591894CB4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    315000 | PA      | $301385.76    | 0.02%             | 2025-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER COMPANY                               | MONONGAHELA POWER CO 144A 4.100000% 04/15/2024                                   | CUSIP: 610202BN2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    815000 | PA      | $799266.86    | 0.05%             | 2024-04-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2007-98 FD                                                 | CUSIP: 31396XJ88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    280354 | PA      | $276184.68    | 0.02%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| EFS VOLUNTEER NO 3, LLC                                 | EFS VOLUNTEER NO 3 LLC EFSV3 2012-1 A3                                           | CUSIP: 26845CAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1005240 | PA      | $993011.49    | 0.06%             | 2033-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| SLC STUDENT LOAN TRUST                                  | SLC STUDENT LOAN TRUST 2005-3 SLCLT 2005-3 A3                                    | CUSIP: 784420AP6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    204575 | PA      | $204103.57    | 0.01%             | 2029-06-15      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST                               | TOWD POINT MORTGAGE TRUST 2019-4 TPMT 2019-4 A1                                  | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2496620 | PA      | $2298028.77   | 0.15%             | 2059-10-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | HUNTINGTON NATIONAL BANK/THE 4.008000% 05/16/2025                                | CUSIP: 44644MAD3<br>LEI: 2WHM8VNJH63UN14OL754 | Long             | DBT              | CORP              | US        |   7770000 | PA      | $7604511.35   | 0.49%             | 2025-05-16      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2012-77 FM                          | CUSIP: 38375GAN1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    455845 | PA      | $456560.83    | 0.03%             | 2039-11-16      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST                 | CAPITAL ONE MULTI-ASSET EXECUTION TRUST COMET 2022-A2 A                          | CUSIP: 14041NGA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   8680000 | PA      | $8391174.74   | 0.54%             | 2027-05-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3762 FP                                                   | CUSIP: 3137A3PD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     60249 | PA      | $60039.25     | 0.00%             | 2040-03-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                         | AVOLON HOLDINGS FUNDING LTD 144A 3.250000% 02/15/2027                            | CUSIP: 05401AAJ0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | NUSS              | IE        |    990000 | PA      | $841660.77    | 0.05%             | 2027-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                      | F&G GLOBAL FUNDING 144A 0.900000% 09/20/2024                                     | CUSIP: 30321L2B7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |  10100000 | PA      | $9218296.77   | 0.59%             | 2024-09-20      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN WEALTH MANAGEMENT MORTGAGE TRUST            | JPMORGAN CHASE BANK NA - JPMWM JPMWM 2021-CL1 M1                                 | CUSIP: 46591HBK5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2748174 | PA      | $2443113.25   | 0.16%             | 2051-03-25      | Floating      | 4.85%                 | Yes           |                  2 | On Loan: No      |
| VOYA CLO                                                | VOYA CLO 2017-3 LTD VOYA 2017-3A XR                                              | CUSIP: 92915QAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1800000 | PA      | $1790038.74   | 0.11%             | 2034-04-20      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                | HYATT HOTELS CORP 1.300000% 10/01/2023                                           | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1352161.06   | 0.09%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP.                            | GSAA HOME EQUITY TRUST 2005-6 GSAA 2005-6 M1                                     | CUSIP: 36242D3X9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1161731 | PA      | $1131288.93   | 0.07%             | 2035-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2020-C57 WFCM 2020-C57 A1                  | CUSIP: 95002XBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1724276 | PA      | $1602119.42   | 0.10%             | 2053-08-15      | Fixed         | 0.90%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                 | BANK OF NOVA SCOTIA/THE 3.450000% 04/11/2025                                     | CUSIP: 06417XAH4<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | NUSS              | CA        |  10175000 | PA      | $9845147.66   | 0.63%             | 2025-04-11      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST                     | EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4 EART 2021-4A C                        | CUSIP: 30165JAE6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2550000 | PA      | $2378712.17   | 0.15%             | 2027-10-15      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST                     | GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1 GSMBS 2018-RPL1 A1A                | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    750161 | PA      | $720269.45    | 0.05%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM                          | SOFI PROFESSIONAL LOAN PROGRAM 2021-B TRUST SOFI 2021-B AFX                      | CUSIP: 83405NAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1144537 | PA      | $896283.65    | 0.06%             | 2047-02-15      | Fixed         | 1.14%                 | Yes           |                  2 | On Loan: No      |
| CommonSpirit Health                                     | COMMONSPIRIT HEALTH 2.760000% 10/01/2024                                         | CUSIP: 20268JAA1<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    460000 | PA      | $439971.68    | 0.03%             | 2024-10-01      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC 4.000000% 12/30/2024                                                 | CUSIP: 3134GXA61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   6275000 | PA      | $6169695.52   | 0.40%             | 2024-12-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AerCap Ireland Capital Designated Activity Company      | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATIO 1.650000% 10/29/2024          | CUSIP: 00774MAU9<br>LEI: 549300TI38531ODB1G63 | Long             | DBT              | NUSS              | IE        |    650000 | PA      | $598107.71    | 0.04%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE MUTUAL INSURANCE COMPANY                     | NATIONWIDE MUTUAL INSURANCE CO 144A VARIABLE RATE 12/15/2024                     | CUSIP: 638671AJ6<br>LEI: Z7LVXXWM8HZPKF5T2355 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1000038.61   | 0.06%             | 2024-12-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| HILLSBOROUGH CNTY FLA AVIATION AUTH REV                 | HILLSBOROUGH CNTY FL AVIATION HILLSBOROUGH COUNTY AVIATION AUTHORITY             | CUSIP: 432308S88<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2575000 | PA      | $2447157.43   | 0.16%             | 2024-10-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST                            | DRIVE AUTO RECEIVABLES TRUST 2021-2 DRIVE 2021-2 D                               | CUSIP: 262104AF9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2470000 | PA      | $2249336.87   | 0.14%             | 2029-03-15      | Fixed         | 1.39%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST                      | FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF9 FFML 2006-FF9 1A                     | CUSIP: 320276AB4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1534263 | PA      | $1499055.77   | 0.10%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2013-6 MC                                                  | CUSIP: 3136ABY64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |      3235 | PA      | $3225.39      | 0.00%             | 2040-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                       | CEDAR FUNDING II CLO LTD CEDF 2013-1A AXR                                        | CUSIP: 15032TBC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1994286 | PA      | $1987327.65   | 0.13%             | 2034-04-20      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                      | BMO 2022-C3 MORTGAGE TRUST BMO 2022-C3 A1                                        | CUSIP: 05602QAU7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1865255 | PA      | $1844514.97   | 0.12%             | 2054-09-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | CREDIT SUISSE GROUP AG 144A 2.593000% 09/11/2025                                 | CUSIP: 225401AM0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | NUSS              | CH        |   2210000 | PA      | $1957814.12   | 0.13%             | 2025-09-11      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                    | JPMORGAN CHASE & CO 2.947000% 02/24/2028                                         | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2595000 | PA      | $2360426.17   | 0.15%             | 2028-02-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| TRTX 2019-FL3 ISSUER LTD.                               | TRTX 2019-FL3 ISSUER LTD TRTX 2019-FL3 A                                         | CUSIP: 87276VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520853 | PA      | $520047.63    | 0.03%             | 2034-10-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST                   | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2014-LC16 WFCM 2014-LC16 A4                | CUSIP: 94988XAT3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1488556 | PA      | $1445960.17   | 0.09%             | 2050-08-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| CD COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES        | CD 2016-CD1 MORTGAGE TRUST CD 2016-CD1 ASB                                       | CUSIP: 12514MBA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   5281992 | PA      | $4985557.52   | 0.32%             | 2049-08-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AS6719                                                        | CUSIP: 3138WGPD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1579394 | PA      | $1491457.46   | 0.10%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SB0380                                                       | CUSIP: 3132CWM50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    623029 | PA      | $601957.13    | 0.04%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DENVER COLO CITY & CNTY ARPT REV                        | DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE | CUSIP: 249182PK6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2350000 | PA      | $2263498.62   | 0.15%             | 2023-11-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                  | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2019-2 SDART 2019-2 D                     | CUSIP: 80286GAG6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1333699 | PA      | $1323598.78   | 0.08%             | 2025-07-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| SANTANDER CONSUMER AUTO RECEIVABLES TRUST               | SANTANDER CONSUMER AUTO RECEIVABLES TRUST 2020-B SCART 2020-BA F                 | CUSIP: 802830BA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1250000 | PA      | $1239685.25   | 0.08%             | 2028-08-15      | Fixed         | 7.03%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AZ4793                                                        | CUSIP: 3138YWKF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    745691 | PA      | $717351.00    | 0.05%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST                                | BENCHMARK 2018-B5 MORTGAGE TRUST BMARK 2018-B5 A2                                | CUSIP: 08160BAB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1750000 | PA      | $1725768.80   | 0.11%             | 2051-07-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE ACQUISITION CORPORATION            | JP MORGAN MORTGAGE ACQUISITION TRUST 2007-CH5 JPMAC 2007-CH5 A1                  | CUSIP: 46631KAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1962981 | PA      | $1928095.31   | 0.12%             | 2037-06-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2014-C2 JPMBB 2014-C21 ASB            | CUSIP: 46642EAZ9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    298619 | PA      | $292434.02    | 0.02%             | 2047-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                  | SLM STUDENT LOAN TRUST 2012-2 SLMA 2012-2 A                                      | CUSIP: 78446YAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    818459 | PA      | $782381.22    | 0.05%             | 2029-01-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US ULTRA BOND CBT MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -36 | NC      | $-4906125.00  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| RBS COMMERCIAL FUNDING INC TRUST                        | RBS COMMERCIAL FUNDING INC 2013-GSP TRUST RBSCF 2013-GSP A                       | CUSIP: 74932QAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2010000 | PA      | $1929576.89   | 0.12%             | 2032-01-15      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL HOLDINGS, INC.                   | NEXTERA ENERGY CAPITAL HOLDINGS INC 4.255000% 09/01/2024                         | CUSIP: 65339KBL3<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |   7355000 | PA      | $7259725.76   | 0.47%             | 2024-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS Q004 AFL                 | CUSIP: 3137FARM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    422047 | PA      | $421998.33    | 0.03%             | 2044-05-25      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN AL9574                                                        | CUSIP: 3138ERT83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    884291 | PA      | $847173.24    | 0.05%             | 2026-01-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTER CREDIT CARD TRUST II                             | MASTER CREDIT CARD TRUST MCCT 2021-1A A                                          | CUSIP: 576339CJ2<br>LEI: N/A                  | Long             | ABS-MBS          |  | CA        |   3500000 | PA      | $3263204.35   | 0.21%             | 2025-11-21      | Fixed         | 0.53%                 | Yes           |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST              | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2016-JP3 ASB            | CUSIP: 46590RAF6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3672313 | PA      | $3496378.86   | 0.22%             | 2049-08-15      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| BANQUE DE MONTREAL                                      | BANK OF MONTREAL 144A 3.750000% 07/25/2025                                       | CUSIP: 06368D6Y5<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | NUSS              | CA        |   5510000 | PA      | $5369894.92   | 0.34%             | 2025-07-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 2922 FE                                                   | CUSIP: 31395MT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    494449 | PA      | $486849.71    | 0.03%             | 2035-02-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2014-CR14 MORTGAGE TRUST COMM 2014-CR14 A2                                  | CUSIP: 12630DAV6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1027312 | PA      | $1013093.00   | 0.06%             | 2047-02-10      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| LEVEL 3 FINANCING, INC.                                 | LEVEL 3 FINANCING INC 144A 3.400000% 03/01/2027                                  | CUSIP: 527298BP7<br>LEI: 254900AE5FEFIJOXWL19 | Long             | DBT              | CORP              | US        |    700000 | PA      | $597231.66    | 0.04%             | 2027-03-01      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 4.500000% 11/15/2025                                             | CUSIP: 91282CFW6<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  59996000 | PA      | $60670955.00  | 3.89%             | 2025-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KPLB A                   | CUSIP: 3137BJQ71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    900000 | PA      | $859180.86    | 0.06%             | 2025-05-25      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES L.P.                                    | VICI PROPERTIES LP / VICI NOTE CO INC 144A 4.625000% 06/15/2025                  | CUSIP: 92564RAG0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    625000 | PA      | $598101.64    | 0.04%             | 2025-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST                                              | GCAT 2021-NQM6 TRUST GCAT 2021-NQM6 A1                                           | CUSIP: 36167KAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2966574 | PA      | $2492963.92   | 0.16%             | 2066-08-25      | Floating      | 1.86%                 | Yes           |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST                                  | SLM STUDENT LOAN TRUST 2013-4 SLMA 2013-4 A                                      | CUSIP: 78448AAA1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1019781 | PA      | $989982.66    | 0.06%             | 2043-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TRUST                       | NATIONSTAR HOME EQUITY LOAN TRUST 2007-B NSTR 2007-B 2AV4                        | CUSIP: 63860LAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    655158 | PA      | $629400.45    | 0.04%             | 2037-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| LCM LTD.                                                | LCM XXIV LTD LCM 24A AR                                                          | CUSIP: 50188YAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1211131 | PA      | $1186869.77   | 0.08%             | 2030-03-20      | Floating      | 5.22%                 | Yes           |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)                                    | CUSIP: 01F0306C7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  11175000 | PA      | $9889314.69   | 0.63%             | 2171-12-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL MASTER TRUST                       | PROGRESS RESIDENTIAL 2020-SFR2 TRUST PROG 2020-SFR2 A                            | CUSIP: 74333LAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1876682 | PA      | $1720470.63   | 0.11%             | 2037-06-17      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| BROADCOM CORPORATION                                    | BROADCOM CORP / BROADCOM CAYMAN FINANCE LTD 3.625000% 01/15/2024                 | CUSIP: 11134LAF6<br>LEI: KFFV4ZWM9DJH1ND3BD89 | Long             | DBT              | NUSS              | US        |   9320000 | PA      | $9156856.57   | 0.59%             | 2024-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2014-UBS5 MORTGAGE TRUST COMM 2014-UBS5 A2                                  | CUSIP: 12592KAZ7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     51298 | PA      | $49486.74     | 0.00%             | 2047-09-10      | Fixed         | 3.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK N Y CITY HSG DEV CORP REV                      | NEW YORK CITY NY HSG DEV CORP NEW YORK CITY HOUSING DEVELOPMENT CORP             | CUSIP: 64966WGX9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   6650000 | PA      | $6473677.91   | 0.41%             | 2024-01-01      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| B.A.T CAPITAL CORPORATION                               | BAT CAPITAL CORP 3.222000% 08/15/2024                                            | CUSIP: 05526DAZ8<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | GB        |    860000 | PA      | $829422.36    | 0.05%             | 2024-08-15      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLE TRUST                        | WORLD OMNI AUTO RECEIVABLES TRUST 2021-B WOART 2021-B B                          | CUSIP: 98163LAE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3050000 | PA      | $2749731.47   | 0.18%             | 2027-06-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE OR FREDDIE MAC 30YR TBA (DECEMBER)                                    | CUSIP: 01F0426C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |  14975000 | PA      | $14574886.72  | 0.93%             | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE REMICS FNR 2012-54 CF                                                 | CUSIP: 3136A5ZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |    165141 | PA      | $164382.13    | 0.01%             | 2042-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST                                             | BBCMS TRUST 2018-BXH BBCMS 2018-BXH A                                            | CUSIP: 05491RAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1200132 | PA      | $1150998.73   | 0.07%             | 2037-10-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC                          | ENTERPRISE FLEET FINANCING 2022-2 LLC EFF 2022-2 A2                              | CUSIP: 29374JAB1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   8195000 | PA      | $8050972.06   | 0.52%             | 2029-05-21      | Fixed         | 4.65%                 | Yes           |                  2 | On Loan: No      |
| KILROY REALTY, L.P.                                     | KILROY REALTY LP 3.450000% 12/15/2024                                            | CUSIP: 49427RAM4<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |    920000 | PA      | $874179.80    | 0.06%             | 2024-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ALABAMA FED AID HWY FIN AUTH SPL OBLIG REV              | ALABAMA FEDERAL AID HIGHWAY FI ALABAMA FEDERAL AID HIGHWAY FINANCE AUTHORITY     | CUSIP: 010268CM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   5635000 | PA      | $5092769.87   | 0.33%             | 2025-09-01      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| HUMANA INC.                                             | HUMANA INC 3.850000% 10/01/2024                                                  | CUSIP: 444859BD3<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1472304.71   | 0.09%             | 2024-10-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                   | FANNIE MAE POOL FN FM3340                                                        | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | DBT              | USGA              | US        |   1346396 | PA      | $1298552.60   | 0.08%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                | GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNR 2007-1 F                            | CUSIP: 38375JEJ0<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |    379512 | PA      | $376388.38    | 0.02%             | 2037-01-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD                                         | BARINGS CLO LTD 2013-I BABSN 2013-IA AR                                          | CUSIP: 06760EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1316766 | PA      | $1302503.63   | 0.08%             | 2028-01-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BANK                                                    | BANK 2017-BNK8 BANK 2017-BNK8 ASB                                                | CUSIP: 06650AAC1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2206150 | PA      | $2096665.72   | 0.13%             | 2050-11-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                 | BAYER US FINANCE II LLC 144A 2.850000% 04/15/2025                                | CUSIP: 07274NAX1<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | DE        |    520000 | PA      | $487886.33    | 0.03%             | 2025-04-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                      | ENERGY TRANSFER LP 4.050000% 03/15/2025                                          | CUSIP: 29273RBD0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $971023.66    | 0.06%             | 2025-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST                             | TRICON AMERICAN HOMES 2017-SFR2 TRUST TAH 2017-SFR2 A                            | CUSIP: 89613FAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1825106 | PA      | $1759340.43   | 0.11%             | 2036-01-17      | Fixed         | 2.93%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                    | JPMORGAN CHASE & CO 4.023000% 12/05/2024                                         | CUSIP: 46647PAY2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |  11510000 | PA      | $11371566.35  | 0.73%             | 2024-12-05      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| LA BANQUE TORONTO-DOMINION                              | TORONTO-DOMINION BANK/THE 144A 3.815000% 07/25/2025                              | CUSIP: 891160TC7<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | NUSS              | CA        |   6135000 | PA      | $5990076.88   | 0.38%             | 2025-07-25      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST                            | DRIVE AUTO RECEIVABLES TRUST 2021-2 DRIVE 2021-2 C                               | CUSIP: 262104AE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2000000 | PA      | $1912483.00   | 0.12%             | 2027-10-15      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE TRUST                            | MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC MLCC 2004-A A1                | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    196219 | PA      | $177073.34    | 0.01%             | 2029-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE GLOBAL FUNDING                            | NEW YORK LIFE GLOBAL FUNDING MTN 3.150000% 06/06/2024                            | CUSIP: 64952WET6<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |  12010000 | PA      | $11693537.82  | 0.75%             | 2024-06-06      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL US LLC                  | GSK CONSUMER HEALTHCARE CAPITAL US LLC 3.024000% 03/24/2024                      | CUSIP: 36264FAH4<br>LEI: 549300N8C3A3L0UVQB07 | Long             | DBT              | CORP              | US        |   4375000 | PA      | $4246671.28   | 0.27%             | 2024-03-24      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                   | AIR LEASE CORP 2.200000% 01/15/2027                                              | CUSIP: 00914AAR3<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    770000 | PA      | $671817.58    | 0.04%             | 2027-01-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ST TPK AUTH TPK REV                          | NEW JERSEY ST TURNPIKE AUTH TU NEW JERSEY TURNPIKE AUTHORITY                     | CUSIP: 646140DM2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   3595000 | PA      | $3443253.97   | 0.22%             | 2024-01-01      | Fixed         | 0.64%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED              | SYDNEY AIRPORT FINANCE CO PTY LTD 144A 3.900000% 03/22/2023                      | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | NUSS              | AU        |    965000 | PA      | $961172.89    | 0.06%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-A NAVSL 2021-A A                  | CUSIP: 63942BAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4237021 | PA      | $3617664.03   | 0.23%             | 2069-05-15      | Fixed         | 0.84%                 | Yes           |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES                           | CONNECTICUT AVENUE SECURITIES TRUST 2022-R08 CAS 2022-R08 1M1                    | CUSIP: 20755DAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1738810 | PA      | $1727297.38   | 0.11%             | 2042-07-25      | Floating      | 5.55%                 | Yes           |                  2 | On Loan: No      |
| HSI ASSET SECURITIZATION CORPORATION TRUST              | HSI ASSET SECURITIZATION CORP TRUST 2006-OPT2 HASC 2006-OPT2 M2                  | CUSIP: 40430HEB0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    698139 | PA      | $684401.60    | 0.04%             | 2036-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| EXELON CORPORATION                                      | EXELON CORP 144A 2.750000% 03/15/2027                                            | CUSIP: 30161NAZ4<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    505000 | PA      | $465477.74    | 0.03%             | 2027-03-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC.                                             | ABBVIE INC 3.800000% 03/15/2025                                                  | CUSIP: 00287YCX5<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34241.79     | 0.00%             | 2025-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| SEI Daily Income Trust: Government Fund; Class F Shares | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                     | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |  14932580 | NS      | $14932580.46  | 0.96%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                   | AIR LEASE CORP 3.375000% 07/01/2025                                              | CUSIP: 00914AAH5<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    400000 | PA      | $377471.80    | 0.02%             | 2025-07-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST            | AMERICAN EXPRESS CREDIT ACCOUNT MASTER TRUST AMXCA 2022-3 A                      | CUSIP: 02582JJV3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2650000 | PA      | $2578550.17   | 0.17%             | 2027-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC.                                   | KEURIG DR PEPPER INC 0.750000% 03/15/2024                                        | CUSIP: 49271VAL4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   7575000 | PA      | $7170568.78   | 0.46%             | 2024-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| KUBOTA CREDIT OWNER TRUST                               | KUBOTA CREDIT OWNER TRUST 2020-1 KCOT 2020-1A A4                                 | CUSIP: 50117WAD6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1332000 | PA      | $1298245.92   | 0.08%             | 2026-07-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| NATIONAL SECURITIES CLEARING CORPORATION                | NATIONAL SECURITIES CLEARING CORP 144A 5.050000% 11/21/2024                      | CUSIP: 637639AG0<br>LEI: 549300RYC9NELN2ICA34 | Long             | DBT              | CORP              | US        |   7700000 | PA      | $7712509.96   | 0.49%             | 2024-11-21      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TRUST                       | NATIONSTAR HOME EQUITY LOAN TRUST 2007-A NSTR 2007-A AV4                         | CUSIP: 63860HAD1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    191986 | PA      | $189943.00    | 0.01%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                    | JPMORGAN CHASE & CO 1.561000% 12/10/2025                                         | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   8120000 | PA      | $7500313.35   | 0.48%             | 2025-12-10      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| DT AUTO OWNER TRUST                                     | DT AUTO OWNER TRUST 2022-1 DTAOT 2022-1A B                                       | CUSIP: 23345YAC5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   4770000 | PA      | $4570825.79   | 0.29%             | 2026-09-15      | Fixed         | 2.43%                 | Yes           |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND                                 | DRYDEN 30 SENIOR LOAN FUND DRSLF 2013-30A AR                                     | CUSIP: 26249BAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    630566 | PA      | $619398.36    | 0.04%             | 2028-11-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| HILTON GRAND VACATIONS TRUST                            | HILTON GRAND VACATIONS TRUST 2020-A HGVT 2020-AA A                               | CUSIP: 43285HAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1686889 | PA      | $1584412.71   | 0.10%             | 2039-02-25      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MORTGAGE SECURITIES TRUST                     | NEWCASTLE MORTGAGE SECURITIES TRUST 2007-1 NCMT 2007-1 1A1                       | CUSIP: 65106FAA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1591717 | PA      | $1511984.97   | 0.10%             | 2037-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I, INC.                      | MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-HE7 MSAC 2007-HE7 A2B                | CUSIP: 61756YAC7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1328163 | PA      | $1278311.30   | 0.08%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                    | JACKSON NATIONAL LIFE GLOBAL FUNDING 144A 1.750000% 01/12/2025                   | CUSIP: 46849LUV1<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |   5650000 | PA      | $5234369.11   | 0.34%             | 2025-01-12      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SEI Daily Income Trust: Government Fund; Class F Shares | SEI DAILY INCOME TRUST GOVERNMENT FUND (#36)                                     | CUSIP: 783965593<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   5182441 | NS      | $5182440.79   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ37 A1                  | CUSIP: 3137H5FY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2286238 | PA      | $2073088.15   | 0.13%             | 2027-12-25      | Fixed         | 1.68%                 | No            |                  2 | On Loan: No      |
| Enbridge Inc.                                           | ENBRIDGE INC 0.550000% 10/04/2023                                                | CUSIP: 29250NBG9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | NUSS              | CA        |  11500000 | PA      | $11053445.92  | 0.71%             | 2023-10-04      | Fixed         | 0.55%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US 5YR NOTE (CBT) MAR23 FINANCIAL COMMODITY FUTURE.                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -314 | NC      | $-34091078.13 | -2.18%            |  |  |  | No            |                  1 | On Loan: No      |
| COLD STORAGE TRUST                                      | COLD STORAGE TRUST 2020-ICE5 COLD 2020-ICE5 A                                    | CUSIP: 193051AA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1474486 | PA      | $1432314.31   | 0.09%             | 2037-11-15      | Floating      | 4.78%                 | Yes           |                  2 | On Loan: No      |
| BBCMS TRUST                                             | BBCMS MORTGAGE TRUST 2020-C7 BBCMS 2020-C7 A1                                    | CUSIP: 05492VAA3<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    948639 | PA      | $898259.92    | 0.06%             | 2053-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KJ32 A1                  | CUSIP: 3137F72U8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    660383 | PA      | $622730.01    | 0.04%             | 2025-06-25      | Fixed         | 0.52%                 | No            |                  2 | On Loan: No      |
| VMWARE, INC.                                            | VMWARE INC 1.000000% 08/15/2024                                                  | CUSIP: 928563AH8<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |   1155000 | PA      | $1075452.85   | 0.07%             | 2024-08-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST 2013-GC13 GSMS 2013-GC13 AAB                        | CUSIP: 36198EAF2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     82253 | PA      | $81943.61     | 0.01%             | 2046-07-10      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| IRVINE CORE OFFICE TRUST                                | IRVINE CORE OFFICE TRUST 2013-IRV ICOT 2013-IRV B                                | CUSIP: 46361TAG7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1600000 | PA      | $1567790.08   | 0.10%             | 2048-05-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST                                     | COMM 2014-UBS6 MORTGAGE TRUST COMM 2014-UBS6 ASB                                 | CUSIP: 12592PBD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    795062 | PA      | $778282.81    | 0.05%             | 2047-12-10      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| THE BOEING COMPANY                                      | BOEING CO/THE 1.433000% 02/04/2024                                               | CUSIP: 097023DE2<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    680000 | PA      | $649124.08    | 0.04%             | 2024-02-04      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO.                                    | JPMORGAN CHASE & CO 0.697000% 03/16/2024                                         | CUSIP: 46647PBZ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   2325000 | PA      | $2291215.33   | 0.15%             | 2024-03-16      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| CHICAGO ILL O HARE INTL ARPT REV                        | CHICAGO IL O'HARE INTERNATIONA CHICAGO O'HARE INTERNATIONAL AIRPORT              | CUSIP: 167593S60<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   2375000 | PA      | $2279928.75   | 0.15%             | 2024-01-01      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST  | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRU JPMCC 2021-MHC A              | CUSIP: 466330AA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    925999 | PA      | $895788.10    | 0.06%             | 2038-04-15      | Floating      | 4.67%                 | Yes           |                  2 | On Loan: No      |
| Nationwide Building Society                             | NATIONWIDE BUILDING SOCIETY 144A 4.363000% 08/01/2024                            | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | NUSS              | GB        |    335000 | PA      | $330118.63    | 0.02%             | 2024-08-01      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS ST SPL OBLIG REV                          | MASSACHUSETTS ST SPL OBLG REVE COMMONWEALTH OF MASSACHUSETTS                     | CUSIP: 576004HG3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   1000000 | PA      | $973103.90    | 0.06%             | 2031-07-15      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR SD8189                                                       | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |   2602125 | PA      | $2226748.57   | 0.14%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                              | NAVIENT STUDENT LOAN TRUST 2015-2 NAVSL 2015-2 A3                                | CUSIP: 63939GAC2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    747331 | PA      | $713893.84    | 0.05%             | 2040-11-26      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO, LIMITED                                  | MAGNETITE XVIII LTD MAGNE 2016-18A AR2                                           | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2484251 | PA      | $2447675.41   | 0.16%             | 2028-11-15      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN TRUST                               | OWNIT MORTGAGE LOAN TRUST SERIES 2006-3 OWNIT 2006-3 A2D                         | CUSIP: 69121PDY6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3273101 | PA      | $3022980.92   | 0.19%             | 2037-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES INC                      | AMERIQUEST MORTGAGE SECURITIES INC ASSET-BACKED PA AMSI 2005-R9 M1               | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1319948 | PA      | $1285803.02   | 0.08%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C2 JPMDB 2016-C2 ASB             | CUSIP: 46590LAU6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    625651 | PA      | $597969.43    | 0.04%             | 2049-06-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION LOAN TRUST                    | NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-F NAVSL 2020-FA A                 | CUSIP: 63941XAA5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   3665476 | PA      | $3248837.09   | 0.21%             | 2069-07-15      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES CORP II GSMS 2018-GS10 A1                                 | CUSIP: 36250SAA7<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    246765 | PA      | $245069.06    | 0.02%             | 2051-07-10      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| GREAT WOLF TRUST                                        | GREAT WOLF TRUST 2019-WOLF GWT 2019-WOLF A                                       | CUSIP: 39152TAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1500000 | PA      | $1447160.40   | 0.09%             | 2036-12-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES, L.P.                         | HUDSON PACIFIC PROPERTIES LP 5.950000% 02/15/2028                                | CUSIP: 44409MAD8<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |    545000 | PA      | $517426.60    | 0.03%             | 2028-02-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST                     | CITIGROUP COMMERCIAL MORTGAGE TRUST 2021-PRM2 CGCMT 2021-PRM2 A                  | CUSIP: 17291HAA2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1782000 | PA      | $1707091.85   | 0.11%             | 2036-10-15      | Floating      | 4.83%                 | Yes           |                  2 | On Loan: No      |
| DENVER COLO CITY & CNTY ARPT REV                        | DENVER CITY & CNTY CO ARPT REV CITY & COUNTY OF DENVER CO AIRPORT SYSTEM REVENUE | CUSIP: 249182PL4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    610000 | PA      | $569122.50    | 0.04%             | 2024-11-15      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon Corporation                 | BANK OF NEW YORK MELLON CORP/THE MTN 3.430000% 06/13/2025                        | CUSIP: 06406RBF3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |  10845000 | PA      | $10602137.61  | 0.68%             | 2025-06-13      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO                                       | PALMER SQUARE CLO 2018-1 LTD PLMRS 2018-1A A1                                    | CUSIP: 69703PAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491124.00    | 0.03%             | 2031-04-18      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| KEY COMMERCIAL MORTGAGE SECURITIES TRUST                | KEY COMMERCIAL MORTGAGE SECURITIES TRUST 2018-S1 KCM 2018-S1 A1                  | CUSIP: 49307WAA4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    593464 | PA      | $582115.94    | 0.04%             | 2053-10-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST                           | FREDDIE MAC STACR REMIC TRUST 2022-DNA2 STACR 2022-DNA2 M1A                      | CUSIP: 35564KRE1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   1121029 | PA      | $1100065.52   | 0.07%             | 2042-02-25      | Floating      | 4.82%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 4203 DM                                                   | CUSIP: 3137B2CM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    211635 | PA      | $203325.87    | 0.01%             | 2033-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC REMICS FHR 3960 JF                                                   | CUSIP: 3137AJFC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     31575 | PA      | $31544.93     | 0.00%             | 2041-04-15      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| MARGARITAVILLE BEACH RESORT TRUST                       | JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES COR JPMCC 2019-MARG A             | CUSIP: 56658LAA8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1418000 | PA      | $1390971.22   | 0.09%             | 2034-05-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF51 A                   | CUSIP: 3137FHX40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    328372 | PA      | $325200.62    | 0.02%             | 2025-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST                              | NAVIENT STUDENT LOAN TRUST 2017-3 NAVSL 2017-3A A2                               | CUSIP: 63940JAB5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    141826 | PA      | $141757.45    | 0.01%             | 2066-07-26      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LOAN SECURITIES CORP               | PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES PCHLT 2005-4 1A3               | CUSIP: 71085PDE0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1541496 | PA      | $1444967.78   | 0.09%             | 2035-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 1.750000% 12/31/2024                                             | CUSIP: 912828YY0<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  59580000 | PA      | $56570744.68  | 3.63%             | 2024-12-31      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UBS COMMERCIAL MORTGAGE TRUST                           | UBS COMMERCIAL MORTGAGE TRUST 2017-C6 UBSCM 2017-C6 ASB                          | CUSIP: 90276UAU5<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    999997 | PA      | $953964.45    | 0.06%             | 2050-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Group AG                                  | CREDIT SUISSE GROUP AG 144A 4.282000% 01/09/2028                                 | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | NUSS              | CH        |   1075000 | PA      | $875923.05    | 0.06%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC POOL FR ZS8617                                                       | CUSIP: 3132A9SE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |    428974 | PA      | $405101.24    | 0.03%             | 2031-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST                            | GS MORTGAGE SECURITIES TRUST 2013-GCJ14 GSMS 2013-GC14 A4                        | CUSIP: 36198FAD4<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1293536 | PA      | $1277879.53   | 0.08%             | 2046-08-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY MTN 1.164000% 10/21/2025                                          | CUSIP: 61747YEG6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |  11730000 | PA      | $10729804.84  | 0.69%             | 2025-10-21      | Fixed         | 1.16%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC.                               | WILLIS NORTH AMERICA INC 4.650000% 06/15/2027                                    | CUSIP: 970648AL5<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |    615000 | PA      | $597288.67    | 0.04%             | 2027-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| SIERRA TIMESHARE RECEIVABLES FUNDING LLC                | SIERRA TIMESHARE 2019-3 RECEIVABLES FUNDING LLC SRFC 2019-3A A                   | CUSIP: 82652NAA6<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    664458 | PA      | $623064.94    | 0.04%             | 2036-08-20      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORPORATION                  | OPTEUM MORTGAGE ACCEPTANCE CORP ASSET BACKED PASS- OPMAC 2005-2 M5               | CUSIP: 68383NBA0<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |    755861 | PA      | $739993.18    | 0.05%             | 2035-04-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| CIM TRUST                                               | CIM 2022-I1 A1 02/25/2067 SERIES 22 11 CLASS A1                                  | CUSIP: 12568TAC9<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1160011 | PA      | $1098768.03   | 0.07%             | 2067-02-25      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST                  | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2020-4 SDART 2020-4 D                     | CUSIP: 80286WAG1<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   2500000 | PA      | $2373055.75   | 0.15%             | 2027-01-15      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                         | AVOLON HOLDINGS FUNDING LTD 144A 2.528000% 11/18/2027                            | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | NUSS              | IE        |    133000 | PA      | $107576.39    | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| DTE ENERGY COMPANY                                      | DTE ENERGY CO 4.220000% 11/01/2024                                               | CUSIP: 233331BD8<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |   8830000 | PA      | $8694243.52   | 0.56%             | 2024-11-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST              | JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C1 JPMBB 2013-C17 ASB            | CUSIP: 46640UAE2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |     85630 | PA      | $84577.31     | 0.01%             | 2047-01-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| DISCOVER BANK                                           | DISCOVER BANK 2.450000% 09/12/2024                                               | CUSIP: 25466AAQ4<br>LEI: X05BVSK68TQ7YTOSNR22 | Long             | DBT              | CORP              | US        |    987000 | PA      | $932664.19    | 0.06%             | 2024-09-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CE FHMS KF37 A                   | CUSIP: 3137FBC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGA              | US        |     83733 | PA      | $82890.30     | 0.01%             | 2027-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| VANTAGE DATA CENTERS ISSUER LLC                         | VANTAGE DATA CENTERS ISSUER LLC VDC 2020-1A A2                                   | CUSIP: 92212KAB2<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1086000 | PA      | $947149.14    | 0.06%             | 2045-09-15      | Fixed         | 1.65%                 | Yes           |                  2 | On Loan: No      |
| DBJPM MORTGAGE TRUST                                    | DBJPM 2016-C3 MORTGAGE TRUST DBJPM 2016-C3 ASB                                   | CUSIP: 23312VAD8<br>LEI: N/A                  | Long             | ABS-MBS          |  | US        |   1381324 | PA      | $1315505.01   | 0.08%             | 2049-08-10      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| United States of America                                | US TREASURY N/B 4.500000% 11/30/2024                                             | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | SN               | UST               | US        |  60820000 | PA      | $61000559.38  | 3.91%             | 2024-11-30      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                          | MORGAN STANLEY MTN 0.529000% 01/25/2024                                          | CUSIP: 6174468W2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   2745000 | PA      | $2718626.70   | 0.17%             | 2024-01-25      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-11-30

**Name of Applicant:** SEI INSTITUTIONAL INVESTMENTS TRUST

**Signature:** Ankit Puri

**Name of Signer:** Ankit Puri

**Title:** CFO