# EDGAR Filing Document

**Accession Number:** 0001738074
**File Stem:** 0001752724-23-012215
**Filing Date:** 2023-1
**Character Count:** 306344
**Document Hash:** ba44163e0c1c5cbb39b6ed87638225c7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-012215.hdr.sgml**: 20230125

**ACCESSION NUMBER**: 0001752724-23-012215

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230125

**DATE AS OF CHANGE**: 20230125

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Funds IV
- **CENTRAL INDEX KEY:** 0001738074
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23341
- **FILM NUMBER:** 23551366

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

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

## Series and Classes Contracts Data

### BlackRock Sustainable Advantage CoreAlpha Bond Fund (Series ID: S000062371)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000202328 | Institutional Shares |  |
| C000202329 | Class K Shares       |  |
| C000202330 | Investor A Shares    |  |
| C000202331 | Investor C Shares    |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Funds IV

- **b. Investment Company Act file number:** 811-23341

- **c. CIK number of Registrant:** 0001738074

- **d. LEI of Registrant:** 549300PC6HXHVNYAKJ59

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

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

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

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

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

- **a. Name of Series:** BlackRock Sustainable Advantage CoreAlpha Bond Fund

- **b. EDGAR series identifier (if any):** S000062371

- **c. LEI of Series:** 54930078IOQHPZTTT771

**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:** $75007767.21

**Total Liabilities:** $11078960.37

**Net Assets:** $63928806.84

**Cash Not Reported:** $1366739.15

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 736.26000000 | **1-Year:** 507.92000000 | **5-Year:** 8687.32000000 | **10-Year:** 9546.94000000 | **30-Year:** 6159.35000000

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

- **3-Month:** 139.27000000 | **1-Year:** -2898.94000000 | **5-Year:** -406.97000000 | **10-Year:** 4805.62000000 | **30-Year:** -3779.27000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202331 | -4.51%               | -1.41%               | 3.63%                |
| Class ID C000202330 | -4.45%               | -1.35%               | 3.69%                |
| Class ID C000202329 | -4.42%               | -1.32%               | 3.72%                |
| Class ID C000202328 | -4.43%               | -1.32%               | 3.71%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-475607.55              | $-2210000.20                               |
| Month 2  | $-591113.19              | $-31894.73                                 |
| Month 3  | $-145472.35              | $1940461.28                                |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                              | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                   | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47624.63     | 0.07%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6NX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     55720 | PA      | $50290.70     | 0.08%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERISOURCEBERGEN CORP                                                           | AmerisourceBergen Corp                                             | CUSIP: 03073EAT2<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |     13000 | PA      | $10762.70     | 0.02%             | 2031-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                     | CUSIP: 57636QAT1<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     85000 | PA      | $62609.62     | 0.10%             | 2051-03-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                                                | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |         1 | NC      | $-37.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                                                           | Mizuho Financial Group Inc                                         | CUSIP: 60687YBS7<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $174162.00    | 0.27%             | 2027-07-09      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6BM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51757 | PA      | $45387.01     | 0.07%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    625000 | PA      | $567114.26    | 0.89%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.495000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     19950 | OU      | $318.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179VQT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    394913 | PA      | $359636.40    | 0.56%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QLFF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22842 | PA      | $19615.77     | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 4.186040 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |    100000 | OU      | $63.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    575000 | PA      | $533761.72    | 0.83%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    150000 | PA      | $83671.88     | 0.13%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                        | CUSIP: 797440BK9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26320.26     | 0.04%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0124C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    192813 | PA      | $168978.75    | 0.26%             | 2037-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                 | CUSIP: 25243YBA6<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $190320.58    | 0.30%             | 2024-10-24      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Drive Auto Receivables Trust                                                     | Drive Auto Receivables Trust 2021-1                                | CUSIP: 262108AE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    220000 | PA      | $213940.34    | 0.33%             | 2027-06-15      | Fixed         | 1.02%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.187000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    290000 | OU      | $-381.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                               | CUSIP: 78015K7C2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $23805.62     | 0.04%             | 2024-11-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BARINGS BDC INC                                                                  | Barings BDC Inc                                                    | CUSIP: 06759LAC7<br>LEI: 549300GSF4KFZP6ONG49 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12682.70     | 0.02%             | 2026-11-23      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                             | CUSIP: 209111FZ1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     25000 | PA      | $15833.15     | 0.02%             | 2060-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418ECC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76927 | PA      | $67457.50     | 0.11%             | 2037-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Inc                                                                    | Citigroup Inc                                                      | CUSIP: 172967KG5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47995.02     | 0.08%             | 2026-01-12      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                     | CUSIP: 61746BEG7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     15000 | PA      | $13024.02     | 0.02%             | 2047-01-22      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| PROCTER & GAMBLE CO/THE                                                          | Procter & Gamble Co/The                                            | CUSIP: 742718FK0<br>LEI: 2572IBTT8CCZW6AU4141 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25616.16     | 0.04%             | 2050-03-25      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                       | AbbVie Inc                                                         | CUSIP: 00287YCB3<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25796.39     | 0.04%             | 2049-11-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KKLQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35494 | PA      | $30585.45     | 0.05%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.527500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     40000 | OU      | $126.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    405000 | PA      | $344629.69    | 0.54%             | 2052-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                         | CUSIP: 00287YAM1<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4465.99      | 0.01%             | 2042-11-06      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 7.535000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    100000 | OU      | $-1587.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418D4X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    580705 | PA      | $479511.52    | 0.75%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GR                                                         | Cogent Communications Group Inc                                    | CUSIP: 19240CAE3<br>LEI: 549300KFWFYF8Q1U0Y26 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97500.00     | 0.15%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP/CSL CAPITAL                                                          | Uniti Group LP / Uniti Group Finance Inc / CSL Capital LLC         | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              |  | US        |    150000 | PA      | $109875.00    | 0.17%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                                             | PURCHASED USD / SOLD AUD                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-101.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140JPN35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39028 | PA      | $36471.74     | 0.06%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERMILION ENERGY INC                                                             | Vermilion Energy Inc                                               | CUSIP: 923725AD7<br>LEI: WT03B8BB1IX8WI9ZGV02 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $92326.57     | 0.14%             | 2030-05-01      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Visa Inc                                                                         | Visa Inc                                                           | CUSIP: 92826CAJ1<br>LEI: 549300JZ4OKEHW3DPJ59 | Long             | DBT              | CORP              | US        |     48000 | PA      | $40844.78     | 0.06%             | 2047-09-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132DMUS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59884 | PA      | $53939.43     | 0.08%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hubbell Inc                                                                      | Hubbell Inc                                                        | CUSIP: 443510AJ1<br>LEI: 54930088VDQ6840Y6597 | Long             | DBT              | CORP              | US        |     35000 | PA      | $32508.39     | 0.05%             | 2028-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140J8LN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7692 | PA      | $7195.34      | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -460000 | PA      | $-447709.38   | -0.70%            | 2052-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133L8U52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45551 | PA      | $41106.52     | 0.06%             | 2037-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 4.032000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     30000 | OU      | $773.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                  | CUSIP: 3622A2XW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71818 | PA      | $65084.17     | 0.10%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138WJNJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24014 | PA      | $22464.47     | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2020-HQA4                            | CUSIP: 35565RAH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14299 | PA      | $14298.76     | 0.02%             | 2050-09-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN INC                                                                | Kinder Morgan Inc                                                  | CUSIP: 49456BAV3<br>LEI: 549300WR7IX8XE0TBO16 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18800.38     | 0.03%             | 2033-02-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140MGLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25030 | PA      | $20648.29     | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MetLife Inc                                                                      | MetLife Inc                                                        | CUSIP: 59156RBB3<br>LEI: C4BXATY60WC6XEOZDX54 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69821.73     | 0.11%             | 2023-09-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD CZK                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |         1 | NC      | $-151.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                | CUSIP: 46647PBH8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     34000 | PA      | $31594.49     | 0.05%             | 2026-03-13      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD SEK                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-1632.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XCLX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45518 | PA      | $39090.59     | 0.06%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CANADIAN NATL RAILWAY                                                            | Canadian National Railway Co                                       | CUSIP: 136375DB5<br>LEI: 3SU7BEP7TH9YEQOZCS77 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $18088.29     | 0.03%             | 2052-08-05      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.827510 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    150000 | OU      | $-418.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179TG41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    255682 | PA      | $241849.17    | 0.38%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QNWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49009 | PA      | $42008.85     | 0.07%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 31334YPK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39621 | PA      | $35851.21     | 0.06%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38143U8H7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24192.49     | 0.04%             | 2026-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-5                                | CUSIP: 91679JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49439 | PA      | $47171.74     | 0.07%             | 2031-11-20      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132A5HX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8508 | PA      | $7637.74      | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3128MJZM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9611 | PA      | $8676.24      | 0.01%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INTL FLAVOR & FRAGRANCES                                                         | International Flavors & Fragrances Inc                             | CUSIP: 459506AC5<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |    150000 | PA      | $148710.34    | 0.23%             | 2023-05-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                     | CUSIP: 594918CC6<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     25000 | PA      | $17217.21     | 0.03%             | 2050-06-01      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                             | CUSIP: 620076BT5<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    160000 | PA      | $126167.55    | 0.20%             | 2030-11-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                 | CUSIP: 25243YBE8<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    550000 | PA      | $441789.94    | 0.69%             | 2032-04-29      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                 | CUSIP: 907818FK9<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3729.02      | 0.01%             | 2050-02-05      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.733910 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     50000 | OU      | $693.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                        | CUSIP: 713448FN3<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |    300000 | PA      | $279914.81    | 0.44%             | 2052-07-18      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132A5F59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25242 | PA      | $22722.50     | 0.04%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                          | CUSIP: 037833EA4<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3219.70      | 0.01%             | 2060-08-20      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                   | CUSIP: 191216DC1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |     20000 | PA      | $13354.35     | 0.02%             | 2051-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CRESTWOOD MID PARTNER LP                                                         | Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp | CUSIP: 226373AR9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $69187.50     | 0.11%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BTP FUTURE DEC22                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -2 | NC      | $-9814.62     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ARTHUR J GALLAGHER & CO                                                          | Arthur J Gallagher & Co                                            | CUSIP: 363576AB5<br>LEI: 54930049QLLMPART6V29 | Long             | DBT              | CORP              | US        |    135000 | PA      | $96288.72     | 0.15%             | 2051-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                  | CUSIP: 04010LBD4<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     80000 | PA      | $68566.48     | 0.11%             | 2027-06-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20366 | PA      | $19108.93     | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140J8X57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35472 | PA      | $34342.79     | 0.05%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -219000 | PA      | $-200453.44   | -0.31%            | 2052-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AstraZeneca PLC                                                                  | AstraZeneca PLC                                                    | CUSIP: 046353AL2<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | DBT              | CORP              | GB        |     50000 | PA      | $48440.53     | 0.08%             | 2025-11-16      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.756820 21-DEC-2052                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    240000 | OU      | $3527.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                               | VICI Properties LP                                                 | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              |  | US        |     90000 | PA      | $84420.90     | 0.13%             | 2032-05-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179RD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6322 | PA      | $5854.33      | 0.01%             | 2045-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                            | CUSIP: 0641596E1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    180000 | PA      | $167428.16    | 0.26%             | 2024-07-31      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| DH EUROPE FINANCE II                                                             | DH Europe Finance II Sarl                                          | CUSIP: 23291KAK1<br>LEI: 222100KDGL314CKTZ511 | Long             | DBT              | CORP              | LU        |     15000 | PA      | $11442.11     | 0.02%             | 2049-11-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140MGK34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28854 | PA      | $23805.20     | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25882 | PA      | $24226.74     | 0.04%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC USA Inc                                                                     | HSBC USA Inc                                                       | CUSIP: 40434CAD7<br>LEI: 549300LBOHZ4QSIWU288 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97641.13     | 0.15%             | 2024-06-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAZZ SECURITIES DAC                                                              | Jazz Securities DAC                                                | CUSIP: 47216FAA5<br>LEI: 6354009DV8VV7K6KOO02 | Long             | DBT              | CORP              | IE        |    100000 | PA      | $90752.00     | 0.14%             | 2029-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BAYLOR SCOTT & WHITE HOL                                                         | Baylor Scott & White Holdings                                      | CUSIP: 072863AJ2<br>LEI: 549300JQDKSBWYRGGV95 | Long             | DBT              | CORP              | US        |      4000 | PA      | $2638.10      | 0.00%             | 2050-11-15      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Chase Auto Credit Linked Notes                                                   | JPMorgan Chase Bank NA - CACLN                                     | CUSIP: 46591HCD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    157094 | PA      | $147511.16    | 0.23%             | 2029-02-26      | Fixed         | 0.76%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.426120 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    160000 | OU      | $-57.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0126C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75000 | PA      | $61116.21     | 0.10%             | 2052-12-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | Toronto-Dominion Bank/The                                          | CUSIP: 89114TZA3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $97811.70     | 0.15%             | 2023-06-02      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 31307NT61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120291 | PA      | $115972.03    | 0.18%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD CHF                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $19.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QG3B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41754 | PA      | $34528.68     | 0.05%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: MXN 9.000000 08-MAR-2028                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |   1280000 | OU      | $-1016.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Carvana Auto Receivables Trust                                                   | Carvana Auto Receivables Trust 2021-N2                             | CUSIP: 14686KAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19383 | PA      | $17769.17     | 0.03%             | 2028-03-10      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | Citigroup Inc                                                      | CUSIP: 172967MT5<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95251.94     | 0.15%             | 2024-10-30      | Fixed         | 0.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418DPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14639 | PA      | $13957.84     | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD SGD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-1483.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                                         | Uruguay Government International Bond                              | CUSIP: 917288BK7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     50000 | PA      | $50000.00     | 0.08%             | 2031-01-23      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179VBF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39832 | PA      | $36345.94     | 0.06%             | 2049-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                            | Wells Fargo Commercial Mortgage Trust 2015-C31                     | CUSIP: 94989WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45000 | PA      | $42619.13     | 0.07%             | 2048-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CGG SA                                                                           | CGG SA                                                             | CUSIP: 12531TAF6<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |    100000 | PA      | $84105.51     | 0.13%             | 2027-04-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                | CUSIP: 46647PBK1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     17000 | PA      | $15793.23     | 0.02%             | 2026-04-22      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0324C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $72052.73     | 0.11%             | 2037-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 3.965000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     70000 | OU      | $-10.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18175 | PA      | $17641.65     | 0.03%             | 2046-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                              | CUSIP: 882508BM5<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     40000 | PA      | $27931.85     | 0.04%             | 2051-09-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133B3L54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24941 | PA      | $20578.69     | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-1                                | CUSIP: 91681NAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8960 | PA      | $8912.44      | 0.01%             | 2031-03-20      | Fixed         | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                  | CUSIP: 3622A2ZU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4983 | PA      | $4752.04      | 0.01%             | 2046-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BLOCK FINANCIAL LLC                                                              | Block Financial LLC                                                | CUSIP: 093662AH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $149776.48    | 0.23%             | 2030-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US ULTRA BOND CBT MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        10 | NC      | $19505.24     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QCWN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10027 | PA      | $8945.09      | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                     | CUSIP: 78409VAR5<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     80000 | PA      | $45966.57     | 0.07%             | 2060-08-15      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X7VU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54376 | PA      | $46979.54     | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Jersey Transportation Trust Fund Authority                                   | NEW JERSEY ST TRANSPRTN TRUST FUND AUTH                            | CUSIP: 6461366S5<br>LEI: 549300YUVD5TEXR6L889 | Long             | DBT              | MUN               | US        |     25000 | PA      | $19962.50     | 0.03%             | 2042-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 3.751180 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    180000 | OU      | $-130.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                          | CUSIP: 775109CD1<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $16278.87     | 0.03%             | 2052-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.095000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     30000 | OU      | $972.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WABASH NATIONAL CORP                                                             | Wabash National Corp                                               | CUSIP: 929566AL1<br>LEI: 5299004ZAWHQZI5XO485 | Long             | DBT              | CORP              | US        |    100000 | PA      | $84557.88     | 0.13%             | 2028-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140KQN31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80687 | PA      | $66879.61     | 0.10%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Campbell Soup Co                                                                 | Campbell Soup Co                                                   | CUSIP: 134429BH1<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18144.45     | 0.03%             | 2048-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Santander Drive Auto Receivables Trust                                           | Santander Drive Auto Receivables Trust 2021-1                      | CUSIP: 80286NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    101352 | PA      | $99687.98     | 0.16%             | 2026-02-17      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6B33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56048 | PA      | $50577.69     | 0.08%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALLEGHANY CORP                                                                   | Alleghany Corp                                                     | CUSIP: 017175AF7<br>LEI: 549300DCJE6AYX159479 | Long             | DBT              | CORP              | US        |     60000 | PA      | $43043.07     | 0.07%             | 2051-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133L8A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37797 | PA      | $34111.67     | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.659500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     40000 | OU      | $11.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66000 | PA      | $60977.53     | 0.10%             | 2037-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTUIT INC                                                                       | Intuit Inc                                                         | CUSIP: 46124HAD8<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | DBT              | CORP              | US        |      2000 | PA      | $1601.91      | 0.00%             | 2030-07-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| CBRE Services Inc                                                                | CBRE Services Inc                                                  | CUSIP: 12505BAD2<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30008.97     | 0.05%             | 2026-03-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GXS8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     62000 | PA      | $55829.14     | 0.09%             | 2026-02-12      | Fixed         | 0.86%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                                                   | Mastercard Inc                                                     | CUSIP: 57636QAK0<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21971.13     | 0.03%             | 2048-02-26      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140F9WA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8538 | PA      | $7982.04      | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                    | CUSIP: 126650CN8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9337.00      | 0.01%             | 2045-07-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 3617NWHS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16037 | PA      | $13784.31     | 0.02%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal                                       | CAN 10YR BOND FUT MAR23                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -6 | NC      | $-3578.10     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| VERISK ANALYTICS INC                                                             | Verisk Analytics Inc                                               | CUSIP: 92345YAG1<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21447.65     | 0.03%             | 2050-05-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                          | CUSIP: 775109CB5<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $27993.97     | 0.04%             | 2027-03-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74144 | PA      | $70064.63     | 0.11%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810EW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $105683.59    | 0.17%             | 2026-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KAISER FOUNDATION HOSPIT                                                         | Kaiser Foundation Hospitals                                        | CUSIP: 48305QAG8<br>LEI: DW4Z57L3G4IRMHYZYK62 | Long             | DBT              | CORP              | US        |      7000 | PA      | $4849.21      | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                       | VMware Inc                                                         | CUSIP: 928563AL9<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    110000 | PA      | $83955.89     | 0.13%             | 2031-08-15      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GZV9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     20000 | PA      | $20239.57     | 0.03%             | 2024-11-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                       | 3M Co                                                              | CUSIP: 88579YBM2<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     75000 | PA      | $71859.30     | 0.11%             | 2025-04-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13801 | PA      | $13345.92     | 0.02%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179RNW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158921 | PA      | $150115.04    | 0.23%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR ULTRA FUT MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -5 | NC      | $-6137.72     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.112900 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    420000 | OU      | $-495.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CRE                                                           | Blackstone Private Credit Fund                                     | CUSIP: 09261HAT4<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |     15000 | PA      | $14659.90     | 0.02%             | 2025-03-24      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                                         | Uruguay Government International Bond                              | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     25000 | PA      | $25300.00     | 0.04%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                 | CUSIP: 606822AH7<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $195508.15    | 0.31%             | 2023-09-13      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179TCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14858 | PA      | $14788.69     | 0.02%             | 2047-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.183800 21-DEC-2052                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   1180000 | OU      | $-18819.98    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLICA ORIENT URUGUAY                                                         | Uruguay Government International Bond                              | CUSIP: 760942BD3<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     30000 | PA      | $29025.00     | 0.05%             | 2055-04-20      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                     | CUSIP: 6174467X1<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50116.79     | 0.08%             | 2025-11-24      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QMAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    278223 | PA      | $229651.65    | 0.36%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    620043 | PA      | $510687.76    | 0.80%             | 2052-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810ES3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $211742.19    | 0.33%             | 2024-11-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Citibank N.A.                                                                    | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |         1 | NC      | $-49.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.391000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     30000 | OU      | $383.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Exelon Corp                                                                      | Exelon Corp                                                        | CUSIP: 30161NAS0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23547.29     | 0.04%             | 2045-06-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                                                           | UnitedHealth Group Inc                                             | CUSIP: 91324PDQ2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40355.87     | 0.06%             | 2048-12-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.418000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     30000 | OU      | $408.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0404C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25000 | PA      | $24437.50     | 0.04%             | 2037-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.420000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     16955 | OU      | $231.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | SWAP/CDSWAP/ICE: (CDX.NA.HY.39.V1)                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   2810543 | OU      | $-80797.66    | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133L8H24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78638 | PA      | $70977.04     | 0.11%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $21968.75     | 0.03%             | 2052-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LPL HOLDINGS INC                                                                 | LPL Holdings Inc                                                   | CUSIP: 50212YAD6<br>LEI: 549300Z5YF8CCRMYUL26 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65425.13     | 0.10%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                             | CUSIP: 91324PES7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     55000 | PA      | $60865.35     | 0.10%             | 2053-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                          | CUSIP: 775109BZ3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     40000 | PA      | $33676.79     | 0.05%             | 2042-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                          | CUSIP: 45167RAG9<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43332.45     | 0.07%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                | CUSIP: 914455VJ6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     14000 | PA      | $11994.46     | 0.02%             | 2047-04-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.594090 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     40000 | OU      | $267.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2018-R07                       | CUSIP: 20753QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33754 | PA      | $33606.30     | 0.05%             | 2031-04-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    275000 | PA      | $227895.51    | 0.36%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd | MET GOVT NASHVILLE & DAVIDSONCNTY TN HLTH & EDUCTNL FAC BRD        | CUSIP: 592041WJ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     50000 | PA      | $48274.65     | 0.08%             | 2026-07-01      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                               | CUSIP: 06051GKW8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     55000 | PA      | $53915.47     | 0.08%             | 2028-07-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                                              | AUST 10Y BOND FUT DEC22                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         9 | NC      | $24440.66     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2022-R04                       | CUSIP: 20753YCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    244717 | PA      | $241664.57    | 0.38%             | 2042-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| California State University                                                      | CALIFORNIA ST UNIV REVENUE                                         | CUSIP: 13077DRW4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     20000 | PA      | $13409.38     | 0.02%             | 2052-11-01      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.906040 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    430000 | OU      | $-173.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.753000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     20000 | OU      | $-58.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA6                            | CUSIP: 35564KKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250146 | PA      | $245690.90    | 0.38%             | 2041-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PECO ENERGY CO                                                                   | PECO Energy Co                                                     | CUSIP: 693304AX5<br>LEI: YH65D4JBECK76IFEJ279 | Long             | DBT              | CORP              | US        |     25000 | PA      | $17401.43     | 0.03%             | 2049-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623712 | PA      | $549759.39    | 0.86%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138A6KF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    204949 | PA      | $199754.61    | 0.31%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140J93T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15987 | PA      | $15193.93     | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.506000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |     50000 | OU      | $-628.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                         | CUSIP: 98978VAT0<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $69709.13     | 0.11%             | 2050-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3128MJX39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53756 | PA      | $48581.47     | 0.08%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58913 | PA      | $53206.85     | 0.08%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMN HEALTHCARE INC                                                               | AMN Healthcare Inc                                                 | CUSIP: 00175PAC7<br>LEI: 549300H27NUKBFFQEE84 | Long             | DBT              | CORP              | US        |     75000 | PA      | $65801.25     | 0.10%             | 2029-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: MXN 9.065000 08-MAR-2028                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |    740000 | OU      | $-685.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.733500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     30000 | OU      | $371.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.530000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |     60000 | OU      | $-803.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                                                          | Dell International LLC / EMC Corp                                  | CUSIP: 24703TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7000 | PA      | $7004.10      | 0.01%             | 2023-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.969060 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    150000 | OU      | $660.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.235000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     30000 | OU      | $241.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                         | CUSIP: 444859BU5<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |      5000 | PA      | $5115.92      | 0.01%             | 2028-03-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ROGERS COMMUNICATIONS IN                                                         | Rogers Communications Inc                                          | CUSIP: 775109CC3<br>LEI: 54930030NVF3Y2OL0A78 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $30985.19     | 0.05%             | 2032-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WTX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    516224 | PA      | $440418.83    | 0.69%             | 2051-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA1                            | CUSIP: 35564KBK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16098 | PA      | $16012.17     | 0.03%             | 2033-08-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust                                              | Exeter Automobile Receivables Trust 2021-2                         | CUSIP: 30166RAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    213367 | PA      | $208116.59    | 0.33%             | 2026-01-15      | Fixed         | 0.74%                 | No            |                  2 | On Loan: No      |
| VMWARE INC                                                                       | VMware Inc                                                         | CUSIP: 928563AK1<br>LEI: 549300BUDHS3LRWBE814 | Long             | DBT              | CORP              | US        |    430000 | PA      | $354971.71    | 0.56%             | 2028-08-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.749000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |     30000 | OU      | $-120.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IDEX CORP                                                                        | IDEX Corp                                                          | CUSIP: 45167RAH7<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | DBT              | CORP              | US        |    152000 | PA      | $126798.35    | 0.20%             | 2031-06-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.437500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     16954 | OU      | $240.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Avangrid Inc                                                                     | Avangrid Inc                                                       | CUSIP: 05351WAB9<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |    100000 | PA      | $91499.62     | 0.14%             | 2029-06-01      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                                                       | AbbVie Inc                                                         | CUSIP: 00287YAS8<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4608.07      | 0.01%             | 2045-05-14      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VERISIGN INC                                                                     | VeriSign Inc                                                       | CUSIP: 92343EAM4<br>LEI: LMPL4N8ZOJRMF0KOF759 | Long             | DBT              | CORP              | US        |     55000 | PA      | $45079.60     | 0.07%             | 2031-06-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Kellogg Co                                                                       | Kellogg Co                                                         | CUSIP: 487836AT5<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |     46000 | PA      | $52325.81     | 0.08%             | 2031-04-01      | Fixed         | 7.45%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GGM0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26524.78     | 0.04%             | 2041-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179SSN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20098 | PA      | $17974.23     | 0.03%             | 2046-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                     | CUSIP: 61746BDZ6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $72669.59     | 0.11%             | 2026-01-27      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-OAT FUTURE DEC22                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -5 | NC      | $8601.22      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418CZ98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22205 | PA      | $21337.73     | 0.03%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MAXIM INTEGRATED PRODUCT                                                         | Maxim Integrated Products Inc                                      | CUSIP: 57772KAD3<br>LEI: SO0H5YEO14Y4PVKQH532 | Long             | DBT              | CORP              | US        |         0 | PA      | $0.00         | 0.00%             | 2027-06-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                             | CUSIP: 91324PEA6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     50000 | PA      | $34602.11     | 0.05%             | 2060-05-15      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                            | CUSIP: 55336VBT6<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33277.25     | 0.05%             | 2052-03-14      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes               | CUSIP: 35564KCU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20145 | PA      | $20084.90     | 0.03%             | 2033-08-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.985500 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    110000 | OU      | $-690.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44874 | PA      | $37041.70     | 0.06%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179SGM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3299 | PA      | $3201.92      | 0.01%             | 2046-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD HKD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-67.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                               | CUSIP: 06051GHX0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     65000 | PA      | $55468.72     | 0.09%             | 2030-10-22      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QNQJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    484878 | PA      | $400001.45    | 0.63%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3132VQLR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14218 | PA      | $13226.07     | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Comerica Inc                                                                     | Comerica Inc                                                       | CUSIP: 200340AT4<br>LEI: I9Q57JVPWHHZ3ZGBW498 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46912.25     | 0.07%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KLEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104306 | PA      | $86236.69     | 0.13%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                              | CUSIP: 882508BJ2<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     23000 | PA      | $19068.92     | 0.03%             | 2030-05-04      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: IFS 2.736000 15-JUN-2032                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |    150000 | OU      | $1778.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                               | CUSIP: 459200KS9<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    135000 | PA      | $132947.13    | 0.21%             | 2025-07-27      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 7.630000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    140000 | OU      | $-2340.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust 2013-C15                           | CUSIP: 92938CAD9<br>LEI: 5493003CHVRASC16O965 | Long             | ABS-MBS          | CORP              | US        |     20000 | PA      | $19734.62     | 0.03%             | 2046-08-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64736 | PA      | $53627.11     | 0.08%             | 2050-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.580000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |     60000 | OU      | $-351.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141EC31<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9113.35      | 0.01%             | 2044-07-08      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.792500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     40000 | OU      | $601.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | Barclays PLC                                                       | CUSIP: 06738EBU8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $172022.96    | 0.27%             | 2027-11-24      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Stacr Remic Trust 2020-HQA2                            | CUSIP: 35565LAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126735 | PA      | $126140.32    | 0.20%             | 2050-03-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1607496.08   | 2.51%             | 2052-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 10YR NOTE (CBT)MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        43 | NC      | $42344.51     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA CO/THE                                                                 | Coca-Cola Co/The                                                   | CUSIP: 191216DL1<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | DBT              | CORP              | US        |    405000 | PA      | $304234.04    | 0.48%             | 2051-03-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KJXK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66340 | PA      | $59110.96     | 0.09%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                                                   | Fannie Mae-Aces                                                    | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    224236 | PA      | $210583.55    | 0.33%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179V4V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    183994 | PA      | $162533.25    | 0.25%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12641 | PA      | $11916.97     | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.349070 21-DEC-2024                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |  14545000 | OU      | $177620.73    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                                                              | PURCHASED USD / SOLD AUD                                           | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |         1 | NC      | $1221.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, NA - CACLN                                                  | JPMorgan Chase Bank NA - CACLN                                     | CUSIP: 48128U2M0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137478 | PA      | $131866.32    | 0.21%             | 2028-12-26      | Fixed         | 0.89%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                                             | PURCHASED USD / SOLD CAD                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $77.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XG3S6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25990 | PA      | $23453.47     | 0.04%             | 2037-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.231370 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    190000 | OU      | $-217.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: PLN 6.210000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | PL        |    200000 | OU      | $-830.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                   | CUSIP: 87264ACX1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     30000 | PA      | $29913.78     | 0.05%             | 2062-09-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| District of Columbia Water & Sewer Authority                                     | DIST OF COLUMBIA WTR & SWR AUTH PUBLIC UTILITY REVENUE             | CUSIP: 254845JZ4<br>LEI: 549300OT2FIJQJ5PSH71 | Long             | DBT              | MUN               | US        |     15000 | PA      | $13073.18     | 0.02%             | 2114-10-01      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                                                   | Merck & Co Inc                                                     | CUSIP: 589331AS6<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41941.59     | 0.07%             | 2042-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| American Express Co                                                              | American Express Co                                                | CUSIP: 025816BK4<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24444.58     | 0.04%             | 2024-12-05      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140LXDN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25126 | PA      | $22673.81     | 0.04%             | 2037-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.2350000 15-MAR-2028                                    | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    620000 | OU      | $-43.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                       | CUSIP: 303075AA3<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $73111.44     | 0.11%             | 2027-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912828D56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $192968.75    | 0.30%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                            | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17968.57     | 0.03%             | 2049-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WP93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    155689 | PA      | $132918.11    | 0.21%             | 2051-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18922 | PA      | $17064.33     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIAGEO CAPITAL PLC                                                               | Diageo Capital PLC                                                 | CUSIP: 25243YBD0<br>LEI: 213800L23DJLALFC4O95 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $165604.44    | 0.26%             | 2030-04-29      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                       | CUSIP: 02079KAF4<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18864.28     | 0.03%             | 2050-08-15      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                        | BlackRock Liquidity Funds: T-Fund, Institutional Shares            | CUSIP: 09248U718<br>LEI: 5493007YVNX55LTRQ706 | Long             | STIV             | RF                | US        |   5919004 | NS      | $5919004.36   | 9.26%             |  |  |  | No            |                  1 | On Loan: No      |
| MICRON TECHNOLOGY INC                                                            | Micron Technology Inc                                              | CUSIP: 595112BV4<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10413.30     | 0.02%             | 2029-11-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                        | CUSIP: 713448ER5<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     80000 | PA      | $74530.28     | 0.12%             | 2027-03-19      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6AD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34044 | PA      | $31660.34     | 0.05%             | 2036-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                                                              | JPMorgan Chase & Co                                                | CUSIP: 46647PBA3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    200000 | PA      | $192177.03    | 0.30%             | 2027-01-29      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| HANOVER INSURANCE GROUP                                                          | Hanover Insurance Group Inc/The                                    | CUSIP: 410867AF2<br>LEI: JJYR6MFKFF6CF8DBZ078 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196585.58    | 0.31%             | 2026-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS INC                                                              | Electronic Arts Inc                                                | CUSIP: 285512AF6<br>LEI: 549300O7A67PUEYKDL45 | Long             | DBT              | CORP              | US        |     20000 | PA      | $13606.78     | 0.02%             | 2051-02-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                                                      | Gartner Inc                                                        | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    150000 | PA      | $141213.00    | 0.22%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133L8T39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44943 | PA      | $40560.48     | 0.06%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133A36A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30056 | PA      | $26805.72     | 0.04%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133L8KR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20244 | PA      | $18270.19     | 0.03%             | 2036-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6200000 | PA      | $5506375.00   | 8.61%             | 2026-08-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.429000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     16141 | OU      | $225.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.072830 21-DEC-2027                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2886811 | OU      | $21810.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                             | CUSIP: 209111FV0<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     30000 | PA      | $24410.68     | 0.04%             | 2049-05-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-3                                | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47752 | PA      | $46340.79     | 0.07%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0406C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    223000 | PA      | $212851.76    | 0.33%             | 2052-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                   | CUSIP: 06368D3S1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     35000 | PA      | $34103.56     | 0.05%             | 2025-06-07      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    481679 | PA      | $424617.73    | 0.66%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-2                                | CUSIP: 91680FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     65770 | PA      | $64363.67     | 0.10%             | 2031-06-20      | Fixed         | 0.91%                 | No            |                  2 | On Loan: No      |
| MOLINA HEALTHCARE INC                                                            | Molina Healthcare Inc                                              | CUSIP: 60855RAK6<br>LEI: 549300NQQCEQ46YHZ591 | Long             | DBT              | CORP              | US        |     50000 | PA      | $43000.00     | 0.07%             | 2030-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179RVB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3973 | PA      | $3744.71      | 0.01%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.197000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     70000 | OU      | $483.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTOMATIC DATA PROCESSNG                                                         | Automatic Data Processing Inc                                      | CUSIP: 053015AF0<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |    200000 | PA      | $159392.98    | 0.25%             | 2030-09-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNION PACIFIC CORP                                                               | Union Pacific Corp                                                 | CUSIP: 907818FN3<br>LEI: 549300LMMRSZZCZ8CL11 | Long             | DBT              | CORP              | US        |     20000 | PA      | $13193.93     | 0.02%             | 2062-09-16      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.063000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     60000 | OU      | $1845.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                | General Mills Inc                                                  | CUSIP: 370334CP7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |     60000 | PA      | $40793.14     | 0.06%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132CWXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24743 | PA      | $22375.25     | 0.04%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                                             | PURCHASED USD / SOLD GBP                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-5289.87     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1025000 | PA      | $-876775.40   | -1.37%            | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138ER2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16128 | PA      | $15155.13     | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418D3G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70904 | PA      | $58562.48     | 0.09%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3128MJZP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |     41953 | PA      | $40737.94     | 0.06%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lam Research Corp                                                                | Lam Research Corp                                                  | CUSIP: 512807AS7<br>LEI: 549300I4GMO6D34U1T02 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97651.69     | 0.15%             | 2026-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QFFJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35034 | PA      | $30195.01     | 0.05%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| S&P GLOBAL INC                                                                   | S&P Global Inc                                                     | CUSIP: 78409VBA1<br>LEI: Y6X4K52KMJMZE7I7MY94 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41381.27     | 0.06%             | 2027-03-01      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                              | CUSIP: 66989HAS7<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |     15000 | PA      | $10708.21     | 0.02%             | 2050-08-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6NW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79269 | PA      | $73473.22     | 0.11%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47395 | PA      | $45917.91     | 0.07%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179VDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    207534 | PA      | $189315.86    | 0.30%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XDCT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46590 | PA      | $38665.64     | 0.06%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.729720 21-DEC-2052                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    252500 | OU      | $21796.80     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NIKE INC                                                                         | NIKE Inc                                                           | CUSIP: 654106AL7<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |     20000 | PA      | $16411.28     | 0.03%             | 2040-03-27      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division                                 | LONG GILT FUTURE MAR23                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -1 | NC      | $-880.72      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                           | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     30000 | PA      | $27587.90     | 0.04%             | 2039-03-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    731620 | PA      | $604012.24    | 0.94%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                         | Agilent Technologies Inc                                           | CUSIP: 00846UAL5<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87485.12     | 0.14%             | 2029-09-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| State of California                                                              | CALIFORNIA ST                                                      | CUSIP: 13063A7D0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     50000 | PA      | $61557.90     | 0.10%             | 2039-10-01      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179UGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    122057 | PA      | $117843.75    | 0.18%             | 2048-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3128MJYM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |      7181 | PA      | $6497.98      | 0.01%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                                                 | Bank of Montreal                                                   | CUSIP: 06368FAJ8<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $18353.33     | 0.03%             | 2027-03-08      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                      | NVIDIA Corp                                                        | CUSIP: 67066GAF1<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22053.34     | 0.03%             | 2030-04-01      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.379730 21-DEC-2027                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   4240000 | OU      | $-56206.35    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                 | CUSIP: 437076CC4<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $40483.76     | 0.06%             | 2040-04-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.378000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     40000 | OU      | $496.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.349000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     20000 | OU      | $-97.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOUISIANA-PACIFIC CORP                                                           | Louisiana-Pacific Corp                                             | CUSIP: 546347AM7<br>LEI: 549300C7E2UAO5BVRR75 | Long             | DBT              | CORP              | US        |    100000 | PA      | $83253.98     | 0.13%             | 2029-03-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| COLGATE-PALMOLIVE CO                                                             | Colgate-Palmolive Co                                               | CUSIP: 194162AP8<br>LEI: YMEGZFW4SBUSS5BQXF88 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4573.66      | 0.01%             | 2032-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X8TY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42086 | PA      | $38261.95     | 0.06%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6N48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23624 | PA      | $21320.68     | 0.03%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                           | CUSIP: 30711XC36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143681 | PA      | $141346.02    | 0.22%             | 2030-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140HEXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28025 | PA      | $27811.44     | 0.04%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XCSU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67322 | PA      | $52578.10     | 0.08%             | 2051-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                                       | Fiserv Inc                                                         | CUSIP: 337738AU2<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     25000 | PA      | $22546.72     | 0.04%             | 2029-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.535500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     50000 | OU      | $184.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQT CORP                                                                         | EQT Corp                                                           | CUSIP: 26884LAG4<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    200000 | PA      | $210411.72    | 0.33%             | 2030-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STEEL DYNAMICS INC                                                               | Steel Dynamics Inc                                                 | CUSIP: 858119BK5<br>LEI: 549300HGGKEL4FYTTQ83 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88082.40     | 0.14%             | 2030-04-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.252000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    305000 | OU      | $-14.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QDDQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11016 | PA      | $9827.91      | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                       | CUSIP: 11135FBT7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    140000 | PA      | $123429.71    | 0.19%             | 2032-04-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Republic of Panama                                                               | Panama Government International Bond                               | CUSIP: 698299AK0<br>LEI: 549300SHS4T08CL0LP14 | Long             | DBT              | NUSS              | PA        |     25000 | PA      | $29875.00     | 0.05%             | 2029-04-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD NZD                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-231.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XHKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346679 | PA      | $308854.53    | 0.48%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 3622AAP40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108722 | PA      | $99343.28     | 0.16%             | 2049-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                                                 | Crown Castle Inc                                                   | CUSIP: 22822VAS0<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |     55000 | PA      | $50052.77     | 0.08%             | 2025-07-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: ZAR 8.566000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ZA        |    840000 | OU      | $749.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INGERSOLL-RAND GL HLD CO                                                         | Trane Technologies Global Holding Co Ltd                           | CUSIP: 45687AAJ1<br>LEI: 549300UCF0D858BIOV83 | Long             | DBT              | CORP              | US        |    340000 | PA      | $338905.38    | 0.53%             | 2023-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179V7E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51656 | PA      | $45630.97     | 0.07%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 4.503000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |     60000 | OU      | $2212.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                                                 | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-10.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QDFR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48821 | PA      | $46574.64     | 0.07%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: AUD 4.000000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |     30000 | OU      | $27.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XGG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103765 | PA      | $93644.57     | 0.15%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X9CL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49538 | PA      | $45911.33     | 0.07%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CGI INC                                                                          | CGI Inc                                                            | CUSIP: 12532HAF1<br>LEI: 549300WSRCZY73ZG3090 | Long             | DBT              | CORP              | CA        |    210000 | PA      | $161460.42    | 0.25%             | 2031-09-14      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 5YR NOTE (CBT) MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        33 | NC      | $28307.86     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| KEYSIGHT TECHNOLOGIES                                                            | Keysight Technologies Inc                                          | CUSIP: 49338LAF0<br>LEI: 549300GLKVIO8YRCYN02 | Long             | DBT              | CORP              | US        |    340000 | PA      | $295966.28    | 0.46%             | 2029-10-30      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Sales Tax Securitization Corp                                                    | SALES TAX SECURITIZATION CORP IL                                   | CUSIP: 79467BDX0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $7741.99      | 0.01%             | 2042-01-01      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                          | CUSIP: 037833EK2<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     40000 | PA      | $27653.98     | 0.04%             | 2051-08-05      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Hyundai Auto Receivables Trust                                                   | Hyundai Auto Receivables Trust 2019-B                              | CUSIP: 44891JAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       743 | PA      | $741.75       | 0.00%             | 2024-02-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US LONG BOND(CBT) MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        30 | NC      | $41573.64     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BWX TECHNOLOGIES INC                                                             | BWX Technologies Inc                                               | CUSIP: 05605HAC4<br>LEI: 549300NP85N265KWMS58 | Long             | DBT              | CORP              | US        |     75000 | PA      | $66000.00     | 0.10%             | 2029-04-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Bill                                        | CUSIP: 912796R27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1495567.98   | 2.34%             | 2022-12-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 2.546540 21-DEC-2032                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   3090000 | OU      | $-30165.19    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 91282CEG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3700000 | PA      | $3587554.71   | 5.61%             | 2024-03-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| AUTOMATIC DATA PROCESSNG                                                         | Automatic Data Processing Inc                                      | CUSIP: 053015AG8<br>LEI: HGBOLILQXWER4SAL2I23 | Long             | DBT              | CORP              | US        |    450000 | PA      | $395130.70    | 0.62%             | 2028-05-15      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.725000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     20000 | OU      | $268.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                                             | Royal Bank of Canada                                               | CUSIP: 78016EZX8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |     90000 | PA      | $83422.18     | 0.13%             | 2024-10-07      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                     | CUSIP: 6174468N2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     14000 | PA      | $14378.31     | 0.02%             | 2051-03-24      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.262500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    620000 | OU      | $-20.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                   | CUSIP: 87264ACQ6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    330000 | PA      | $270818.28    | 0.42%             | 2032-03-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                         | CUSIP: 98978VAU7<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    140000 | PA      | $142114.95    | 0.22%             | 2025-11-14      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                           | CUSIP: 20754KAA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87815 | PA      | $86160.64     | 0.13%             | 2041-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| Invesco Finance PLC                                                              | Invesco Finance PLC                                                | CUSIP: 46132FAD2<br>LEI: 549300OYQ3LAJYXXO449 | Long             | DBT              | CORP              | GB        |     25000 | PA      | $24043.25     | 0.04%             | 2026-01-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QGLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    107502 | PA      | $89335.65     | 0.14%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                                                | EURO-BUND FUTURE DEC22                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -15 | NC      | $-58962.93    | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2020-R01                       | CUSIP: 20754CAB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    208222 | PA      | $204577.97    | 0.32%             | 2040-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                     | CUSIP: 61744YAL2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8513.81      | 0.01%             | 2038-07-22      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                 | T-Mobile USA Inc                                                   | CUSIP: 87264ACW3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35098.08     | 0.05%             | 2053-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Exelon Corp                                                                      | Exelon Corp                                                        | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |     75000 | PA      | $70758.52     | 0.11%             | 2030-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                 | CUSIP: 437076CD2<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37927.35     | 0.06%             | 2050-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25000 | PA      | $22576.87     | 0.04%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                                                | Iron Mountain Inc                                                  | CUSIP: 46284VAN1<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |    100000 | PA      | $83720.00     | 0.13%             | 2031-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140GYJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41520 | PA      | $38782.09     | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Snap-on Inc                                                                      | Snap-on Inc                                                        | CUSIP: 833034AL5<br>LEI: HHWAT5TDOYZMM26KKQ73 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12889.32     | 0.02%             | 2048-03-01      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75023 | PA      | $70111.85     | 0.11%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110000 | PA      | $103515.46    | 0.16%             | 2037-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAKEMED                                                                          | WakeMed                                                            | CUSIP: 931108AA2<br>LEI: 549300RAN6BZ6UMO7Z44 | Long             | DBT              | CORP              | US        |      6000 | PA      | $4088.67      | 0.01%             | 2052-10-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140HAFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     85723 | PA      | $85055.45     | 0.13%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                            | CUSIP: 0641593U8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    400000 | PA      | $354459.81    | 0.55%             | 2026-03-02      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XDUC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24528 | PA      | $20243.93     | 0.03%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                       | 3M Co                                                              | CUSIP: 88579YBD2<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |     30000 | PA      | $25100.52     | 0.04%             | 2048-09-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $101135.22    | 0.16%             | 2052-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418DZ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40849 | PA      | $36865.44     | 0.06%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                                                          | Bristol-Myers Squibb Co                                            | CUSIP: 110122DX3<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     45000 | PA      | $36137.34     | 0.06%             | 2062-03-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                      | CUSIP: 75886FAF4<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    150000 | PA      | $95111.49     | 0.15%             | 2050-09-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CVS Health Corp                                                                  | CVS Health Corp                                                    | CUSIP: 126650CY4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46209.55     | 0.07%             | 2038-03-25      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133L8ZW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54967 | PA      | $50855.34     | 0.08%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133ALJP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22209 | PA      | $18456.06     | 0.03%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132A5GA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82541 | PA      | $74459.95     | 0.12%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                            | CUSIP: 35564KED7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95603 | PA      | $94437.70     | 0.15%             | 2033-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810EQ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $505585.94    | 0.79%             | 2023-08-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                                                        | Adobe Inc                                                          | CUSIP: 00724PAD1<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |     75000 | PA      | $64489.88     | 0.10%             | 2030-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA3                            | CUSIP: 35564KEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170000 | PA      | $160235.98    | 0.25%             | 2033-10-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179UCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30400 | PA      | $30156.29     | 0.05%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 3622A26S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10037 | PA      | $9473.77      | 0.01%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132DWC27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    124714 | PA      | $106723.44    | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                              | CUSIP: 882508BQ6<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |     65000 | PA      | $58047.29     | 0.09%             | 2052-08-16      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     60000 | PA      | $58746.03     | 0.09%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| University of Virginia                                                           | UNIV OF VIRGINIA VA UNIV REVENUES                                  | CUSIP: 915217XM0<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     20000 | PA      | $13089.24     | 0.02%             | 2051-11-01      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-HQA1                            | CUSIP: 35564KTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    290063 | PA      | $286028.96    | 0.45%             | 2042-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED PARCEL SERVICE                                                            | United Parcel Service Inc                                          | CUSIP: 911312BW5<br>LEI: D01LMJZU09ULLNCY6Z23 | Long             | DBT              | CORP              | US        |     70000 | PA      | $74264.09     | 0.12%             | 2050-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6BH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24621 | PA      | $21598.58     | 0.03%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Receivables Owner Trust                                              | Toyota Auto Receivables 2021-B Owner Trust                         | CUSIP: 89190GAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    200000 | PA      | $181855.80    | 0.28%             | 2026-10-15      | Fixed         | 0.53%                 | No            |                  2 | On Loan: No      |
| Lloyds Banking Group PLC                                                         | Lloyds Banking Group PLC                                           | CUSIP: 53944YAD5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $185937.16    | 0.29%             | 2027-01-11      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| HCA Inc                                                                          | HCA Inc                                                            | CUSIP: 404119BT5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4960.33      | 0.01%             | 2026-06-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| American Tower Corp                                                              | American Tower Corp                                                | CUSIP: 03027XAG5<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    100000 | PA      | $97082.97     | 0.15%             | 2025-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                               | CUSIP: 459200GS4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51533.52     | 0.08%             | 2039-11-30      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KPMB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72605 | PA      | $68724.82     | 0.11%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418CYZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3615 | PA      | $3550.97      | 0.01%             | 2033-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QGXX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109891 | PA      | $99173.93     | 0.16%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| General Mills Inc                                                                | General Mills Inc                                                  | CUSIP: 370334CG7<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    130000 | PA      | $127723.13    | 0.20%             | 2028-04-17      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ALLINA HEALTH SYSTEM                                                             | Allina Health System                                               | CUSIP: 01959LAE2<br>LEI: 5493001V00JCD7SQ0G44 | Long             | DBT              | CORP              | US        |     10000 | PA      | $6551.60      | 0.01%             | 2051-11-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| New Jersey Turnpike Authority                                                    | NEW JERSEY ST TURNPIKE AUTH TURNPIKE REVENUE                       | CUSIP: 646139X83<br>LEI: 5493005YN67D71KSMI84 | Long             | DBT              | MUN               | US        |     10000 | PA      | $12243.90     | 0.02%             | 2041-01-01      | Fixed         | 7.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    357826 | PA      | $315709.39    | 0.49%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WR34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25353 | PA      | $23004.84     | 0.04%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QHP33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39695 | PA      | $36792.17     | 0.06%             | 2036-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COCA-COLA FEMSA SAB CV                                                           | Coca-Cola Femsa SAB de CV                                          | CUSIP: 191241AJ7<br>LEI: 5493008KEVFYPMGTXO33 | Long             | DBT              | CORP              | MX        |    200000 | PA      | $152537.50    | 0.24%             | 2032-09-01      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: ZAR 8.650000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ZA        |    640000 | OU      | $696.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| University of Michigan                                                           | UNIV OF MICHIGAN MI                                                | CUSIP: 914455UK4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      9000 | PA      | $7120.33      | 0.01%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                               | CUSIP: 06051GLA5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59216.65     | 0.09%             | 2026-07-22      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| ACC Auto Trust                                                                   | ACC Auto Trust 2021-A                                              | CUSIP: 00108XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44896 | PA      | $44189.09     | 0.07%             | 2027-04-15      | Fixed         | 1.08%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                | CUSIP: 74762EAJ1<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     45000 | PA      | $30260.52     | 0.05%             | 2041-10-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                                                      | FSWP: MXN 8.910000 08-MAR-2028                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | MX        |    580000 | OU      | $-355.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MINERAL RESOURCES LTD                                                            | Mineral Resources Ltd                                              | CUSIP: 603051AD5<br>LEI: 5299007V1ACKFFX2P066 | Long             | DBT              | CORP              | AU        |    100000 | PA      | $101996.00    | 0.16%             | 2030-05-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| AGILENT TECHNOLOGIES INC                                                         | Agilent Technologies Inc                                           | CUSIP: 00846UAN1<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | DBT              | CORP              | US        |    360000 | PA      | $293437.84    | 0.46%             | 2031-03-12      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| TEXAS INSTRUMENTS INC                                                            | Texas Instruments Inc                                              | CUSIP: 882508BP8<br>LEI: WDJNR2L6D8RWOEB8T652 | Long             | DBT              | CORP              | US        |    210000 | PA      | $196029.28    | 0.31%             | 2032-08-16      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.339000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    380000 | OU      | $78.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132AEPE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48846 | PA      | $46803.53     | 0.07%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                          | CUSIP: 037833EL0<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     20000 | PA      | $13583.04     | 0.02%             | 2061-08-05      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                                                         | International Business Machines Corp                               | CUSIP: 459200KU4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    165000 | PA      | $158695.96    | 0.25%             | 2032-07-27      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | Keurig Dr Pepper Inc                                               | CUSIP: 49271VAR1<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8488.77      | 0.01%             | 2052-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC                                           | PURCHASED USD / SOLD NZD                                           | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-354.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Stacr Remic Trust 2020-DNA1                            | CUSIP: 35565HAH8<br>LEI: 5493003FQV7GR462GO02 | Long             | ABS-MBS          | USGSE             | US        |     58185 | PA      | $57530.66     | 0.09%             | 2050-01-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0204C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30187 | PA      | $27153.56     | 0.04%             | 2037-12-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                   | Mastercard Inc                                                     | CUSIP: 57636QAQ7<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     20000 | PA      | $17447.29     | 0.03%             | 2050-03-26      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NatWest Group PLC                                                  | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $196474.93    | 0.31%             | 2028-09-30      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                          | CUSIP: 037833ER7<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12991.77     | 0.02%             | 2062-08-08      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                                           | US 2YR NOTE (CBT) MAR23                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -9 | NC      | $-6059.05     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                                                 | WFRBS Commercial Mortgage Trust 2013-C14                           | CUSIP: 92890PAE4<br>LEI: 549300GADFYEKC4OLM57 | Long             | ABS-MBS          | CORP              | US        |     62245 | PA      | $61329.26     | 0.10%             | 2046-06-15      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES / NOTE                                                           | VICI Properties LP / VICI Note Co Inc                              | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              |  | US        |     50000 | PA      | $43886.41     | 0.07%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0506C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1450000 | PA      | $1448640.63   | 2.27%             | 2052-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROPER TECHNOLOGIES INC                                                           | Roper Technologies Inc                                             | CUSIP: 776743AG1<br>LEI: 54930003T4SXCIWVXY35 | Long             | DBT              | CORP              | US        |     25000 | PA      | $21886.91     | 0.03%             | 2029-09-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140J6GR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48824 | PA      | $46949.97     | 0.07%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140J9SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9457 | PA      | $8487.38      | 0.01%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QKEX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43391 | PA      | $35853.33     | 0.06%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                         | NIKE Inc                                                           | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93983.79     | 0.15%             | 2027-03-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132CWMP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45690 | PA      | $44143.35     | 0.07%             | 2034-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.999150 21-DEC-2032                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2113410 | OU      | $-60611.28    | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                                              | Elevance Health Inc                                                | CUSIP: 036752AJ2<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |     25000 | PA      | $23822.72     | 0.04%             | 2025-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                                                           | UnitedHealth Group Inc                                             | CUSIP: 91324PEJ7<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    340000 | PA      | $327397.54    | 0.51%             | 2032-05-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Bank of America N.A.                                                             | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |         1 | NC      | $-163.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SERVICENOW INC                                                                   | ServiceNow Inc                                                     | CUSIP: 81762PAE2<br>LEI: 549300HJTQM36M0E1G39 | Long             | DBT              | CORP              | US        |    100000 | PA      | $77898.80     | 0.12%             | 2030-09-01      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| CME GROUP INC                                                                    | CME Group Inc                                                      | CUSIP: 12572QAK1<br>LEI: LCZ7XYGSLJUHFXXNXD88 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12793.56     | 0.02%             | 2032-03-15      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                              | FS KKR Capital Corp                                                | CUSIP: 302635AK3<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    100000 | PA      | $80959.98     | 0.13%             | 2028-10-12      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: ZAR 8.735000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | ZA        |    790000 | OU      | $1016.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.239000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |     50000 | OU      | $-179.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.900450 21-DEC-2032                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1281701 | OU      | $-47386.95    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| AmerisourceBergen Corp                                                           | AmerisourceBergen Corp                                             | CUSIP: 03073EAQ8<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |      8000 | PA      | $6691.32      | 0.01%             | 2047-12-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                                                    | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |         1 | NC      | $-495.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 1.562660 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     40000 | OU      | $203.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALPHABET INC                                                                     | Alphabet Inc                                                       | CUSIP: 02079KAE7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    100000 | PA      | $68710.95     | 0.11%             | 2040-08-15      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132CWM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44402 | PA      | $41930.41     | 0.07%             | 2032-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.598600 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |     80000 | OU      | $-48.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Motorola Solutions Inc                                                           | Motorola Solutions Inc                                             | CUSIP: 620076BE8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |     10000 | PA      | $9031.37      | 0.01%             | 2044-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVARTIS CAPITAL CORP                                                            | Novartis Capital Corp                                              | CUSIP: 66989HAR9<br>LEI: 5493002KF87V5RSRQS84 | Long             | DBT              | CORP              | US        |    290000 | PA      | $248848.19    | 0.39%             | 2030-08-14      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| TRANE TECHNOLOGIES LUX                                                           | Trane Technologies Luxembourg Finance SA                           | CUSIP: 456873AD0<br>LEI: 549300GHBOWCVY92IS29 | Long             | DBT              | CORP              | LU        |    170000 | PA      | $157617.19    | 0.25%             | 2029-03-21      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                     | CUSIP: 6174468Y8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     25000 | PA      | $16132.05     | 0.03%             | 2052-01-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 31335BRK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15684 | PA      | $14159.31     | 0.02%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X6F63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8605 | PA      | $8004.81      | 0.01%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                            | Mexico Government International Bond                               | CUSIP: 91086QBE7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     80000 | PA      | $74640.00     | 0.12%             | 2045-01-21      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Avangrid Inc                                                                     | Avangrid Inc                                                       | CUSIP: 05351WAA1<br>LEI: 549300OX0Q38NLSKPB49 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47934.70     | 0.07%             | 2024-12-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179TV69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8743 | PA      | $8468.31      | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.379500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    320000 | OU      | $-689.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAVITA INC                                                                       | DaVita Inc                                                         | CUSIP: 23918KAS7<br>LEI: M2XHYMU3TZNEZURC6H66 | Long             | DBT              | CORP              | US        |     63000 | PA      | $50997.24     | 0.08%             | 2030-06-01      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    600000 | PA      | $564304.69    | 0.88%             | 2044-02-15      | Fixed         | 3.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.572230 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    170000 | OU      | $-170.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MOTOROLA SOLUTIONS INC                                                           | Motorola Solutions Inc                                             | CUSIP: 620076BW8<br>LEI: 6S552MUG6KGJVEBSEC55 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119517.36    | 0.19%             | 2032-06-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                                                  | ICE: (CDX.NA.IG.39.V1)                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   4100000 | OU      | $-52869.63    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418ECV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24546 | PA      | $22747.98     | 0.04%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CZK 5.675000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CZ        |    530000 | OU      | $1180.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140J8GK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7510 | PA      | $6778.44      | 0.01%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138ER5V8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14553 | PA      | $13165.89     | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3132WLE44<br>LEI: 254900HROIFWPRGM1V77 | Long             | ABS-MBS          | USGSE             | US        |    229227 | PA      | $214535.79    | 0.34%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.                                 | Freddie Mac Multifamily Structured Pass Through Certificates       | CUSIP: 3137FXLX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120000 | PA      | $97373.74     | 0.15%             | 2030-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140HAFK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29496 | PA      | $29287.55     | 0.05%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                         | CUSIP: 92343VER1<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     51000 | PA      | $49581.16     | 0.08%             | 2028-09-21      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                | CUSIP: 46647PBW5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    115000 | PA      | $100220.12    | 0.16%             | 2027-02-04      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| PepsiCo Inc                                                                      | PepsiCo Inc                                                        | CUSIP: 713448DY1<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47232.09     | 0.07%             | 2027-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6AM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37462 | PA      | $34723.14     | 0.05%             | 2036-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KNWU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47316 | PA      | $40562.66     | 0.06%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                     | CUSIP: 594918CE2<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37092.76     | 0.06%             | 2052-03-17      | Fixed         | 2.92%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-HQA2                            | CUSIP: 35564KFN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77258 | PA      | $76485.29     | 0.12%             | 2033-12-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GWV2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46004.27     | 0.07%             | 2029-04-23      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KLHN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84994 | PA      | $70299.74     | 0.11%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QFFK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31850 | PA      | $27447.97     | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                | CUSIP: 74762EAF9<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     50000 | PA      | $41561.08     | 0.07%             | 2030-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS                                                           | Verizon Communications Inc                                         | CUSIP: 92343VFT6<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |     25000 | PA      | $17306.07     | 0.03%             | 2040-11-20      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                               | CUSIP: 16412XAJ4<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |    370000 | PA      | $337521.58    | 0.53%             | 2029-11-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: CAD 3.574510 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |     40000 | OU      | $-169.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.305000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    510000 | OU      | $-933.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GVR2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24511.87     | 0.04%             | 2025-10-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117832 | PA      | $107044.94    | 0.17%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA LTD                                                            | Rio Tinto Finance USA Ltd                                          | CUSIP: 767201AT3<br>LEI: 213800RX94ZKEZXPKH58 | Long             | DBT              | CORP              | AU        |     55000 | PA      | $37225.52     | 0.06%             | 2051-11-02      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GWZ3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46973.02     | 0.07%             | 2029-05-01      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418CXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8308 | PA      | $8205.92      | 0.01%             | 2033-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133AAQB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63213 | PA      | $52320.36     | 0.08%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                          | MPLX LP                                                            | CUSIP: 55336VAP5<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |     15000 | PA      | $11984.29     | 0.02%             | 2058-04-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179XBT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26726 | PA      | $25523.62     | 0.04%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REGENERON PHARMACEUTICAL                                                         | Regeneron Pharmaceuticals Inc                                      | CUSIP: 75886FAE7<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | DBT              | CORP              | US        |    550000 | PA      | $432124.89    | 0.68%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ANALOG DEVICES INC                                                               | Analog Devices Inc                                                 | CUSIP: 032654AZ8<br>LEI: GYVOE5EZ4GDAVTU4CQ61 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47530.83     | 0.07%             | 2027-06-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418DZ39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38457 | PA      | $35643.61     | 0.06%             | 2036-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138ERTM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36218 | PA      | $35300.28     | 0.06%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEPSICO INC                                                                      | PepsiCo Inc                                                        | CUSIP: 713448EP9<br>LEI: FJSUNZKFNQ5YPJ5OT455 | Long             | DBT              | CORP              | US        |     25000 | PA      | $18569.87     | 0.03%             | 2049-10-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                                                     | Upstart Securitization Trust 2021-4                                | CUSIP: 91682NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137800 | PA      | $132982.46    | 0.21%             | 2031-09-20      | Fixed         | 0.84%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                                         | PURCHASED USD / SOLD EUR                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | SWP: IFS 2.067000 15-FEB-2032                                      | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DO               |  | XX        |    130000 | OU      | $15107.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                     | CUSIP: 61747YEC5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     65000 | PA      | $56557.64     | 0.09%             | 2027-07-20      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Dallas Fort Worth International Airport                                          | DALLAS-FORT WORTH TX INTERNATIONAL ARPT REVENUE                    | CUSIP: 2350368N3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     10000 | PA      | $7152.80      | 0.01%             | 2046-11-01      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                        | CUSIP: 797440BY9<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     10000 | PA      | $7198.60      | 0.01%             | 2050-04-15      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank N.A.                                                         | PURCHASED USD / SOLD CHF                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |         1 | NC      | $-399.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6AU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    106973 | PA      | $96536.98     | 0.15%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XDLB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45278 | PA      | $40861.43     | 0.06%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Gold Pool                                              | CUSIP: 3132L9KW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19041 | PA      | $18387.06     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Securities Trust 2020-COR7                             | JPMDB Commercial Mortgage Securities Trust 2020-COR7               | CUSIP: 46652JAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $159718.62    | 0.25%             | 2053-05-13      | Fixed         | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KLG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61307 | PA      | $50687.46     | 0.08%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHEVRON CORP                                                                     | Chevron Corp                                                       | CUSIP: 166764CA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20000 | PA      | $14898.13     | 0.02%             | 2050-05-11      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KMBD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89996 | PA      | $74314.35     | 0.12%             | 2051-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418EBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113906 | PA      | $99887.30     | 0.16%             | 2037-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179VSJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330438 | PA      | $309915.57    | 0.48%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 31334YPW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40946 | PA      | $37050.56     | 0.06%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 3622A26R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16196 | PA      | $15673.78     | 0.02%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XBWA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68720 | PA      | $65966.50     | 0.10%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179RS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16758 | PA      | $15467.39     | 0.02%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GENUINE PARTS CO                                                                 | Genuine Parts Co                                                   | CUSIP: 372460AB1<br>LEI: 549300D46DQVEU651W04 | Long             | DBT              | CORP              | US        |     55000 | PA      | $51328.44     | 0.08%             | 2025-02-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KNEH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326497 | PA      | $281274.76    | 0.44%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AT&T INC                                                                         | AT&T Inc                                                           | CUSIP: 00206RKG6<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |     35000 | PA      | $30046.28     | 0.05%             | 2028-02-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1369000 | PA      | $-1362155.00  | -2.13%            | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                          | CUSIP: 682680AZ6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     40000 | PA      | $30481.15     | 0.05%             | 2049-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.649000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     80000 | OU      | $688.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                  | CUSIP: 3622A25T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     60266 | PA      | $57271.03     | 0.09%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APPLE INC                                                                        | Apple Inc                                                          | CUSIP: 037833EQ9<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | DBT              | CORP              | US        |    210000 | PA      | $183645.39    | 0.29%             | 2052-08-08      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KMZD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93372 | PA      | $77056.47     | 0.12%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2020-R02                       | CUSIP: 20754WAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    369188 | PA      | $361343.00    | 0.57%             | 2040-01-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QML69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    189568 | PA      | $156445.58    | 0.24%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.964440 21-DEC-2027                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1276731 | OU      | $22762.26     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGION PLC                                                                     | Allegion PLC                                                       | CUSIP: 01748TAB7<br>LEI: 984500560CAC2E6FB757 | Long             | DBT              | CORP              | IE        |      5000 | PA      | $4331.54      | 0.01%             | 2029-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASGN INCORPORATED                                                                | ASGN Inc                                                           | CUSIP: 00191UAA0<br>LEI: LZBNYYCBUKY537072438 | Long             | DBT              | CORP              | US        |    175000 | PA      | $156187.50    | 0.24%             | 2028-05-15      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: EUR 3.001500 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |    110000 | OU      | $-743.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bunge Ltd Finance Corp                                                           | Bunge Ltd Finance Corp                                             | CUSIP: 120568AZ3<br>LEI: 549300QHC068L40NNM71 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93894.26     | 0.15%             | 2027-09-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                                                              | JPMorgan Chase & Co                                                | CUSIP: 46647PCT1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     60000 | PA      | $55421.03     | 0.09%             | 2025-12-10      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XDQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50319 | PA      | $41638.06     | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $214209.96    | 0.34%             | 2052-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL                                                            | TotalEnergies Capital International SA                             | CUSIP: 89153VAW9<br>LEI: 549300U37G2I8G4RUG09 | Long             | DBT              | CORP              | FR        |     10000 | PA      | $7167.73      | 0.01%             | 2060-06-29      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138A8RQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    184264 | PA      | $187930.98    | 0.29%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| APPLIED MATERIALS INC                                                            | Applied Materials Inc                                              | CUSIP: 038222AP0<br>LEI: 41BNNE1AFPNAZELZ6K07 | Long             | DBT              | CORP              | US        |     50000 | PA      | $35166.21     | 0.06%             | 2050-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC Holdings PLC                                                  | CUSIP: 404280DC0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173032.27    | 0.27%             | 2033-03-29      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| Cardinal Health Inc                                                              | Cardinal Health Inc                                                | CUSIP: 14149YBA5<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96808.99     | 0.15%             | 2024-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERIGAS PART/FIN CORP                                                           | AmeriGas Partners LP / AmeriGas Finance Corp                       | CUSIP: 030981AL8<br>LEI: H36E1IF6YS0OBMHM6168 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95400.00     | 0.15%             | 2027-05-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                | General Mills Inc                                                  | CUSIP: 370334CQ5<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    240000 | PA      | $195598.86    | 0.31%             | 2031-10-14      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FIN GRP                                                           | Mitsubishi UFJ Financial Group Inc                                 | CUSIP: 606822AU8<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    100000 | PA      | $97484.12     | 0.15%             | 2025-03-02      | Fixed         | 3.78%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    608000 | PA      | $538049.51    | 0.84%             | 2052-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Santa Clara Valley Transportation Authority                                      | SANTA CLARA VLY CA TRANSPRTN AUTH SALES TAX REVENUE                | CUSIP: 80168NEP0<br>LEI: 549300R6Q7T4MD3V9H68 | Long             | DBT              | MUN               | US        |     15000 | PA      | $15611.54     | 0.02%             | 2032-04-01      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.238000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    305000 | OU      | $-20.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QGJQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91645 | PA      | $82707.09     | 0.13%             | 2035-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                           | CUSIP: 571748BD3<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    160000 | PA      | $132282.39    | 0.21%             | 2048-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| TRAVELERS COS INC                                                                | Travelers Cos Inc/The                                              | CUSIP: 89417EAL3<br>LEI: 549300Y650407RU8B149 | Long             | DBT              | CORP              | US        |     25000 | PA      | $19851.39     | 0.03%             | 2046-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.285000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    440000 | OU      | $-767.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418ECQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    193208 | PA      | $165419.43    | 0.26%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                                                  | San Diego Gas & Electric Co                                        | CUSIP: 797440BW3<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12494.64     | 0.02%             | 2048-05-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Abbott Laboratories                                                              | Abbott Laboratories                                                | CUSIP: 002824BH2<br>LEI: HQD377W2YR662HK5JX27 | Long             | DBT              | CORP              | US        |    140000 | PA      | $140496.47    | 0.22%             | 2046-11-30      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                                                          | John Deere Capital Corp                                            | CUSIP: 24422EWF2<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |     25000 | PA      | $24390.57     | 0.04%             | 2025-06-06      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                | CUSIP: 74762EAH5<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     85000 | PA      | $65439.01     | 0.10%             | 2032-01-15      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| LOWE'S COS INC                                                                   | Lowe's Cos Inc                                                     | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |     22000 | PA      | $20040.05     | 0.03%             | 2032-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CUMMINS INC                                                                      | Cummins Inc                                                        | CUSIP: 231021AS5<br>LEI: ZUNI8PYC725B6H8JU438 | Long             | DBT              | CORP              | US        |     30000 | PA      | $19252.66     | 0.03%             | 2050-09-01      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3138WFHS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11942 | PA      | $11195.23     | 0.02%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2022-R07                       | CUSIP: 20754MBZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134827 | PA      | $135743.31    | 0.21%             | 2042-06-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R06                       | CUSIP: 20754JAB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5028 | PA      | $5018.10      | 0.01%             | 2039-09-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                       | Humana Inc                                                         | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18417.44     | 0.03%             | 2029-03-23      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418DTN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26853 | PA      | $24888.26     | 0.04%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132A8TN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52176 | PA      | $50424.43     | 0.08%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2022-DNA5                            | CUSIP: 35564KYN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    225309 | PA      | $227272.39    | 0.36%             | 2042-06-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                                                         | Marsh & McLennan Cos Inc                                           | CUSIP: 571748AX0<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |     50000 | PA      | $48721.32     | 0.08%             | 2025-03-10      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                       | Unum Group                                                         | CUSIP: 91529YAR7<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    100000 | PA      | $69660.36     | 0.11%             | 2051-06-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.383500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    410000 | OU      | $-890.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                      | NVIDIA Corp                                                        | CUSIP: 67066GAH7<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    160000 | PA      | $124013.00    | 0.19%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BOISE CASCADE COMPANY                                                            | Boise Cascade Co                                                   | CUSIP: 09739DAD2<br>LEI: 549300Z8B8LSRHC7XA55 | Long             | DBT              | CORP              | US        |    150000 | PA      | $128724.29    | 0.20%             | 2030-07-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE TELEKOM INT FIN                                                         | Deutsche Telekom International Finance BV                          | CUSIP: 25156PAD5<br>LEI: 529900ERDFHS6C1M4U58 | Long             | DBT              | CORP              | NL        |     80000 | PA      | $101328.10    | 0.16%             | 2032-06-01      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X9ED3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20943 | PA      | $18653.92     | 0.03%             | 2051-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank of America Corp                                                             | Bank of America Corp                                               | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49177.79     | 0.08%             | 2026-03-03      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QM5D2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124658 | PA      | $106740.04    | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac Structured Agency Credit Risk Debt Notes               | CUSIP: 3137G0AY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    223073 | PA      | $225820.22    | 0.35%             | 2024-04-25      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| RELIANCE STEEL & ALUM                                                            | Reliance Steel & Aluminum Co                                       | CUSIP: 759509AG7<br>LEI: 549300E287ZOFT3C5Z56 | Long             | DBT              | CORP              | US        |    200000 | PA      | $157463.74    | 0.25%             | 2030-08-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.780000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    170000 | OU      | $-308.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 2.056000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CH        |     50000 | OU      | $1519.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X6F55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21396 | PA      | $19180.38     | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Charlotte-Mecklenburg Hospital Authority/The                                     | CHARLOTTE-MECKLENBURG NC HOSP AUTH HLTH CARE SYS REVENUE           | CUSIP: 160853VC8<br>LEI: 549300XOH4JU704GMZ32 | Long             | DBT              | MUN               | US        |     20000 | PA      | $13973.62     | 0.02%             | 2051-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912828ZQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $401875.00    | 0.63%             | 2030-05-15      | Fixed         | 0.63%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                | Ares Capital Corp                                                  | CUSIP: 04010LBA0<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12790.52     | 0.02%             | 2026-07-15      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.009000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SG        |    200000 | OU      | $827.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP                                                                 | Progressive Corp/The                                               | CUSIP: 743315AX1<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |     70000 | PA      | $55939.15     | 0.09%             | 2050-03-26      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418EBE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108037 | PA      | $97494.15     | 0.15%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | Goldman Sachs Group Inc/The                                        | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87929.11     | 0.14%             | 2027-03-09      | Fixed         | 1.43%                 | No            |                  2 | On Loan: No      |
| BETH ISRAEL LAHEY HEALTH                                                         | Beth Israel Lahey Health Inc                                       | CUSIP: 08661UAB2<br>LEI: 549300QPZ5W3279DU141 | Long             | DBT              | CORP              | US        |      7000 | PA      | $4476.69      | 0.01%             | 2051-07-01      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132AEB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13148 | PA      | $13034.91     | 0.02%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132CWQ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17282 | PA      | $16059.88     | 0.03%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140QEKL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18653 | PA      | $16076.56     | 0.03%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                                              | Freddie Mac STACR REMIC Trust 2021-DNA5                            | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    149016 | PA      | $145819.62    | 0.23%             | 2034-01-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                                                              | Gilead Sciences Inc                                                | CUSIP: 375558BW2<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |     30000 | PA      | $28953.24     | 0.05%             | 2023-09-29      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KMXX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    158630 | PA      | $136158.75    | 0.21%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | Broadcom Inc                                                       | CUSIP: 11135FAS0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    100000 | PA      | $88919.84     | 0.14%             | 2032-11-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Bank of Montreal                                                                 | Bank of Montreal                                                   | CUSIP: 06368BGS1<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |     25000 | PA      | $22140.76     | 0.03%             | 2032-12-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.375870 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    250000 | OU      | $-130.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179SUV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5149 | PA      | $4858.38      | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Thomson Reuters Corp                                                             | Thomson Reuters Corp                                               | CUSIP: 884903BV6<br>LEI: 549300561UZND4C7B569 | Long             | DBT              | CORP              | CA        |    200000 | PA      | $190199.52    | 0.30%             | 2026-05-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X7VZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49732 | PA      | $42940.12     | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WILLIS NORTH AMERICA INC                                                         | Willis North America Inc                                           | CUSIP: 970648AK7<br>LEI: 5493004KVU1HWZCP0C66 | Long             | DBT              | CORP              | US        |     25000 | PA      | $18039.95     | 0.03%             | 2049-09-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CHENIERE CORP CHRISTI HD                                                         | Cheniere Corpus Christi Holdings LLC                               | CUSIP: 16412XAG0<br>LEI: 549300I7CIEWU1BBLQ53 | Long             | DBT              | CORP              | US        |     90000 | PA      | $90121.80     | 0.14%             | 2027-06-30      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179SSQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19078 | PA      | $17990.55     | 0.03%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMAZON.COM INC                                                                   | Amazon.com Inc                                                     | CUSIP: 023135CC8<br>LEI: ZXTILKJKG63JELOEG630 | Long             | DBT              | CORP              | US        |     20000 | PA      | $14348.14     | 0.02%             | 2061-05-12      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MASS INSTITUTE OF TECH                                                           | Massachusetts Institute of Technology                              | CUSIP: 575718AJ0<br>LEI: DLZO3A31IADZ27B62557 | Long             | DBT              | CORP              | US        |     12000 | PA      | $8816.91      | 0.01%             | 2052-04-01      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| NASDAQ INC                                                                       | Nasdaq Inc                                                         | CUSIP: 63111XAD3<br>LEI: 549300L8X1Q78ERXFD06 | Long             | DBT              | CORP              | US        |    190000 | PA      | $146644.95    | 0.23%             | 2031-01-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                                                       | 3M Co                                                              | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    340000 | PA      | $303381.27    | 0.47%             | 2030-04-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XCPY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43045 | PA      | $38847.08     | 0.06%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                                                          | Consolidated Edison Co of New York Inc                             | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     50000 | PA      | $45162.43     | 0.07%             | 2030-04-01      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| CDW LLC/CDW FINANCE                                                              | CDW LLC / CDW Finance Corp                                         | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27000 | PA      | $22276.89     | 0.03%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    275000 | PA      | $235232.42    | 0.37%             | 2052-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                       | Zoetis Inc                                                         | CUSIP: 98978VAB9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69797.60     | 0.11%             | 2023-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                                                        | Uniform Mortgage-Backed Security, TBA                              | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75000 | PA      | $74625.00     | 0.12%             | 2052-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Kellogg Co                                                                       | Kellogg Co                                                         | CUSIP: 487836BP2<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | DBT              | CORP              | US        |     50000 | PA      | $47783.27     | 0.07%             | 2026-04-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| United States Treasury                                                           | United States Treasury Note/Bond                                   | CUSIP: 912828XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $1153781.26   | 1.80%             | 2024-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418ECT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22988 | PA      | $20157.93     | 0.03%             | 2037-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: OIS 3.770000 21-DEC-2025                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    340000 | OU      | $-1247.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NOK 3.713790 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NO        |    300000 | OU      | $-483.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | Morgan Stanley                                                     | CUSIP: 61747YEA9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $46329.21     | 0.07%             | 2025-05-30      | Fixed         | 0.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140XH4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    246788 | PA      | $212069.61    | 0.33%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NVIDIA CORP                                                                      | NVIDIA Corp                                                        | CUSIP: 67066GAJ3<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |     50000 | PA      | $37871.27     | 0.06%             | 2060-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                             | Keurig Dr Pepper Inc                                               | CUSIP: 49271VAQ3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    290000 | PA      | $266635.93    | 0.42%             | 2032-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK Inc                                                          | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $30991.09     | 0.05%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Zoetis Inc                                                                       | Zoetis Inc                                                         | CUSIP: 98978VAK9<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99164.80     | 0.16%             | 2025-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bay Area Toll Authority                                                          | BAY AREA CA TOLL AUTH TOLL BRIDGE REVENUE                          | CUSIP: 072024XW7<br>LEI: 5493001FUZGUQMIP5D78 | Long             | DBT              | MUN               | US        |     35000 | PA      | $23817.05     | 0.04%             | 2055-04-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                   | Home Depot Inc/The                                                 | CUSIP: 437076CG5<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |     50000 | PA      | $31150.03     | 0.05%             | 2051-03-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: NZD 4.987500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | NZ        |     70000 | OU      | $-913.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae                                                         | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    383000 | PA      | $375115.58    | 0.59%             | 2052-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140X6ME8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29149 | PA      | $27275.19     | 0.04%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: KRW 3.715000 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  20480000 | OU      | $150.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     45503 | PA      | $43021.76     | 0.07%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                                                   | Morgan Stanley                                                     | CUSIP: 617482V92<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     25000 | PA      | $27686.80     | 0.04%             | 2042-07-24      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 3140Q8C52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19665 | PA      | $18395.86     | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Limited                                                                      | FSWP: SEK 3.399500 15-MAR-2028                                     | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | SE        |    410000 | OU      | $-919.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NVIDIA Corp                                                                      | NVIDIA Corp                                                        | CUSIP: 67066GAE4<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96078.92     | 0.15%             | 2026-09-16      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY FIN                                                           | Berkshire Hathaway Finance Corp                                    | CUSIP: 084664DB4<br>LEI: 549300RLHFT5RU20WM87 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4082.50      | 0.01%             | 2052-03-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| ZOETIS INC                                                                       | Zoetis Inc                                                         | CUSIP: 98978VAS2<br>LEI: 549300HD9Q1LOC9KLJ48 | Long             | DBT              | CORP              | US        |    180000 | PA      | $148297.52    | 0.23%             | 2030-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NatWest Group PLC                                                  | CUSIP: 639057AC2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $171226.68    | 0.27%             | 2027-06-14      | Fixed         | 1.64%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6NZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37979 | PA      | $34278.59     | 0.05%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Connecticut Avenue Securities Trust 2019-R02                       | CUSIP: 20753KAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23413 | PA      | $23368.93     | 0.04%             | 2031-08-25      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| FACTSET RESEARCH SYSTEMS                                                         | FactSet Research Systems Inc                                       | CUSIP: 303075AB1<br>LEI: 549300ZSJE7NBK6K9P30 | Long             | DBT              | CORP              | US        |     40000 | PA      | $33712.48     | 0.05%             | 2032-03-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| ING Groep NV                                                                     | ING Groep NV                                                       | CUSIP: 456837AP8<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    400000 | PA      | $391248.63    | 0.61%             | 2024-04-09      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                  | CUSIP: 30040WAH1<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     50000 | PA      | $36527.67     | 0.06%             | 2050-01-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132DWCC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    468699 | PA      | $402498.28    | 0.63%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68395 | PA      | $61725.68     | 0.10%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                                                       | Fannie Mae Pool                                                    | CUSIP: 31418D6A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86842 | PA      | $67741.69     | 0.11%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ADOBE INC                                                                        | Adobe Inc                                                          | CUSIP: 00724PAC3<br>LEI: FU4LY2G4933NH2E1CP29 | Long             | DBT              | CORP              | US        |    870000 | PA      | $798562.49    | 1.25%             | 2027-02-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| RELX CAPITAL INC                                                                 | RELX Capital Inc                                                   | CUSIP: 74949LAD4<br>LEI: 2R15C3RTKJN1RCBOV146 | Long             | DBT              | CORP              | US        |     30000 | PA      | $26049.89     | 0.04%             | 2030-05-22      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D6NR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47582 | PA      | $44102.97     | 0.07%             | 2035-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                                                 | Fannie Mae Connecticut Avenue Securities                           | CUSIP: 30711XWX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291644 | PA      | $294238.88    | 0.46%             | 2030-05-25      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| MICROSOFT CORP                                                                   | Microsoft Corp                                                     | CUSIP: 594918CD4<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | DBT              | CORP              | US        |     50000 | PA      | $33791.29     | 0.05%             | 2060-06-01      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                                              | Quanta Services Inc                                                | CUSIP: 74762EAG7<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     95000 | PA      | $86998.02     | 0.14%             | 2024-10-01      | Fixed         | 0.95%                 | No            |                  2 | On Loan: No      |
| WEYERHAEUSER CO                                                                  | Weyerhaeuser Co                                                    | CUSIP: 962166CA0<br>LEI: 08IRJODWFYBI7QWRGS31 | Long             | DBT              |  | US        |     10000 | PA      | $8408.63      | 0.01%             | 2033-03-09      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ASTRAZENECA FINANCE LLC                                                          | Astrazeneca Finance LLC                                            | CUSIP: 04636NAB9<br>LEI: 549300C3HATU4Q460S18 | Long             | DBT              | CORP              | US        |    160000 | PA      | $134254.22    | 0.21%             | 2031-05-28      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                  | CVS Health Corp                                                    | CUSIP: 126650DL1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     15000 | PA      | $12347.43     | 0.02%             | 2050-04-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KJQ39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22248 | PA      | $19947.44     | 0.03%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3133KH2L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13789 | PA      | $12291.90     | 0.02%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                                                             | Bank of America Corp                                               | CUSIP: 06051GJS9<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    255000 | PA      | $223437.38    | 0.35%             | 2027-07-22      | Fixed         | 1.73%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                                                   | Mastercard Inc                                                     | CUSIP: 57636QAL8<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8389.87      | 0.01%             | 2049-06-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Regents of the University of California Medical Center Pooled Revenue            | UNIV OF CALIFORNIA CA RGTS MED CENTER POOLED REVENUE               | CUSIP: 913366EP1<br>LEI: RRR42I7GG51DB5HDQR14 | Long             | DBT              | MUN               | US        |     25000 | PA      | $29120.13     | 0.05%             | 2048-05-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA                                                              | Bank of Nova Scotia/The                                            | CUSIP: 064159QE9<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     75000 | PA      | $69797.49     | 0.11%             | 2026-08-03      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Koninklijke KPN NV                                                               | Koninklijke KPN NV                                                 | CUSIP: 780641AH9<br>LEI: 549300YO0JZHAL7FVP81 | Long             | DBT              | CORP              | NL        |     50000 | PA      | $56252.30     | 0.09%             | 2030-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK                                                           | Canadian Imperial Bank of Commerce                                 | CUSIP: 13607HYF3<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |     30000 | PA      | $27914.30     | 0.04%             | 2024-10-18      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                                                | Eversource Energy                                                  | CUSIP: 30040WAK4<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |     30000 | PA      | $23508.05     | 0.04%             | 2030-08-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae I Pool                                                  | CUSIP: 3622AADS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29837 | PA      | $27106.67     | 0.04%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                                                      | Freddie Mac Pool                                                   | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16656 | PA      | $14611.98     | 0.02%             | 2036-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                         | Ginnie Mae II Pool                                                 | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513741 | PA      | $503457.17    | 0.79%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-29

**Name of Applicant:** BlackRock Funds IV

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer