# EDGAR Filing Document

**Accession Number:** 0000710826
**File Stem:** 0001752724-25-207208
**Filing Date:** 2025-8
**Character Count:** 627427
**Document Hash:** 2346af29dddf1861793ba219c06d0961
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-207208.hdr.sgml**: 20250827

**ACCESSION NUMBER**: 0001752724-25-207208

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250827

**DATE AS OF CHANGE**: 20250827

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Brighthouse Funds Trust II
- **CENTRAL INDEX KEY:** 0000710826

**ORGANIZATION NAME:**
- **EIN:** 833164113
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03618
- **FILM NUMBER:** 251260929

**BUSINESS ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277
- **BUSINESS PHONE:** 980-949-5121

**MAIL ADDRESS:**
- **STREET 1:** BRIGHTHOUSE INVESTMENT ADVISERS, LLC
- **STREET 2:** 11225 NORTH COMMUNITY HOUSE RD
- **CITY:** CHARLOTTE
- **STATE:** NC
- **ZIP:** 28277

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND
- **DATE OF NAME CHANGE:** 20120430

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** METROPOLITAN SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Brighthouse/Wellington Balanced Portfolio (Series ID: S000006522)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000017830 | Class A      |  |
| C000017831 | Class B      |  |
| C000017832 | Class E      |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Brighthouse Funds Trust II

- **b. Investment Company Act file number:** 811-03618

- **c. CIK number of Registrant:** 0000710826

- **d. LEI of Registrant:** 549300NPPA08K2CWOV06

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

  - **Street Address 1:** Brighthouse Investment Advisers, LLC

  - **City:** Charlotte

  - **State:** NC

  - **Foreign country:** US

  - **Zip / Postal Code:** 28277

  - **Telephone number:** 980-949-5089

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

- **a. Name of Series:** Brighthouse/Wellington Balanced Portfolio

- **b. EDGAR series identifier (if any):** S000006522

- **c. LEI of Series:** NXBVDGYPUHFPZAEIGB14

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

- **a. Date of fiscal year-end:** 2025-12-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1304017648.48

**Total Liabilities:** $125794246.88

**Net Assets:** $1178223401.60

**Delayed Delivery Securities:** $4826046.07

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -236.72000000 | **1-Year:** -7616.88000000 | **5-Year:** -29080.87000000 | **10-Year:** -28685.47000000 | **30-Year:** -11030.11000000

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

- **3-Month:** -140.00000000 | **1-Year:** -2648.25000000 | **5-Year:** -6246.88000000 | **10-Year:** -3652.83000000 | **30-Year:** -1840.81000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000017831 | 0.16%                | 3.24%                | 3.48%                |
| Class ID C000017832 | 0.16%                | 3.27%                | 3.45%                |
| Class ID C000017830 | 0.16%                | 3.31%                | 3.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2686049.13              | $-1964624.77                               |
| Month 2  | $4197329.30              | $29587484.64                               |
| Month 3  | $359741.22               | $37729296.87                               |

**Designated Index Information**

- **Index Name:** 60% S&P 500 Index  40% Bloomberg US Aggregate

- **Index Identifier:** 60%SPX 40%LBUSTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| WESCO International Inc                           | WESCO International Inc                                                         | CUSIP: 95082P105<br>LEI: 529900TXOGREY3WNJ434 | Long             | EC               | CORP              | US        |     15549 | NS      | $2879674.80   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    515000 | PA      | $514892.42    | 0.04%             | 2028-04-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-HQA3                                         | CUSIP: 35564KE47<br>LEI: 5493000IRJ8RDHSNEL96 | Long             | ABS-MBS          | USGSE             | US        |    155000 | PA      | $162168.75    | 0.01%             | 2042-08-25      | Floating      | 7.86%                 | No            |                  2 | On Loan: No      |
| FMC Corp                                          | FMC Corp                                                                        | CUSIP: 302491303<br>LEI: CKDHZ2X64EEBQCSP7013 | Long             | EC               | CORP              | US        |     28391 | NS      | $1185324.25   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B22 Mortgage Trust                                               | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2338697 | PA      | $153695.18    | 0.01%             | 2054-01-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWBC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    334564 | PA      | $278826.40    | 0.02%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96138.02     | 0.01%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B12 Mortgage Trust                                               | CUSIP: 08162FAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1839254 | PA      | $51657.47     | 0.00%             | 2052-08-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7324 | PA      | $7677.85      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GML0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25623.74     | 0.00%             | 2031-01-24      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1488641 | PA      | $1317309.86   | 0.11%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3805000 | PA      | $3009963.10   | 0.26%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                           | CUSIP: 96337RAA0<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |     15000 | PA      | $15171.57     | 0.00%             | 2029-09-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCB7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     85000 | PA      | $56206.28     | 0.00%             | 2053-02-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NGW48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    990310 | PA      | $973479.21    | 0.08%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQDZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    267569 | PA      | $272779.82    | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    230000 | PA      | $211600.00    | 0.02%             | 2031-03-30      | Fixed         | 5.88%                 | Yes           |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2020-R1                                                | CUSIP: 034651AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117533 | PA      | $111755.52    | 0.01%             | 2053-04-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H4GG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    610920 | PA      | $98968.22     | 0.01%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BH4<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     85000 | PA      | $93841.20     | 0.01%             | 2033-11-01      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds           | Colombia Government International Bonds                                         | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    800000 | PA      | $539002.78    | 0.05%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EQT Corp                                          | EQT Corp                                                                        | CUSIP: 26884L109<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | EC               | CORP              | US        |     34953 | NS      | $2038458.96   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11030000 | PA      | $5297846.88   | 0.45%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCH4<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    180000 | PA      | $173651.40    | 0.01%             | 2055-02-16      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM1                                       | CUSIP: 10569TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109849 | PA      | $102674.71    | 0.01%             | 2049-02-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Equitable Holdings Inc                            | Equitable Holdings Inc                                                          | CUSIP: 29452E101<br>LEI: 549300FIBAKMNHPZ4009 | Long             | EC               | CORP              | US        |     56486 | NS      | $3168864.60   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| OHIO EDISON CO                                    | Ohio Edison Co                                                                  | CUSIP: 677347CH7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $97112.91     | 0.01%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19040000 | PA      | $14236118.70  | 1.21%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: —       |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BP2<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    355000 | PA      | $381004.36    | 0.03%             | 2030-10-06      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| Shell PLC                                         | Shell PLC                                                                       | CUSIP: 780259305<br>LEI: 21380068P1DRHMJ8KU70 | Long             | EC               | CORP              | GB        |     98471 | NS      | $6933343.11   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3795000 | PA      | $3799980.14   | 0.32%             | 2054-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNK77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    290617 | PA      | $275163.14    | 0.02%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AZEK Co Inc/The                                   | AZEK Co Inc/The                                                                 | CUSIP: 05478C105<br>LEI: 5493002LDDDU1RX46815 | Long             | EC               | CORP              | US        |     38946 | NS      | $2116715.10   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Intuit Inc                                        | Intuit Inc                                                                      | CUSIP: 461202103<br>LEI: VI90HBPH7XSFMB9E4M29 | Long             | EC               | CORP              | US        |      8790 | NS      | $6923267.70   | 0.59%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BHAD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    214272 | PA      | $40512.20     | 0.00%             | 2039-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBW6<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     55000 | PA      | $55691.62     | 0.00%             | 2035-03-14      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/05/31/2029/P:USD 3.70361 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   3275000 | OU      | $-37431.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 949746SH5<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    120000 | PA      | $117943.31    | 0.01%             | 2026-10-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396UCL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35491 | PA      | $36836.13     | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     49149 | PA      | $47431.15     | 0.00%             | 2052-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| QORVO INC                                         | Qorvo Inc                                                                       | CUSIP: 74736KAJ0<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    425000 | PA      | $383248.55    | 0.03%             | 2031-04-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CENCOSUD SA                                       | Cencosud SA                                                                     | CUSIP: 15132HAJ0<br>LEI: 549300NLTGCFV7482429 | Long             | DBT              | CORP              | CL        |    200000 | PA      | $206425.00    | 0.02%             | 2031-05-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                          | Sixth Street Lending Partners                                                   | CUSIP: 829932AE2<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |    310000 | PA      | $315663.78    | 0.03%             | 2030-07-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AGLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    457629 | PA      | $367123.32    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hyatt Hotels Corp                                 | Hyatt Hotels Corp                                                               | CUSIP: 448579102<br>LEI: T27JQIMTYSH41TCD5186 | Long             | EC               | CORP              | US        |     37248 | NS      | $5201683.20   | 0.44%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BUSZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    439985 | PA      | $443787.69    | 0.04%             | 2052-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DE6<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    130000 | PA      | $136220.71    | 0.01%             | 2033-09-07      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    170000 | PA      | $174216.71    | 0.01%             | 2031-04-22      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -555000 | PA      | $-573024.52   | -0.05%            | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-3                                               | CUSIP: 92539LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1186711 | PA      | $1041182.32   | 0.09%             | 2066-06-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1052116 | PA      | $1036189.13   | 0.09%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                     | HTL Commercial Mortgage Trust 2024-T53                                          | CUSIP: 404300AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $282338.78    | 0.02%             | 2039-05-10      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         3 | NC      | $1739.52      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379XH52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22301 | PA      | $544.08       | 0.00%             | 2029-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    630548 | PA      | $589172.94    | 0.05%             | 2052-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418XDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        10 | PA      | $10.14        | 0.00%             | 2025-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400JG9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    195000 | PA      | $191414.76    | 0.02%             | 2035-03-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2020-1                   | CUSIP: 35563PNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    412152 | PA      | $335528.81    | 0.03%             | 2059-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2016-LC24                                 | CUSIP: 95000HBF8<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    890000 | PA      | $873426.15    | 0.07%             | 2049-10-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Champion Homes Inc                                | Champion Homes Inc                                                              | CUSIP: 830830105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     18156 | NS      | $1136747.16   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                          | Standard Industries Inc/NY                                                      | CUSIP: 853496AG2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    720000 | PA      | $681725.83    | 0.06%             | 2030-07-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1559414 | PA      | $1325529.83   | 0.11%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3622AAXY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    222472 | PA      | $221578.65    | 0.02%             | 2049-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    464712 | PA      | $395014.26    | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SS&C Technologies Inc                             | SS&C Technologies Inc                                                           | CUSIP: 78466CAC0<br>LEI: 549300KY09TR3J12JU49 | Long             | DBT              | CORP              | US        |   1140000 | PA      | $1140999.78   | 0.10%             | 2027-09-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAH5<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |    480000 | PA      | $483944.26    | 0.04%             | 2048-07-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325YRN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    869930 | PA      | $114113.38    | 0.01%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co Inc                    | American Electric Power Co Inc                                                  | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | EC               | CORP              | US        |     39192 | NS      | $4066561.92   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PAY7<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177128.33    | 0.02%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                              | Kite Realty Group LP                                                            | CUSIP: 49803XAG8<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              |  | US        |    135000 | PA      | $136176.21    | 0.01%             | 2032-08-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB29<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    460000 | PA      | $467637.98    | 0.04%             | 2030-07-23      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                           | CUSIP: 04685A3E9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    510000 | PA      | $441843.42    | 0.04%             | 2031-10-04      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAW6<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |    220000 | PA      | $220941.80    | 0.02%             | 2065-03-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA7                                         | CUSIP: 35564KND7<br>LEI: 5493000ISOMSKCX2AW62 | Long             | ABS-MBS          | USGSE             | US        |    426000 | PA      | $439949.41    | 0.04%             | 2041-11-25      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2956907 | PA      | $1716278.77   | 0.15%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Alnylam Pharmaceuticals Inc                       | Alnylam Pharmaceuticals Inc                                                     | CUSIP: 02043Q107<br>LEI: 529900S3ZI14OWRJII50 | Long             | EC               | CORP              | US        |      1375 | NS      | $448373.75    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Cabot Corp                                        | Cabot Corp                                                                      | CUSIP: 127055101<br>LEI: K05C0SER542GQ6VLRO68 | Long             | EC               | CORP              | US        |     10521 | NS      | $789075.00    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| IHS HOLDING LTD                                   | IHS Holding Ltd                                                                 | CUSIP: 44963HAB1<br>LEI: 213800CLGMKL63VKTD94 | Long             | DBT              | CORP              | KY        |    390000 | PA      | $379044.37    | 0.03%             | 2028-11-29      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    172000 | PA      | $165026.87    | 0.01%             | 2030-05-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PAM8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    305000 | PA      | $298760.57    | 0.03%             | 2029-01-23      | Fixed         | 3.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X0Z76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155879 | PA      | $153233.87    | 0.01%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Duke Energy Progress LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442RAB7<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    320000 | PA      | $271023.17    | 0.02%             | 2044-03-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                       | Vistra Corp                                                                     | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Long             | EC               | CORP              | US        |     15292 | NS      | $2963742.52   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQJD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221322 | PA      | $218343.43    | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Welltower Inc                                     | Welltower Inc                                                                   | CUSIP: 95040Q104<br>LEI: 254900F33BIAR82QTA19 | Long             | EC               |  | US        |     37435 | NS      | $5754882.55   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LKFG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95000 | PA      | $96382.18     | 0.01%             | 2028-04-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                  | Societe Generale SA                                                             | CUSIP: 83368RCH3<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    295000 | PA      | $298601.87    | 0.03%             | 2029-05-22      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4134 | PA      | $3698.67      | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379QFZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1131 | PA      | $11.69        | 0.00%             | 2026-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-4                                      | CUSIP: 64829NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    218629 | PA      | $209889.77    | 0.02%             | 2057-05-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BDR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    689800 | PA      | $115472.79    | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378MSZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12025 | PA      | $82.34        | 0.00%             | 2027-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Chipotle Mexican Grill Inc                        | Chipotle Mexican Grill Inc                                                      | CUSIP: 169656105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     69312 | NS      | $3891868.80   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                            | Protective Life Global Funding                                                  | CUSIP: 74368CCC6<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177186.70    | 0.02%             | 2030-06-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EGVA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5550 | PA      | $5618.71      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    196478 | PA      | $198777.14    | 0.02%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128P76P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153509 | PA      | $149429.47    | 0.01%             | 2034-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AKXK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109473 | PA      | $7187.67      | 0.00%             | 2044-08-25      | Variable      | 2.07%                 | No            |                  2 | On Loan: No      |
| Pool Corp                                         | Pool Corp                                                                       | CUSIP: 73278L105<br>LEI: 5493005VZK1KMN6CO617 | Long             | EC               | CORP              | US        |     13387 | NS      | $3902042.76   | 0.33%             |  |  |  | No            |                  1 | On Loan: —       |
| Newamsterdam Pharma Co NV                         | Newamsterdam Pharma Co NV                                                       | CUSIP: 000000000<br>LEI: 984500B6549TF6E14D36 | Long             | EC               | CORP              | NL        |     24800 | NS      | $449128.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWF57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2995819 | PA      | $2950158.57   | 0.25%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ASAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226526 | PA      | $41909.72     | 0.00%             | 2043-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                           | CUSIP: 000000000<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    685000 | PA      | $702188.50    | 0.06%             | 2032-04-28      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Vertex Pharmaceuticals Inc                        | Vertex Pharmaceuticals Inc                                                      | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |      6238 | NS      | $2777157.60   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     66355 | PA      | $57991.84     | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PFQ0<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    120000 | PA      | $122306.78    | 0.01%             | 2035-06-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    946593 | PA      | $35853.44     | 0.00%             | 2030-11-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Johnson & Johnson                                 | Johnson & Johnson                                                               | CUSIP: 478160104<br>LEI: 549300G0CFPGEF6X2043 | Long             | EC               | CORP              | US        |     21163 | NS      | $3232648.25   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XH3G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    322044 | PA      | $281400.20    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAF8<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     45000 | PA      | $48357.28     | 0.00%             | 2034-03-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371G2B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7951 | PA      | $8063.04      | 0.00%             | 2028-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DB2<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118762.41    | 0.01%             | 2033-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: —       |
| PRP Advisors, LLC                                 | PRPM 2024-7 LLC                                                                 | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    445281 | PA      | $445149.50    | 0.04%             | 2029-11-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137HLB68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1359102 | PA      | $93060.82     | 0.01%             | 2055-05-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573AZ9<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35766.68     | 0.00%             | 2034-04-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| NetApp Inc                                        | NetApp Inc                                                                      | CUSIP: 64110D104<br>LEI: QTX3D84DZDD5JYOCYH15 | Long             | EC               | CORP              | US        |     23723 | NS      | $2527685.65   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SGL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     63538 | PA      | $59068.76     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XNC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1466721 | PA      | $1338830.88   | 0.11%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1075000 | PA      | $1109912.36   | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBT3<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |     85000 | PA      | $90267.43     | 0.01%             | 2029-10-25      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DP1<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    185000 | PA      | $186362.42    | 0.02%             | 2031-11-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AAF59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    177872 | PA      | $160388.72    | 0.01%             | 2042-12-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WXGZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19879 | PA      | $18629.57     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 23 Ltd                                                                       | CUSIP: 75000GAV8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1110000 | PA      | $1109445.00   | 0.09%             | 2035-10-15      | Floating      | 6.91%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816EF2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    435000 | PA      | $444184.71    | 0.04%             | 2031-04-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| UnitedHealth Group Inc                            | UnitedHealth Group Inc                                                          | CUSIP: 91324P102<br>LEI: 549300GHBMY8T5GXDE41 | Long             | EC               | CORP              | US        |     19196 | NS      | $5988576.12   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5608 | PA      | $5583.45      | 0.00%             | 2029-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQ3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1002818 | PA      | $1007340.83   | 0.09%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325YQS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1908219 | PA      | $103627.51    | 0.01%             | 2037-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDS7<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    240000 | PA      | $146058.53    | 0.01%             | 2051-11-01      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     85000 | PA      | $74234.40     | 0.01%             | 2032-07-21      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49246 | PA      | $44488.16     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A6DE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2613 | PA      | $179.42       | 0.00%             | 2042-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KXXW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    299508 | PA      | $242871.20    | 0.02%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Goodyear Tire & Rubber Co/The                     | Goodyear Tire & Rubber Co/The                                                   | CUSIP: 382550101<br>LEI: 5493002BI0S2ZQUY3437 | Long             | EC               | CORP              | US        |     81575 | NS      | $845932.75    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     35000 | PA      | $35813.65     | 0.00%             | 2034-04-24      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                             | Republic Services Inc                                                           | CUSIP: 760759BK5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    135000 | PA      | $138173.58    | 0.01%             | 2034-11-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMV68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    160090 | PA      | $139792.39    | 0.01%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Philip Morris International Inc                   | Philip Morris International Inc                                                 | CUSIP: 718172109<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | EC               | CORP              | US        |     30131 | NS      | $5487759.03   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BD6<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119794.07    | 0.01%             | 2065-05-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJB6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    290000 | PA      | $265118.18    | 0.02%             | 2031-04-29      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                           | CUSIP: 04685A3G4<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     45000 | PA      | $41949.38     | 0.00%             | 2029-01-07      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                             | CUSIP: 05352TAA7<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    780000 | PA      | $765928.10    | 0.07%             | 2028-07-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31397UKE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72091 | PA      | $54392.71     | 0.00%             | 2041-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38382E5F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    336995 | PA      | $16277.94     | 0.00%             | 2035-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DMW27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     63880 | PA      | $55828.24     | 0.00%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OFFICE CHERIFIEN DES PHO                          | OCP SA                                                                          | CUSIP: 000000000<br>LEI: 213800D26TAPVTCVWG40 | Long             | DBT              | CORP              | MA        |    450000 | PA      | $449451.00    | 0.04%             | 2054-05-02      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    110000 | PA      | $108333.21    | 0.01%             | 2027-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                            | Equitable Holdings Inc                                                          | CUSIP: 054561AJ4<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |     70000 | PA      | $69867.08     | 0.01%             | 2028-04-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDLL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     83772 | PA      | $73280.09     | 0.01%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61332 | PA      | $62086.25     | 0.01%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                           | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6057518 | PA      | $6004485.21   | 0.51%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92553PAW2<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    250000 | PA      | $199000.54    | 0.02%             | 2044-04-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    345000 | PA      | $353152.26    | 0.03%             | 2035-01-23      | Fixed         | 5.34%                 | No            |                  2 | On Loan: —       |
| CLEAN HARBORS INC                                 | Clean Harbors Inc                                                               | CUSIP: 184496AN7<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |   1195000 | PA      | $1189137.57   | 0.10%             | 2027-07-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                  | NJ 2025-WBRK                                                                    | CUSIP: 65486BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    790000 | PA      | $807481.36    | 0.07%             | 2035-03-05      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNTS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253974 | PA      | $222322.41    | 0.02%             | 2052-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo & Co                                  | Wells Fargo & Co                                                                | CUSIP: 949746101<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EC               | CORP              | US        |    310058 | NS      | $24841846.96  | 2.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2025-SFR1 Trust                                            | CUSIP: 74334NAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645000 | PA      | $611130.86    | 0.05%             | 2042-02-17      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GQQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     73894 | PA      | $66769.97     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-2                                               | CUSIP: 92538FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146286 | PA      | $129821.47    | 0.01%             | 2066-02-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                            | CUSIP: 517834AN7<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    230000 | PA      | $237284.82    | 0.02%             | 2030-06-14      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132L83D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    220048 | PA      | $201821.40    | 0.02%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9PN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44110 | PA      | $43301.55     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FIN NA                              | Mercedes-Benz Finance North America LLC                                         | CUSIP: 58769JAZ0<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |    190000 | PA      | $192151.98    | 0.02%             | 2027-11-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Marathon Petroleum Corp                           | Marathon Petroleum Corp                                                         | CUSIP: 56585A102<br>LEI: 3BNYRYQHD39K4LCKQF12 | Long             | EC               | CORP              | US        |     19930 | NS      | $3310572.30   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXHP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249486 | PA      | $242616.22    | 0.02%             | 2041-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GMF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27921 | PA      | $26163.63     | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    231492 | PA      | $216054.91    | 0.02%             | 2044-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     35000 | PA      | $25302.93     | 0.00%             | 2061-03-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGYT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116208 | PA      | $92463.51     | 0.01%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W7G81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11306 | PA      | $10614.66     | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-2                                      | CUSIP: 85573HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84090 | PA      | $78744.39     | 0.01%             | 2065-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                                | NextEra Energy Inc                                                              | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EC               | CORP              | US        |     21427 | NS      | $1487462.34   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M2CY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    207708 | PA      | $174299.51    | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFRA TRUST                                        | MFA 2021-NQM2 Trust                                                             | CUSIP: 55283WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209601 | PA      | $184573.73    | 0.02%             | 2064-11-25      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/06/21/2053/P:USD 3.25000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    860000 | OU      | $99597.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DR Horton Inc                                     | DR Horton Inc                                                                   | CUSIP: 23331A109<br>LEI: 529900ZIUEYVSB8QDD25 | Long             | EC               | CORP              | US        |      6798 | NS      | $876398.16    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | Csail 2015-C2 Commercial Mortgage Trust                                         | CUSIP: 12634NAV0<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   1094866 | PA      | $5.58         | 0.00%             | 2057-06-15      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Time Warner Cable LLC                             | Time Warner Cable LLC                                                           | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    200000 | PA      | $159296.47    | 0.01%             | 2042-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KYEH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368912 | PA      | $292630.39    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36183RD91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150087 | PA      | $133842.75    | 0.01%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BPXD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50382 | PA      | $52730.76     | 0.00%             | 2046-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31422M2A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    815256 | PA      | $104014.10    | 0.01%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Merus NV                                          | Merus NV                                                                        | CUSIP: 000000000<br>LEI: 549300W8GPUWU8QNU293 | Long             | EC               | CORP              | NL        |      5550 | NS      | $291930.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NMLT Trust                                        | NMLT 2021-INV1 Trust                                                            | CUSIP: 62923JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614335 | PA      | $537542.53    | 0.05%             | 2056-05-25      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BTP FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -43 | NC      | $-9467.67     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M5VP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43235 | PA      | $41650.59     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCK7<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    195000 | PA      | $196483.43    | 0.02%             | 2031-01-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B0Q64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5872 | PA      | $57.20        | 0.00%             | 2028-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321819 | PA      | $301171.53    | 0.03%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Blue Owl Asset Leasing Trust                      | Blue Owl Asset Leasing Trust 2024-1 LLC                                         | CUSIP: 095921AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100000 | PA      | $100999.98    | 0.01%             | 2030-03-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Zscaler Inc                                       | Zscaler Inc                                                                     | CUSIP: 98980G102<br>LEI: 529900MZ0RTK1BWRNF46 | Long             | EC               | CORP              | US        |     12323 | NS      | $3868682.62   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJ3W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395546 | PA      | $333660.77    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LLC                   | Stack Infrastructure Issuer LLC                                                 | CUSIP: 85236KAM4<br>LEI: 254900AV7V87H3A2WM57 | Long             | ABS-O            | CORP              | US        |    265000 | PA      | $269390.23    | 0.02%             | 2049-03-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Credit Acceptance Auto Loan Trust                 | Credit Acceptance Auto Loan Trust 2024-3                                        | CUSIP: 22535LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    640000 | PA      | $642183.04    | 0.05%             | 2034-09-15      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X55F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18575 | PA      | $18028.48     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                | CUSIP: 010392GC6<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |     50000 | PA      | $50389.69     | 0.00%             | 2035-04-02      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AbbVie Inc                                        | AbbVie Inc                                                                      | CUSIP: 00287Y109<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | EC               | CORP              | US        |     12692 | NS      | $2355889.04   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCA TRANSILVANIA                                | Banca Transilvania SA                                                           | CUSIP: 000000000<br>LEI: 549300RG3H390KEL8896 | Long             | DBT              | CORP              | RO        |    305000 | PA      | $373196.85    | 0.03%             | 2027-04-27      | Fixed         | 8.88%                 | Yes           |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                              | Taylor Morrison Communities Inc                                                 | CUSIP: 87724RAB8<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    623000 | PA      | $632347.49    | 0.05%             | 2028-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W7GC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138569 | PA      | $125353.79    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PEQ1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     35000 | PA      | $36249.61     | 0.00%             | 2030-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBF9<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    670000 | PA      | $462233.00    | 0.04%             | 2062-03-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31307DH58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85804 | PA      | $84385.59     | 0.01%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Transferee             | VOLT XCIV LLC                                                                   | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40154 | PA      | $40137.27     | 0.00%             | 2051-02-27      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418BMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105037 | PA      | $97640.65     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KP7D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1246930 | PA      | $992148.72    | 0.08%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| VAR ENERGI ASA                                    | Var Energi ASA                                                                  | CUSIP: 92212WAF7<br>LEI: 549300LIVN3FFOJN2K47 | Long             | DBT              | CORP              | NO        |    200000 | PA      | $204897.73    | 0.02%             | 2030-05-22      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PAW1<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    215000 | PA      | $209872.18    | 0.02%             | 2054-12-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31335AZ68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    603836 | PA      | $538736.03    | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380KPS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    218953 | PA      | $36899.70     | 0.00%             | 2043-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C6 Commercial Mortgage Trust                                         | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   1387444 | PA      | $6556.37      | 0.00%             | 2049-01-15      | Variable      | 2.02%                 | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE                            | Westinghouse Air Brake Technologies Corp                                        | CUSIP: 960386AS9<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |    245000 | PA      | $248456.73    | 0.02%             | 2030-05-29      | Fixed         | 4.90%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EXU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    265004 | PA      | $265293.12    | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DWR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187966 | PA      | $149685.67    | 0.01%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GFP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91713 | PA      | $82890.85     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WHL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8439 | PA      | $7481.45      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA1                                         | CUSIP: 35564KX87<br>LEI: 5493000IRHY5YZIPQD14 | Long             | ABS-MBS          | USGSE             | US        |    945000 | PA      | $998111.84    | 0.08%             | 2043-05-25      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335178 | PA      | $317462.05    | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKP28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1551513 | PA      | $1307141.84   | 0.11%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2555000 | PA      | $1798680.09   | 0.15%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADM4<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     90000 | PA      | $87197.01     | 0.01%             | 2035-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B16D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37365 | PA      | $991.11       | 0.00%             | 2028-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                    | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |     85000 | PA      | $91619.48     | 0.01%             | 2035-04-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL CO                              | Saudi Arabian Oil Co                                                            | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    200000 | PA      | $199925.21    | 0.02%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1200000 | PA      | $883500.00    | 0.07%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    135000 | PA      | $112062.48    | 0.01%             | 2040-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618N5C49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1192957 | PA      | $1142400.41   | 0.10%             | 2054-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGCK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    135996 | PA      | $120415.58    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AJUU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    275294 | PA      | $268807.46    | 0.02%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617GGRM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     42557 | PA      | $39773.23     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Capital Partners                               | SG Residential Mortgage Trust 2022-1                                            | CUSIP: 78433QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489605 | PA      | $452759.19    | 0.04%             | 2062-03-27      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2016-2                                      | CUSIP: 64829GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198721 | PA      | $192357.00    | 0.02%             | 2035-11-26      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25506 | PA      | $23031.52     | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 77586RAW0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    110000 | PA      | $114191.28    | 0.01%             | 2037-02-10      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQLJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29967 | PA      | $28759.09     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HOLDINGS                          | Cleco Corporate Holdings LLC                                                    | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |    275000 | PA      | $255695.79    | 0.02%             | 2029-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3960000 | PA      | $4000064.07   | 0.34%             | 2031-11-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                            | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    326405 | PA      | $276183.89    | 0.02%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BS6H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1352709 | PA      | $88957.09     | 0.01%             | 2054-10-25      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA NY                             | BANCO SANTANDER SA NY                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             | 2025-07-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| EAST OHIO GAS CO/THE                              | East Ohio Gas Co/The                                                            | CUSIP: 27409LAE3<br>LEI: BC95Y6MXLT75BGO7UM71 | Long             | DBT              | CORP              | US        |     30000 | PA      | $18734.10     | 0.00%             | 2050-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Costco Wholesale Corp                             | Costco Wholesale Corp                                                           | CUSIP: 22160K105<br>LEI: 29DX7H14B9S6O3FD6V18 | Long             | EC               | CORP              | US        |      3476 | NS      | $3441031.44   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6GA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    243164 | PA      | $224997.11    | 0.02%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                          | TotalEnergies Capital SA                                                        | CUSIP: 89157XAC5<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    350000 | PA      | $339288.54    | 0.03%             | 2064-04-05      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1223756 | PA      | $1171894.06   | 0.10%             | 2054-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GILEAD SCIENCES INC                               | Gilead Sciences Inc                                                             | CUSIP: 375558CB7<br>LEI: 549300WTZWR07K8MNV44 | Long             | DBT              | CORP              | US        |    275000 | PA      | $280689.63    | 0.02%             | 2029-11-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X7K40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    155654 | PA      | $144153.56    | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133USHY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371662 | PA      | $313142.88    | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2023-A                                | CUSIP: 638961AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    436659 | PA      | $446225.73    | 0.04%             | 2071-10-15      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAF4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    160000 | PA      | $149521.43    | 0.01%             | 2028-03-08      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                            | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    250000 | PA      | $253750.00    | 0.02%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Everest Group Ltd                                 | Everest Group Ltd                                                               | CUSIP: 000000000<br>LEI: 549300N24XF2VV0B3570 | Long             | EC               | CORP              | BM        |      5540 | NS      | $1882769.00   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAP8<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $136745.09    | 0.01%             | 2054-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2014-GC20                                          | CUSIP: 36252WAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421315 | PA      | $331368.76    | 0.03%             | 2047-04-10      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132A9T64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137662 | PA      | $133739.74    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36241K4Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    238143 | PA      | $241290.98    | 0.02%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                             | CUSIP: 95058XAL2<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   1358391 | PA      | $1201073.95   | 0.10%             | 2051-06-15      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B10 Mortgage Trust                                               | CUSIP: 08162VAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5019440 | PA      | $191582.47    | 0.02%             | 2062-03-15      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3825000 | PA      | $3928992.19   | 0.33%             | 2033-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419FVT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    227016 | PA      | $219306.65    | 0.02%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBD7<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21601.12     | 0.00%             | 2062-03-15      | Fixed         | 4.03%                 | No            |                  2 | On Loan: —       |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADC6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    115000 | PA      | $120439.52    | 0.01%             | 2034-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    125000 | PA      | $115882.23    | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    910000 | PA      | $596156.64    | 0.05%             | 2046-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42882 | PA      | $2252.46      | 0.00%             | 2030-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GALAXY PIPELINE ASSETS                            | Galaxy Pipeline Assets Bidco Ltd                                                | CUSIP: 36321PAE0<br>LEI: 549300L82YB0C6JQIC26 | Long             | DBT              | CORP              | JE        |    322383 | PA      | $264080.06    | 0.02%             | 2040-09-30      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US ULTRA BOND CBT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        53 | NC      | $209393.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQVF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    395189 | PA      | $397217.52    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 26 Ltd                                                                       | CUSIP: 74989MAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    520000 | PA      | $520625.04    | 0.04%             | 2038-04-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| EQUITABLE FINANCIAL LIFE                          | Equitable Financial Life Global Funding                                         | CUSIP: 29449WAT4<br>LEI: 635400B4JJBON4TCHF02 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177612.82    | 0.02%             | 2030-03-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Agilent Technologies Inc                          | Agilent Technologies Inc                                                        | CUSIP: 00846U101<br>LEI: QUIX8Y7A2WP0XRMW7G29 | Long             | EC               | CORP              | US        |     18782 | NS      | $2216463.82   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-8                                               | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407149 | PA      | $371786.08    | 0.03%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    680000 | PA      | $650799.43    | 0.06%             | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM7 Trust                                                            | CUSIP: 36167YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259881 | PA      | $240746.31    | 0.02%             | 2066-08-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ARE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181184 | PA      | $149790.17    | 0.01%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91086QBB3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      4000 | PA      | $3144.60      | 0.00%             | 2044-03-08      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967QA2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    435000 | PA      | $439957.72    | 0.04%             | 2031-05-07      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1050000 | PA      | $870419.16    | 0.07%             | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2021-DNA6                                         | CUSIP: 35564KLU1<br>LEI: 5493000ISONLNOUKGB71 | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $462124.85    | 0.04%             | 2041-10-25      | Floating      | 7.71%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAK6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $189982.00    | 0.02%             | 2032-04-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                 | CUSIP: 668771AK4<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    540000 | PA      | $549561.78    | 0.05%             | 2027-09-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJEV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82501 | PA      | $73836.06     | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                | Bacardi-Martini BV                                                              | CUSIP: 05634WAB8<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |    170000 | PA      | $175505.79    | 0.01%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6365000 | PA      | $4829195.13   | 0.41%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179UV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229137 | PA      | $210074.41    | 0.02%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43276 | PA      | $42402.30     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KKND7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432726 | PA      | $362606.19    | 0.03%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31396ULP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35859 | PA      | $37517.93     | 0.00%             | 2036-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F052672<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1994000 | PA      | $1993543.81   | 0.17%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2024-PAT                                                               | CUSIP: 05612FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86000 | PA      | $86000.00     | 0.01%             | 2041-03-15      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                            | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    315200 | PA      | $298725.41    | 0.03%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| HubSpot Inc                                       | HubSpot Inc                                                                     | CUSIP: 443573100<br>LEI: 529900BLNVEW0MVKJB37 | Long             | EC               | CORP              | US        |      6225 | NS      | $3465021.75   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2022-NQM1 Trust                                                             | CUSIP: 67114VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807923 | PA      | $722841.40    | 0.06%             | 2061-11-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132QVVE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     54338 | PA      | $51603.87     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                          | MSCI Inc                                                                        | CUSIP: 55354GAM2<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    355000 | PA      | $327082.69    | 0.03%             | 2031-11-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26                     | CUSIP: 61690VBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    383220 | PA      | $7.89         | 0.00%             | 2048-10-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HPEN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56368 | PA      | $52961.83     | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHENIERE ENERGY PARTNERS                          | Cheniere Energy Partners LP                                                     | CUSIP: 16411QAV3<br>LEI: 5493005UEC8AZ34LDV29 | Long             | DBT              | CORP              | US        |    470000 | PA      | $473695.20    | 0.04%             | 2035-10-30      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK28                                                                 | CUSIP: 06540YAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4828113 | PA      | $352034.62    | 0.03%             | 2063-03-15      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BU1<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    110000 | PA      | $112115.14    | 0.01%             | 2034-04-04      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132Y2HF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27547 | PA      | $26107.86     | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BURE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423692 | PA      | $427674.17    | 0.04%             | 2052-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                  | CUSIP: 683715AD8<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |   1260000 | PA      | $1186823.11   | 0.10%             | 2029-12-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-NQM4                                   | CUSIP: 64828EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51595 | PA      | $49216.39     | 0.00%             | 2059-09-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANHJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    150707 | PA      | $6728.13      | 0.00%             | 2055-04-25      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AFXT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16886 | PA      | $395.06       | 0.00%             | 2028-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Chubb Ltd                                         | Chubb Ltd                                                                       | CUSIP: 000000000<br>LEI: E0JAN6VLUDI1HITHT809 | Long             | EC               | CORP              | CH        |     12297 | NS      | $3562686.84   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAN3<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $144019.14    | 0.01%             | 2034-10-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FREK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2401345 | PA      | $100197.55    | 0.01%             | 2030-01-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GFB22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144456 | PA      | $146373.06    | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253363 | PA      | $211956.99    | 0.02%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENER HOUSTON                          | CenterPoint Energy Houston Electric LLC                                         | CUSIP: 15189XBD9<br>LEI: 549300S8SEQBOJLKHW63 | Long             | DBT              | CORP              | US        |    365000 | PA      | $376266.88    | 0.03%             | 2028-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   1040000 | PA      | $1026376.00   | 0.09%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31394GXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15402 | PA      | $15922.60     | 0.00%             | 2033-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76151.67     | 0.01%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                   | CUSIP: 31944TAA8<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    585000 | PA      | $583328.60    | 0.05%             | 2030-01-01      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BULGARIA                                          | Bulgaria Government International Bond                                          | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    315000 | PA      | $411607.10    | 0.03%             | 2036-05-13      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD BRL                                                        | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |         1 | NC      | $-4104.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    217535 | PA      | $214197.54    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M8VW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78090 | PA      | $75300.88     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GEN DIGITAL INC                                   | Gen Digital Inc                                                                 | CUSIP: 668771AM0<br>LEI: YF6ZV0M6AU4FY94MK914 | Long             | DBT              | CORP              | US        |    600000 | PA      | $616105.20    | 0.05%             | 2033-04-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CCE3<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51354.04     | 0.00%             | 2034-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBU8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    255000 | PA      | $223559.50    | 0.02%             | 2052-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Spotify Technology SA                             | Spotify Technology SA                                                           | CUSIP: 000000000<br>LEI: 549300B4X0JHWV0DTD60 | Long             | EC               | CORP              | LU        |       958 | NS      | $735111.72    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| General Dynamics Corp                             | General Dynamics Corp                                                           | CUSIP: 369550108<br>LEI: 9C1X8XOOTYY2FNYTVH06 | Long             | EC               | CORP              | US        |      3069 | NS      | $895104.54    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| US Foods Holding Corp                             | US Foods Holding Corp                                                           | CUSIP: 912008109<br>LEI: 549300UGOZSO64CFPR97 | Long             | EC               | CORP              | US        |     84084 | NS      | $6475308.84   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| JBS USA HOLD/FOOD GRP/CO                          | JBS USA Holding Lux Sarl / JBS USA Foods Group Holdings Inc / JBS USA Food Co   | CUSIP: 472140AE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    430000 | PA      | $430632.10    | 0.04%             | 2036-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDF9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     25000 | PA      | $26059.58     | 0.00%             | 2035-02-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W2W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184383 | PA      | $168220.51    | 0.01%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TLS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62533 | PA      | $57761.24     | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MABU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183870 | PA      | $177846.57    | 0.02%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                           | CUSIP: 167505KH8<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    325000 | PA      | $301359.18    | 0.03%             | 2039-12-01      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74255.92     | 0.01%             | 2031-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE4 Mortgage Trust                                                  | CUSIP: 12624QAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68890 | PA      | $1068.52      | 0.00%             | 2045-10-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-7                                               | CUSIP: 92538QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020676 | PA      | $917006.75    | 0.08%             | 2066-10-25      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H54D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509249 | PA      | $92140.37     | 0.01%             | 2045-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GR9<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $100212.29    | 0.01%             | 2034-08-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-4                                      | CUSIP: 64828FCQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227479 | PA      | $222628.37    | 0.02%             | 2048-01-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FFLC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102744 | PA      | $94978.95     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IVORY COAST                                       | Ivory Coast Government International Bond                                       | CUSIP: 000000000<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    460000 | PA      | $485247.62    | 0.04%             | 2032-01-30      | Fixed         | 4.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GTW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4884 | PA      | $4386.43      | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -135 | NC      | $-556021.39   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| BWAY Mortgage Trust                               | BWAY Trust 2025-1535                                                            | CUSIP: 12430BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    635000 | PA      | $658887.43    | 0.06%             | 2042-05-05      | Variable      | 7.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51593 | PA      | $53101.78     | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133493 | PA      | $120595.74    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137HBP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1465909 | PA      | $43355.65     | 0.00%             | 2033-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BU7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    385000 | PA      | $343302.09    | 0.03%             | 2031-04-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: —       |
| Chicago Board of Education                        | CHICAGO IL BRD OF EDU                                                           | CUSIP: 167505NG7<br>LEI: 54930099NR6T9V7LVB43 | Long             | DBT              | MUN               | US        |    315000 | PA      | $310149.72    | 0.03%             | 2029-11-01      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DV7K5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    386058 | PA      | $308037.47    | 0.03%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CG6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    145000 | PA      | $134427.00    | 0.01%             | 2064-11-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38381TR23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244168 | PA      | $36450.93     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Celanese Corp                                     | Celanese Corp                                                                   | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |     17075 | NS      | $944759.75    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| PPG Industries Inc                                | PPG Industries Inc                                                              | CUSIP: 693506107<br>LEI: 549300BKPEP01R3V6C59 | Long             | EC               | CORP              | US        |     27075 | NS      | $3079781.25   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2022-1                                       | CUSIP: 31573CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    469862 | PA      | $407209.07    | 0.03%             | 2067-01-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAC1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    215000 | PA      | $217642.89    | 0.02%             | 2034-01-15      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBE2<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1335000 | PA      | $931162.50    | 0.08%             | 2052-03-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR2 Trust                                                  | CUSIP: 33767PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1162229 | PA      | $1156573.97   | 0.10%             | 2039-07-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                   | CSAIL 2016-C5 Commercial Mortgage Trust                                         | CUSIP: 12636LBA7<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |    518587 | PA      | $228.75       | 0.00%             | 2048-11-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| AES ANDES SA                                      | AES Andes SA                                                                    | CUSIP: 00111VAD9<br>LEI: 549300IF4IFG0FS0RM26 | Long             | DBT              | CORP              | CL        |    205000 | PA      | $209051.01    | 0.02%             | 2032-03-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Atmos Energy Corp                                 | Atmos Energy Corp                                                               | CUSIP: 049560105<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | EC               | CORP              | US        |     21778 | NS      | $3356207.58   | 0.28%             |  |  |  | No            |                  1 | On Loan: —       |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                      | CUSIP: 842434DA7<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    180000 | PA      | $175216.62    | 0.01%             | 2054-04-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Marriott International Inc/MD                     | Marriott International Inc/MD                                                   | CUSIP: 571903202<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | EC               | CORP              | US        |      8530 | NS      | $2330481.30   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36186NMD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6355 | PA      | $5667.33      | 0.00%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XKFM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216222 | PA      | $215786.61    | 0.02%             | 2037-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                             | CUSIP: 03027XBM1<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    370000 | PA      | $331797.45    | 0.03%             | 2031-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Casey's General Stores Inc                        | Casey's General Stores Inc                                                      | CUSIP: 147528103<br>LEI: 549300CAFWSI86V66Q65 | Long             | EC               | CORP              | US        |      1580 | NS      | $806226.60    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| AVANTOR FUNDING INC                               | Avantor Funding Inc                                                             | CUSIP: 05352TAB5<br>LEI: 5493003VM0XB4U8YD238 | Long             | DBT              | CORP              | US        |    295000 | PA      | $279306.41    | 0.02%             | 2029-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                               | CUSIP: 92538HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    277493 | PA      | $230247.89    | 0.02%             | 2066-07-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING/PTL                          | Penske Truck Leasing Co Lp / PTL Finance Corp                                   | CUSIP: 709599BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    190000 | PA      | $189956.25    | 0.02%             | 2025-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 312932ZG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1920 | PA      | $1935.62      | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ALJW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13517 | PA      | $13679.33     | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131575 | PA      | $111117.71    | 0.01%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                             | CUSIP: 65339KBR0<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    255000 | PA      | $229648.36    | 0.02%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBA7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $183800.00    | 0.02%             | 2054-05-07      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B5PK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    225555 | PA      | $205147.21    | 0.02%             | 2049-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR5 Trust                                            | CUSIP: 74332YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    206236 | PA      | $206015.72    | 0.02%             | 2039-06-17      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities            | Natixis Commercial Mortgage Securities Trust 2018-SOX                           | CUSIP: 63874NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165000 | PA      | $160000.90    | 0.01%             | 2038-06-17      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GP3<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    285000 | PA      | $285343.24    | 0.02%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Nucor Corp                                        | Nucor Corp                                                                      | CUSIP: 670346105<br>LEI: 549300GGJCRSI2TIEJ46 | Long             | EC               | CORP              | US        |     11168 | NS      | $1446702.72   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    266646 | PA      | $248012.23    | 0.02%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2519407 | PA      | $2004622.27   | 0.17%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3785000 | PA      | $3256282.81   | 0.28%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-R2                                              | CUSIP: 92538DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174876 | PA      | $161703.48    | 0.01%             | 2064-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-4 Mortgage Loan Trust                                                 | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137465 | PA      | $136990.27    | 0.01%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPCT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66655 | PA      | $66049.87     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QGGN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80747 | PA      | $71081.69     | 0.01%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DA4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    385000 | PA      | $396098.04    | 0.03%             | 2030-02-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| Unilever PLC                                      | Unilever PLC                                                                    | CUSIP: 904767704<br>LEI: 549300MKFYEKVRWML317 | Long             | EC               | CORP              | GB        |     69204 | NS      | $4233208.68   | 0.36%             |  |  |  | No            |                  1 | On Loan: —       |
| FAIR ISAAC CORP                                   | Fair Isaac Corp                                                                 | CUSIP: 303250AF1<br>LEI: RI6HET5SJUEY30V1PS26 | Long             | DBT              | CORP              | US        |    853000 | PA      | $830198.46    | 0.07%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132D6DL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    901547 | PA      | $918787.06    | 0.08%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEP22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    308451 | PA      | $268220.39    | 0.02%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418EJF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537440 | PA      | $529331.85    | 0.04%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STATE STREET INST US GOVT FUND                    | STATE STREET INST US GOVT FUND                                                  | CUSIP: 857492706<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     85000 | PA      | $87196.19     | 0.01%             | 2031-01-24      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    535794 | PA      | $488825.96    | 0.04%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EHZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15943 | PA      | $16556.31     | 0.00%             | 2041-09-01      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| CARDINAL HEALTH INC                               | Cardinal Health Inc                                                             | CUSIP: 14149YBR8<br>LEI: CCU46N3GJMF4OK4N7U60 | Long             | DBT              | CORP              | US        |    565000 | PA      | $575917.87    | 0.05%             | 2029-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Modine Manufacturing Co                           | Modine Manufacturing Co                                                         | CUSIP: 607828100<br>LEI: Z35SZFYJR8GZZRSIUU09 | Long             | EC               | CORP              | US        |     20638 | NS      | $2032843.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302026 | PA      | $268511.47    | 0.02%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Exeter Automobile Receivables Trust               | Exeter Automobile Receivables Trust 2023-3                                      | CUSIP: 301989AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23150 | PA      | $23172.02     | 0.00%             | 2027-09-15      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B75Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1012668 | PA      | $198529.79    | 0.02%             | 2050-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                    | CUSIP: 876030AK3<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    175000 | PA      | $177276.82    | 0.02%             | 2030-03-11      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage Trust               | STAR 2021-1 Trust                                                               | CUSIP: 85573GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242505 | PA      | $226889.62    | 0.02%             | 2065-05-25      | Variable      | 1.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132LQA80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    305245 | PA      | $289372.54    | 0.02%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204832.60    | 0.02%             | 2031-04-23      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Alphabet Inc                                      | Alphabet Inc                                                                    | CUSIP: 02079K305<br>LEI: 5493006MHB84DD0ZWV18 | Long             | EC               | CORP              | US        |    189007 | NS      | $33308703.61  | 2.83%             |  |  |  | No            |                  1 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BJ8<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    117000 | PA      | $74102.34     | 0.01%             | 2049-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                        | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    255000 | PA      | $253067.97    | 0.02%             | 2033-04-28      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WEDN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40627 | PA      | $37721.98     | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B3SL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    475159 | PA      | $424574.13    | 0.04%             | 2058-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Bank5                                             | BANK5 2023-5YR4                                                                 | CUSIP: 06211FBR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    880923 | PA      | $25805.95     | 0.00%             | 2056-12-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-3                                                                     | CUSIP: 74449DAA3<br>LEI: 549300164ZV2301BC703 | Long             | ABS-MBS          | CORP              | US        |    129033 | PA      | $129752.74    | 0.01%             | 2030-05-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM2 Trust                                                            | CUSIP: 36166XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301554 | PA      | $257717.13    | 0.02%             | 2066-05-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| TAPESTRY INC                                      | Tapestry Inc                                                                    | CUSIP: 876030AL1<br>LEI: 549300LJNVY5SW3VTN33 | Long             | DBT              | CORP              | US        |    195000 | PA      | $195754.69    | 0.02%             | 2035-03-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Coherent Corp                                     | Coherent Corp                                                                   | CUSIP: 19247G107<br>LEI: 549300O5C25A0MMHHU33 | Long             | EC               | CORP              | US        |     42667 | NS      | $3806323.07   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7085 | PA      | $7427.04      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK24                                                                 | CUSIP: 06540VBC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2213566 | PA      | $55475.50     | 0.00%             | 2062-11-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMDB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81506 | PA      | $77993.87     | 0.01%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKVB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    773310 | PA      | $650654.91    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229922 | PA      | $204492.07    | 0.02%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31371K3A7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11687 | PA      | $11933.96     | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEJ1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    395000 | PA      | $402213.60    | 0.03%             | 2030-07-22      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO XXIX Ltd                                                        | CUSIP: 83614VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1301756.30   | 0.11%             | 2034-04-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138YR6D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65720 | PA      | $62444.21     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ascendis Pharma A/S                               | Ascendis Pharma A/S                                                             | CUSIP: 04351P101<br>LEI: 549300B66JN3W3J8GH73 | Long             | EC               | CORP              | DK        |      2138 | NS      | $369018.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140H6C80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45582 | PA      | $41823.18     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    591041 | PA      | $523430.27    | 0.04%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    575000 | PA      | $549942.35    | 0.05%             | 2054-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJED1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64600 | PA      | $61696.08     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Boston Scientific Corp                            | Boston Scientific Corp                                                          | CUSIP: 101137107<br>LEI: Y6ZDD9FP4P8JSSJMW954 | Long             | EC               | CORP              | US        |     47881 | NS      | $5142898.21   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AP2P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10800 | PA      | $443.32       | 0.00%             | 2030-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                          | CUSIP: 573874AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    170000 | PA      | $161536.48    | 0.01%             | 2028-04-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 31329QM40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228125 | PA      | $215578.54    | 0.02%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFX71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301208 | PA      | $263017.93    | 0.02%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Elevance Health Inc                               | Elevance Health Inc                                                             | CUSIP: 036752103<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | EC               | CORP              | US        |      3418 | NS      | $1329465.28   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Lennar Corp                                       | Lennar Corp                                                                     | CUSIP: 526057104<br>LEI: 529900G61XVRLX5TJX09 | Long             | EC               | CORP              | US        |      3997 | NS      | $442108.17    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    292648 | PA      | $294330.94    | 0.02%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ARZW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19814 | PA      | $19713.88     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659T2D2<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    330000 | PA      | $332830.96    | 0.03%             | 2035-11-19      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAZ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    315000 | PA      | $326745.73    | 0.03%             | 2031-01-14      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ACY9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    105000 | PA      | $105711.58    | 0.01%             | 2033-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ARFZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4692 | PA      | $43.32        | 0.00%             | 2031-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP Semiconductors NV                             | NXP Semiconductors NV                                                           | CUSIP: 000000000<br>LEI: 724500M9BY5293JDF951 | Long             | EC               | CORP              | NL        |     26911 | NS      | $5879784.39   | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AP2M3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48968 | PA      | $4404.67      | 0.00%             | 2035-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379BCS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69820 | PA      | $66188.47     | 0.01%             | 2039-12-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                             | CUSIP: 715638EB4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    180000 | PA      | $179670.60    | 0.02%             | 2035-02-08      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| TRANS-ALLEGHENY INTERSTA                          | Trans-Allegheny Interstate Line Co                                              | CUSIP: 893045AF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     65000 | PA      | $66132.25     | 0.01%             | 2031-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1886578 | PA      | $1376750.39   | 0.12%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SAN DIEGO G & E                                   | San Diego Gas & Electric Co                                                     | CUSIP: 797440CG7<br>LEI: KNIRVXKVNJJ4P8OTMS63 | Long             | DBT              | CORP              | US        |    230000 | PA      | $234854.62    | 0.02%             | 2035-04-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| PILGRIM'S PRIDE CORP                              | Pilgrim's Pride Corp                                                            | CUSIP: 72147KAJ7<br>LEI: 549300ZSLGV64ZL3HD75 | Long             | DBT              | CORP              | US        |    245000 | PA      | $236210.26    | 0.02%             | 2031-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380TE93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    147614 | PA      | $26367.77     | 0.00%             | 2047-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NIAGARA MOHAWK POWER                              | Niagara Mohawk Power Corp                                                       | CUSIP: 65364UAT3<br>LEI: 3T97Y9RR5EN5Y18QHB56 | Long             | DBT              | CORP              | US        |    140000 | PA      | $139551.01    | 0.01%             | 2034-01-17      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                           | CUSIP: 445545AV8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    200000 | PA      | $201797.56    | 0.02%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H040673<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -175000 | PA      | $-162683.55   | -0.01%            | 2054-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSK PLC                                           | GSK PLC                                                                         | CUSIP: 37733W204<br>LEI: 5493000HZTVUYLO1D793 | Long             | EC               | CORP              | GB        |     39572 | NS      | $1519564.80   | 0.13%             |  |  |  | No            |                  1 | On Loan: —       |
| Santander Drive Auto Receivables Trust            | Santander Drive Auto Receivables Trust 2023-1                                   | CUSIP: 80287GAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95012 | PA      | $95056.83     | 0.01%             | 2028-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                           | CUSIP: 350930AG8<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    225000 | PA      | $233253.24    | 0.02%             | 2033-01-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                 | CUSIP: 98389BBE9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183764.18    | 0.02%             | 2035-04-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GROUP                          | Citizens Financial Group Inc                                                    | CUSIP: 174610BJ3<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |    260000 | PA      | $263482.78    | 0.02%             | 2031-03-05      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DQ0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $94158.40     | 0.01%             | 2031-02-28      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK22                                                                 | CUSIP: 06540XBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4464091 | PA      | $99881.81     | 0.01%             | 2062-11-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51293 | PA      | $50479.74     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJZB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118042 | PA      | $104569.72    | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAR1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $167600.00    | 0.01%             | 2034-02-12      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X0BV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86207 | PA      | $80889.10     | 0.01%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379V5S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    119691 | PA      | $12660.06     | 0.00%             | 2046-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-2                   | CUSIP: 35563PKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    195726 | PA      | $181205.27    | 0.02%             | 2058-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGGS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    203070 | PA      | $169992.94    | 0.01%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIF GAS CO                             | Southern California Gas Co                                                      | CUSIP: 842434DD1<br>LEI: XY0N0J73VHV5F4CUJV89 | Long             | DBT              | CORP              | US        |    435000 | PA      | $443069.45    | 0.04%             | 2055-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Rio Tinto Alcan Inc                               | Rio Tinto Alcan Inc                                                             | CUSIP: 013716AU9<br>LEI: 2138007ZSQ7B17SKOX77 | Long             | DBT              | CORP              | CA        |    250000 | PA      | $271505.85    | 0.02%             | 2033-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A5P34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25117 | PA      | $501.06       | 0.00%             | 2027-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INSIGHT ENTERPRS                                  | Insight Enterprises Inc                                                         | CUSIP: 45765UAC7<br>LEI: 529900S8991TYW6YP792 | Long             | DBT              | CORP              | US        |    884000 | PA      | $910640.22    | 0.08%             | 2032-05-15      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BJQK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39930 | PA      | $2070.52      | 0.00%             | 2030-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJTR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    251662 | PA      | $247981.54    | 0.02%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKC2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    285000 | PA      | $241494.69    | 0.02%             | 2036-09-21      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   1185000 | PA      | $1152569.39   | 0.10%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B2JF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4552 | PA      | $61.10        | 0.00%             | 2028-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380WH28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    289321 | PA      | $56517.84     | 0.00%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK18                                                                 | CUSIP: 065402BD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2823087 | PA      | $79462.84     | 0.01%             | 2062-05-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XBC2<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65705.66     | 0.01%             | 2035-04-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| United Therapeutics Corp                          | United Therapeutics Corp                                                        | CUSIP: 91307C102<br>LEI: 5299005C4HZL4UWROC14 | Long             | EC               | CORP              | US        |      3186 | NS      | $915497.10    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| National Bank Of Canada                           | National Bank Of Canada                                                         | CUSIP: 000000000<br>LEI: BSGEFEIOM18Y80CKCV46 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS1                                 | CUSIP: 94989HBM1<br>LEI: 5493002S7XBI8CVRR075 | Long             | ABS-MBS          | CORP              | US        |     80000 | PA      | $77385.55     | 0.01%             | 2048-05-15      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NUBN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490000 | PA      | $503088.25    | 0.04%             | 2028-12-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H2T20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    687968 | PA      | $119294.98    | 0.01%             | 2049-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B05Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45198 | PA      | $3218.55      | 0.00%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGGR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    368869 | PA      | $310491.21    | 0.03%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                  | Lamar Media Corp                                                                | CUSIP: 513075BT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $296142.38    | 0.03%             | 2030-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: —       |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BG7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    105000 | PA      | $111041.54    | 0.01%             | 2032-11-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105639 | PA      | $14826.19     | 0.00%             | 2047-02-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                | CUSIP: 05526DCC7<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    320000 | PA      | $325622.67    | 0.03%             | 2035-08-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XLEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    313964 | PA      | $323010.06    | 0.03%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65610.87     | 0.01%             | 2036-02-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ABBJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2786 | PA      | $2857.63      | 0.00%             | 2041-03-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15572 | PA      | $15774.85     | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Royal Caribbean Cruises Ltd                       | Royal Caribbean Cruises Ltd                                                     | CUSIP: 000000000<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | EC               | CORP              | LR        |      8720 | NS      | $2730580.80   | 0.23%             |  |  |  | No            |                  1 | On Loan: —       |
| IDEX Corp                                         | IDEX Corp                                                                       | CUSIP: 45167R104<br>LEI: 549300U5Y5EL6PHYLF13 | Long             | EC               | CORP              | US        |     13558 | NS      | $2380378.06   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                          | Builders FirstSource Inc                                                        | CUSIP: 12008RAP2<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    200000 | PA      | $185291.96    | 0.02%             | 2032-02-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| James Hardie Industries PLC                       | James Hardie Industries PLC                                                     | CUSIP: 47030M106<br>LEI: 635400NSGXKTVOO7JU45 | Long             | EC               | CORP              | IE        |     94572 | NS      | $2543041.08   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                   | CUSIP: 46652BAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305000 | PA      | $272978.05    | 0.02%             | 2037-01-16      | Fixed         | 2.81%                 | No            |                  2 | On Loan: No      |
| Microsoft Corp                                    | Microsoft Corp                                                                  | CUSIP: 594918104<br>LEI: INR2EJN1ERAN0W5ZP974 | Long             | EC               | CORP              | US        |    108045 | NS      | $53742663.45  | 4.56%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                            | CUSIP: 74333TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    793832 | PA      | $769723.81    | 0.07%             | 2038-10-17      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                    | 280 Park Avenue 2017-280P Mortgage Trust                                        | CUSIP: 90205FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $442750.00    | 0.04%             | 2034-09-15      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-1 Mortgage Loan Trust                                                 | CUSIP: 19688EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334291 | PA      | $287540.78    | 0.02%             | 2066-06-25      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XQ6E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    346742 | PA      | $353638.78    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       144 | NC      | $49091.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NAZ8<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    220000 | PA      | $207827.02    | 0.02%             | 2029-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: —       |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                | CUSIP: 373334KY6<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    195000 | PA      | $196845.98    | 0.02%             | 2030-03-15      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJAR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    526229 | PA      | $479101.54    | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Align Technology Inc                              | Align Technology Inc                                                            | CUSIP: 016255101<br>LEI: 549300N5YSE0U3LCP840 | Long             | EC               | CORP              | US        |      2939 | NS      | $556440.87    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ARES STRATEGIC INCOME FU                          | Ares Strategic Income Fund                                                      | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    745000 | PA      | $747602.97    | 0.06%             | 2030-09-09      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Targa Resources Corp                              | Targa Resources Corp                                                            | CUSIP: 87612G101<br>LEI: 5493003QENHHS261UR94 | Long             | EC               | CORP              | US        |     21980 | NS      | $3826278.40   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31423YVK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    734231 | PA      | $115937.22    | 0.01%             | 2052-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateralized Notes            | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                         | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47441 | PA      | $46964.27     | 0.00%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT SEP25                                                         | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       120 | NC      | $73021.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Vertiv Holdings Co                                | Vertiv Holdings Co                                                              | CUSIP: 92537N108<br>LEI: 549300KTTIRAOGXCRV69 | Long             | EC               | CORP              | US        |     13874 | NS      | $1781560.34   | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST CORP                                      | Comcast Corp                                                                    | CUSIP: 20030NDW8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    157000 | PA      | $88279.47     | 0.01%             | 2063-11-01      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31398SBC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    210331 | PA      | $24983.09     | 0.00%             | 2040-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-4                   | CUSIP: 35563PHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    676469 | PA      | $603071.34    | 0.05%             | 2058-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hamilton Insurance Group Ltd                      | Hamilton Insurance Group Ltd                                                    | CUSIP: 000000000<br>LEI: 549300W92BN1FIEXG871 | Long             | EC               | CORP              | BM        |     44365 | NS      | $959171.30    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179RXF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29122 | PA      | $28410.41     | 0.00%             | 2046-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Revolution Medicines Inc                          | Revolution Medicines Inc                                                        | CUSIP: 76155X100<br>LEI: 549300JU3X0LBCQ65892 | Long             | EC               | CORP              | US        |      8760 | NS      | $322280.40    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| RIO TINTO FIN USA PLC                             | RIO TINTO FIN USA PLC                                                           | CUSIP: 76720AAT3<br>LEI: 2138006TSNBEUA761G16 | Long             | DBT              | CORP              | GB        |     70000 | PA      | $71222.53     | 0.01%             | 2032-03-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: —       |
| Intel Corp                                        | Intel Corp                                                                      | CUSIP: 458140BG4<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |    555000 | PA      | $391542.04    | 0.03%             | 2047-12-08      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF INDONESIA                             | Indonesia Government International Bond                                         | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        |    800000 | PA      | $787494.88    | 0.07%             | 2033-03-12      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange Inc                     | Intercontinental Exchange Inc                                                   | CUSIP: 45866F104<br>LEI: 5493000F4ZO33MV32P92 | Long             | EC               | CORP              | US        |     37494 | NS      | $6879024.18   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 31325YB31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    648558 | PA      | $103981.28    | 0.01%             | 2052-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJJQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159428 | PA      | $139506.27    | 0.01%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK23                                                                 | CUSIP: 06541RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3590491 | PA      | $91056.29     | 0.01%             | 2052-12-15      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| StandardAero Inc                                  | StandardAero Inc                                                                | CUSIP: 85423L103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     72045 | NS      | $2280224.25   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9T42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11890 | PA      | $11686.97     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQVA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325165 | PA      | $327336.80    | 0.03%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE CIB, NY                           | CREDIT AGRICOLE CIB, NY                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             | 2025-07-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FOUNDRY JV HOLDCO LLC                             | Foundry JV Holdco LLC                                                           | CUSIP: 350930AF0<br>LEI: 21380048QROAMGM6EP30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $205139.24    | 0.02%             | 2031-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                             | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233036 | PA      | $226199.54    | 0.02%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    229065 | PA      | $216774.24    | 0.02%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 29273VBE9<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    335000 | PA      | $341228.83    | 0.03%             | 2035-04-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2011-C3                                          | CUSIP: 61760RAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    265000 | PA      | $243102.97    | 0.02%             | 2049-07-15      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Texas Debt Capital CLO, Ltd                       | Texas Debt Capital CLO 2023-I Ltd                                               | CUSIP: 88238CAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    635000 | PA      | $635000.00    | 0.05%             | 2038-07-20      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                           | Eni SpA                                                                         | CUSIP: 26874RAQ1<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    200000 | PA      | $204561.99    | 0.02%             | 2035-05-19      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380BAQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13387 | PA      | $189.53       | 0.00%             | 2028-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Vita Coco Co Inc/The                              | Vita Coco Co Inc/The                                                            | CUSIP: 92846Q107<br>LEI: 54930020WXOAWHR85Y25 | Long             | EC               | CORP              | US        |      2600 | NS      | $93860.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    300000 | PA      | $257040.99    | 0.02%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BLGV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    316201 | PA      | $263240.04    | 0.02%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XMW51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80570 | PA      | $77546.88     | 0.01%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM1 Trust                                                             | CUSIP: 67114BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    409656 | PA      | $351847.29    | 0.03%             | 2066-02-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GQ1<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61053.84     | 0.01%             | 2054-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BALL CORP                                         | Ball Corp                                                                       | CUSIP: 058498AZ9<br>LEI: 0BGI85ALH27ZJP15DY16 | Long             | DBT              | CORP              | US        |   1550000 | PA      | $1589022.80   | 0.13%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: —       |
| Pretium Mortgage Credit Partners LLC              | PRET 2024-NPL5 LLC                                                              | CUSIP: 74143QAA3<br>LEI: 254900YWXIBNNDQF0Y67 | Long             | ABS-O            | CORP              | US        |    112771 | PA      | $112893.56    | 0.01%             | 2054-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ABXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       708 | PA      | $704.02       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NVIDIA Corp                                       | NVIDIA Corp                                                                     | CUSIP: 67066G104<br>LEI: 549300S4KLFTLO7GSQ80 | Long             | EC               | CORP              | US        |    368942 | NS      | $58289146.58  | 4.95%             |  |  |  | No            |                  1 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FAV8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    179000 | PA      | $129942.26    | 0.01%             | 2052-03-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| LINCOLN FIN GLBL FUNDING                          | Lincoln Financial Global Funding                                                | CUSIP: 53359KAB7<br>LEI: 984500OC010458395923 | Long             | DBT              | CORP              | US        |    145000 | PA      | $145897.63    | 0.01%             | 2028-05-28      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8GE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11109 | PA      | $223.82       | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLD/FOOD/LUX CO                          | JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl                      | CUSIP: 46590XAY2<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |    130000 | PA      | $133629.60    | 0.01%             | 2033-04-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394DEV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137880 | PA      | $143559.92    | 0.01%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Wingstop Inc                                      | Wingstop Inc                                                                    | CUSIP: 974155103<br>LEI: 549300SSH3F8HPIM3Q47 | Long             | EC               | CORP              | US        |      6734 | NS      | $2267607.16   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q8FN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195982 | PA      | $179126.42    | 0.02%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Securitized Term Auto Receivables Trust           | Securitized Term Auto Receivables Trust 2025-B                                  | CUSIP: 81378WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    490000 | PA      | $491133.27    | 0.04%             | 2032-12-29      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125480 | PA      | $109300.79    | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS MORTGAGE TRUST 2017-C1                                                    | CUSIP: 07332VBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4239044 | PA      | $69430.46     | 0.01%             | 2050-02-15      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3131XYTF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     90817 | PA      | $83310.90     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                            | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146658 | PA      | $146631.39    | 0.01%             | 2060-11-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QLHH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321372 | PA      | $269202.82    | 0.02%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X7GK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446927 | PA      | $419268.91    | 0.04%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QQ2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    233030 | PA      | $229646.33    | 0.02%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    308256 | PA      | $285596.56    | 0.02%             | 2047-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ADS1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    115000 | PA      | $117276.20    | 0.01%             | 2032-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61748UAE2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     90000 | PA      | $92132.37     | 0.01%             | 2031-01-15      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FIRST ABU DHABI BANK USA NV                       | FIRST ABU DHABI BANK USA NV                                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             | 2025-07-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63296 | PA      | $61153.23     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Verona Pharma PLC                                 | Verona Pharma PLC                                                               | CUSIP: 925050106<br>LEI: 213800EVI6O6J3TIAL06 | Long             | EC               | CORP              | GB        |      5913 | NS      | $559251.54    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MICRON TECHNOLOGY INC                             | Micron Technology Inc                                                           | CUSIP: 595112CG6<br>LEI: B3DXGBC8GAIYWI2Z0172 | Long             | DBT              | CORP              | US        |    430000 | PA      | $446976.79    | 0.04%             | 2032-11-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9EE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12190 | PA      | $11202.94     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                           | CUSIP: 96337RAB8<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |    205000 | PA      | $208984.46    | 0.02%             | 2031-09-30      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2022-STAR                                                             | CUSIP: 055980AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    575000 | PA      | $575097.75    | 0.05%             | 2039-08-15      | Floating      | 7.54%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AYYN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3757 | PA      | $10.36        | 0.00%             | 2032-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XBA6<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     95000 | PA      | $88181.19     | 0.01%             | 2054-04-18      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418454 | PA      | $359885.89    | 0.03%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     75000 | PA      | $79441.63     | 0.01%             | 2029-11-01      | Fixed         | 6.41%                 | No            |                  2 | On Loan: No      |
| Novo Nordisk A/S                                  | Novo Nordisk A/S                                                                | CUSIP: 670100205<br>LEI: 549300DAQ1CVT6CXN342 | Long             | EC               | CORP              | DK        |     15714 | NS      | $1084580.28   | 0.09%             |  |  |  | No            |                  1 | On Loan: —       |
| BULGARIA                                          | Bulgaria Government International Bond                                          | CUSIP: 000000000<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    225000 | PA      | $157541.73    | 0.01%             | 2050-09-23      | Fixed         | 1.38%                 | Yes           |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175CD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75000 | PA      | $69073.82     | 0.01%             | 2029-01-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| RCO Mortgage LLC                                  | RCO VIII Mortgage LLC 2025-3                                                    | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     93705 | PA      | $94721.58     | 0.01%             | 2030-05-25      | Variable      | 6.43%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AP7<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |    820000 | PA      | $824910.05    | 0.07%             | 2035-03-15      | Fixed         | 5.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F5Z63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28901 | PA      | $27360.69     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     78000 | PA      | $75341.79     | 0.01%             | 2030-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    142661 | PA      | $143023.18    | 0.01%             | 2062-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Fluor Corp                                        | Fluor Corp                                                                      | CUSIP: 343412102<br>LEI: CQ7WZ4NOFWT7FAE6Q943 | Long             | EC               | CORP              | US        |     60260 | NS      | $3089530.20   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| AstraZeneca PLC                                   | AstraZeneca PLC                                                                 | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |     30840 | NS      | $2155099.20   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| LAS VEGAS SANDS CORP                              | Las Vegas Sands Corp                                                            | CUSIP: 517834AM9<br>LEI: 549300DUOO1KXOHPM605 | Long             | DBT              | CORP              | US        |    280000 | PA      | $285609.88    | 0.02%             | 2028-06-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    160000 | PA      | $173844.55    | 0.01%             | 2034-05-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    295000 | PA      | $259208.60    | 0.02%             | 2031-07-23      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XAUM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    870253 | PA      | $733784.54    | 0.06%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SIEMENS FUNDING BV                                | Siemens Funding BV                                                              | CUSIP: 82622RAC0<br>LEI: 213800CCRGH2TO338X64 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $201998.80    | 0.02%             | 2030-05-28      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2385000 | PA      | $2001816.22   | 0.17%             | 2042-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622AAN26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173154 | PA      | $164291.90    | 0.01%             | 2042-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                            | Marvell Technology Inc                                                          | CUSIP: 573874AJ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     85000 | PA      | $77409.37     | 0.01%             | 2031-04-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PFM9<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     85000 | PA      | $82672.82     | 0.01%             | 2064-07-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F022675<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3895000 | PA      | $-3228840.60  | -0.27%            | 2055-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN ELECTRIC POWER                           | American Electric Power Co Inc                                                  | CUSIP: 025537BA8<br>LEI: 1B4S6S7G0TW5EE83BO58 | Long             | DBT              | CORP              | US        |    130000 | PA      | $135542.80    | 0.01%             | 2054-12-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Structure Therapeutics Inc                        | Structure Therapeutics Inc                                                      | CUSIP: 86366E106<br>LEI: N/A                  | Long             | EC               | CORP              | KY        |     18093 | NS      | $375248.82    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2022-1                                                 | CUSIP: 03464BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227598 | PA      | $210966.96    | 0.02%             | 2066-12-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18800 | PA      | $19708.54     | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TUA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79470 | PA      | $73390.25     | 0.01%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    901033 | PA      | $870095.90    | 0.07%             | 2052-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AT8<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    260000 | PA      | $238377.40    | 0.02%             | 2029-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Sempra                                            | Sempra                                                                          | CUSIP: 816851109<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | EC               | CORP              | US        |     56360 | NS      | $4270397.20   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| O'Reilly Automotive Inc                           | O'Reilly Automotive Inc                                                         | CUSIP: 67103H107<br>LEI: 549300K2RLMQL149Q332 | Long             | EC               | CORP              | US        |     28959 | NS      | $2610074.67   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| OPEN TEXT INC                                     | Open Text Holdings Inc                                                          | CUSIP: 683720AC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $119692.48    | 0.01%             | 2031-12-01      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BK7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66555.03     | 0.01%             | 2034-07-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| CVS Health Corp                                   | CVS Health Corp                                                                 | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |     21565 | NS      | $1487553.70   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DR8<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    140000 | PA      | $119758.43    | 0.01%             | 2031-09-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: —       |
| NISOURCE INC                                      | NiSource Inc                                                                    | CUSIP: 65473PAX3<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    175000 | PA      | $176435.48    | 0.01%             | 2035-07-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-NPL6 LLC                                                              | CUSIP: 740936AA7<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-O            | CORP              | US        |   1150000 | PA      | $1150078.32   | 0.10%             | 2055-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132E0N32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    131603 | PA      | $126679.04    | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FVNJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3018582 | PA      | $138891.28    | 0.01%             | 2030-06-25      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                               | CUSIP: 30040WAX6<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    218000 | PA      | $222002.03    | 0.02%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Willowbrook Mall                                  | NJ 2025-WBRK                                                                    | CUSIP: 65486BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    335000 | PA      | $346034.77    | 0.03%             | 2035-03-05      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-H1                                          | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1339799 | PA      | $21393.24     | 0.00%             | 2050-06-15      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    964338 | PA      | $785505.25    | 0.07%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q7QD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263701 | PA      | $242258.48    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AM5<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |    328000 | PA      | $324678.39    | 0.03%             | 2035-02-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BQ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    160000 | PA      | $173505.67    | 0.01%             | 2033-10-06      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Walt Disney Co/The                                | Walt Disney Co/The                                                              | CUSIP: 254687106<br>LEI: 549300GZKULIZ0WOW665 | Long             | EC               | CORP              | US        |     40465 | NS      | $5018064.65   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| DT MIDSTREAM INC                                  | DT Midstream Inc                                                                | CUSIP: 23345MAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    270000 | PA      | $274971.24    | 0.02%             | 2034-12-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B2GA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181900 | PA      | $32879.02     | 0.00%             | 2048-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Linde PLC                                         | Linde PLC                                                                       | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Long             | EC               | CORP              | IE        |     12757 | NS      | $5985329.26   | 0.51%             |  |  |  | No            |                  1 | On Loan: No      |
| ONCOR ELECTRIC DELIVERY                           | Oncor Electric Delivery Co LLC                                                  | CUSIP: 68233JCZ5<br>LEI: 549300SP2X2BS1KERD24 | Long             | DBT              | CORP              | US        |    230000 | PA      | $234301.99    | 0.02%             | 2035-04-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| BINOM Securitization Trust                        | BINOM Securitization Trust 2021-INV1                                            | CUSIP: 05552UAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239208 | PA      | $215987.27    | 0.02%             | 2056-06-25      | Variable      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X4TQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    111935 | PA      | $108783.30    | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    635000 | PA      | $551212.64    | 0.05%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM RADIO LLC                               | Sirius XM Radio LLC                                                             | CUSIP: 82967NBJ6<br>LEI: WP5O65E6BMU84LNO4227 | Long             | DBT              | CORP              | US        |    380000 | PA      | $364960.93    | 0.03%             | 2028-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GARTNER INC                                       | Gartner Inc                                                                     | CUSIP: 366651AC1<br>LEI: PP55B5R38BFB8O8HH686 | Long             | DBT              | CORP              | US        |    386000 | PA      | $381976.07    | 0.03%             | 2028-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31374CSS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    467303 | PA      | $433711.64    | 0.04%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Marsh & McLennan Cos Inc                          | Marsh & McLennan Cos Inc                                                        | CUSIP: 571748102<br>LEI: 549300XMP3KDCKJXIU47 | Long             | EC               | CORP              | US        |     23814 | NS      | $5206692.96   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| Walmart Inc                                       | Walmart Inc                                                                     | CUSIP: 931142103<br>LEI: Y87794H0US1R65VBXU25 | Long             | EC               | CORP              | US        |     69453 | NS      | $6791114.34   | 0.58%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A8CC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95761 | PA      | $5553.39      | 0.00%             | 2042-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X4PM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3357 | PA      | $3279.67      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006010 | PA      | $837901.40    | 0.07%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                           | CUSIP: 04685A4C2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    315000 | PA      | $314299.20    | 0.03%             | 2029-10-08      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AY7<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    115000 | PA      | $83813.55     | 0.01%             | 2041-10-01      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY INDIANA LLC                           | Duke Energy Indiana LLC                                                         | CUSIP: 26443TAC0<br>LEI: 6URPHM2EAWGJ2C6ISB97 | Long             | DBT              | CORP              | US        |    145000 | PA      | $89328.07     | 0.01%             | 2050-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B2DL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244542 | PA      | $36002.36     | 0.00%             | 2048-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128M9VL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13808 | PA      | $14189.34     | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31394VV56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6981 | PA      | $6172.76      | 0.00%             | 2036-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAM5<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    150000 | PA      | $154644.84    | 0.01%             | 2033-06-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EQT CORP                                          | EQT Corp                                                                        | CUSIP: 26884LAW9<br>LEI: 4NT01YGM4X7ZX86ISY52 | Long             | DBT              | CORP              | US        |    275000 | PA      | $271657.22    | 0.02%             | 2029-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31424UPE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    705723 | PA      | $110778.25    | 0.01%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Coca-Cola Co/The                                  | Coca-Cola Co/The                                                                | CUSIP: 191216100<br>LEI: UWJKFUJFZ02DKWI3RY53 | Long             | EC               | CORP              | US        |     67249 | NS      | $4757866.75   | 0.40%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JN7C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19648 | PA      | $19303.97     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617GCKE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16056 | PA      | $15194.77     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| New York Transportation Development Corp          | NEW YORK TRANSPRTN DEV CORP LEASE REVENUE                                       | CUSIP: 650117AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    870000 | PA      | $851688.50    | 0.07%             | 2035-09-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  46372000 | PA      | $47119648.34  | 4.00%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AAKA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14620 | PA      | $1330.57      | 0.00%             | 2042-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ALQU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    434148 | PA      | $16343.71     | 0.00%             | 2034-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140A4Z20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492667 | PA      | $501089.96    | 0.04%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ares Management Corp                              | Ares Management Corp                                                            | CUSIP: 03990B101<br>LEI: 529900JUV61FH7B8VW38 | Long             | EC               | CORP              | US        |     22189 | NS      | $3843134.80   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| GE HEALTHCARE TECH INC                            | GE HealthCare Technologies Inc                                                  | CUSIP: 36266GAC1<br>LEI: 549300OI9J7XOWZMUN85 | Long             | DBT              | CORP              | US        |    220000 | PA      | $225287.74    | 0.02%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2023-BNK45                                                                 | CUSIP: 06541BBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1355262 | PA      | $74971.19     | 0.01%             | 2056-02-15      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| FIRSTCASH INC                                     | FirstCash Inc                                                                   | CUSIP: 33767DAB1<br>LEI: 549300V2X3UU7K0DG350 | Long             | DBT              | CORP              | US        |    758000 | PA      | $744223.20    | 0.06%             | 2028-09-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ELLB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20179 | PA      | $18927.54     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER CO                                  | Alabama Power Co                                                                | CUSIP: 010392FT0<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    245000 | PA      | $173863.31    | 0.01%             | 2049-10-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152418 | PA      | $153200.28    | 0.01%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    648749 | PA      | $482014.52    | 0.04%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1080000 | PA      | $917394.53    | 0.08%             | 2054-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KL2S5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166452 | PA      | $139430.72    | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC                          | OBX 2021-NQM3 Trust                                                             | CUSIP: 67114JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    389350 | PA      | $318554.64    | 0.03%             | 2061-07-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2022-C15                                                   | CUSIP: 05552FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    230000 | PA      | $211074.04    | 0.02%             | 2055-04-15      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417GWY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82428 | PA      | $74515.67     | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CE1<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131374.78    | 0.01%             | 2034-11-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F012676<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -75000 | PA      | $-56365.79    | -0.00%            | 2054-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140NUVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649470 | PA      | $655414.98    | 0.06%             | 2029-04-01      | Fixed         | 4.39%                 | No            |                  2 | On Loan: No      |
| Airbnb Inc                                        | Airbnb Inc                                                                      | CUSIP: 009066101<br>LEI: 549300HMUDNO0RY56D37 | Long             | EC               | CORP              | US        |     48416 | NS      | $6407373.44   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| Exxon Mobil Corp                                  | Exxon Mobil Corp                                                                | CUSIP: 30231G102<br>LEI: J3WHBG0MTS7O8ZVMDC91 | Long             | EC               | CORP              | US        |    112963 | NS      | $12177411.40  | 1.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196423 | PA      | $183722.32    | 0.02%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6QS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51241 | PA      | $47042.29     | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Akero Therapeutics Inc                            | Akero Therapeutics Inc                                                          | CUSIP: 00973Y108<br>LEI: 549300SI3KG74LBE2955 | Long             | EC               | CORP              | US        |      3396 | NS      | $181210.56    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SMITH & NEPHEW PLC                                | Smith & Nephew PLC                                                              | CUSIP: 83192PAA6<br>LEI: 213800ZTMDN8S67S1H61 | Long             | DBT              | CORP              | GB        |    285000 | PA      | $249609.12    | 0.02%             | 2030-10-14      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H6KN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    389176 | PA      | $348730.12    | 0.03%             | 2052-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                     | Deutsche Bank Securities Inc.                                                   | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | Long             | RA               | CORP              | US        |   2078679 | PA      | $2078678.55   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DM8<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    255000 | PA      | $256158.61    | 0.02%             | 2027-11-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XF3N9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209501 | PA      | $180779.78    | 0.02%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103605.41    | 0.01%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    360466 | PA      | $290245.73    | 0.02%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QMDN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1291287 | PA      | $1080576.23   | 0.09%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    260000 | PA      | $268464.98    | 0.02%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| SCF Equipment Trust Llc                           | SCF Equipment Trust 2016-1 LLC                                                  | CUSIP: 78437DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    365000 | PA      | $372328.36    | 0.03%             | 2033-11-21      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GK4<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    285000 | PA      | $287929.06    | 0.02%             | 2033-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-3                                                 | CUSIP: 03465EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    411139 | PA      | $350066.66    | 0.03%             | 2066-05-25      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                    | CUSIP: 225401AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    380000 | PA      | $394847.00    | 0.03%             | 2028-08-11      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FCA7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    270000 | PA      | $269214.32    | 0.02%             | 2028-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    866394 | PA      | $656240.04    | 0.06%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MS GOVT US LEX                                    | MS GOVT US LEX                                                                  | CUSIP: 61747C707<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| WASTE MANAGEMENT INC                              | Waste Management Inc                                                            | CUSIP: 94106LCE7<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    125000 | PA      | $125530.14    | 0.01%             | 2035-03-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/03/19/2045/P:USD 4.16000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   8460000 | OU      | $-227671.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365673 | PA      | $323629.75    | 0.03%             | 2052-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F5SH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75034 | PA      | $68428.26     | 0.01%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-6 LLC                                                                 | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141927 | PA      | $142258.81    | 0.01%             | 2029-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2022-NQM2                                          | CUSIP: 45276PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    991073 | PA      | $947759.42    | 0.08%             | 2067-03-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QD2M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    542520 | PA      | $493058.73    | 0.04%             | 2040-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    748504 | PA      | $595483.34    | 0.05%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XC6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86086 | PA      | $75235.79     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573AX4<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    110000 | PA      | $116834.03    | 0.01%             | 2033-10-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X4QC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16314 | PA      | $15896.82     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Csmc 2022-Nqm1 Trust                                                            | CUSIP: 126416AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1035769 | PA      | $942007.81    | 0.08%             | 2066-11-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 22535WAR8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    590000 | PA      | $601002.00    | 0.05%             | 2031-05-27      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QG4T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    351277 | PA      | $282333.45    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Palantir Technologies Inc                         | Palantir Technologies Inc                                                       | CUSIP: 69608A108<br>LEI: 549300UVN46B3BBDHO85 | Long             | EC               | CORP              | US        |      6924 | NS      | $943879.68    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Arroyo Mortgage Trust                             | Arroyo Mortgage Trust 2019-2                                                    | CUSIP: 042858AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205467 | PA      | $198912.44    | 0.02%             | 2049-04-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Ralliant Corp                                     | Ralliant Corp                                                                   | CUSIP: 750940108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      4645 | NS      | $225236.05    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617G1SM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58572 | PA      | $54740.52     | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 925524AX8<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |    220000 | PA      | $225293.70    | 0.02%             | 2036-04-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS ISSUER TRUST                   | Stream Innovations 2025-1 Issuer Trust                                          | CUSIP: 86324XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    370000 | PA      | $372659.38    | 0.03%             | 2045-09-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140MHUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    218167 | PA      | $190906.94    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBT1<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39109.38     | 0.00%             | 2032-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: —       |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    663250 | PA      | $661146.24    | 0.06%             | 2048-07-25      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Knollwood CDO Ltd                                 | Knollwood CDO Ltd                                                               | CUSIP: 499169AD2<br>LEI: 549300E24U6UCPJEUI87 | Long             | ABS-CBDO         | CORP              | KY        |   1023441 | PA      | $102.34       | 0.00%             | 2039-01-10      | Floating      | 10.70%                | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                | CUSIP: 87264ACB9<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |     45000 | PA      | $40285.21     | 0.00%             | 2031-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Deephaven Residential Mortgage Trust              | Deephaven Residential Mortgage Trust 2021-2                                     | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136844 | PA      | $120875.08    | 0.01%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Summit Issuer, LLC                                | Summit Issuer LLC                                                               | CUSIP: 86613XAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    320000 | PA      | $315482.24    | 0.03%             | 2050-12-20      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1650000 | PA      | $1345781.25   | 0.11%             | 2053-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QHM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1786395 | PA      | $1418787.11   | 0.12%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567592 | PA      | $478806.56    | 0.04%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FJB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76481 | PA      | $70764.77     | 0.01%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WQAV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441273 | PA      | $398913.67    | 0.03%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M9X51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363078 | PA      | $304601.41    | 0.03%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KTYL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    448821 | PA      | $386345.45    | 0.03%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2CX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    123980 | PA      | $128802.99    | 0.01%             | 2040-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BN2<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     30000 | PA      | $31177.94     | 0.00%             | 2053-09-01      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM8                                                                  | CUSIP: 12659FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407775 | PA      | $365791.84    | 0.03%             | 2066-10-25      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| BIOGEN INC                                        | Biogen Inc                                                                      | CUSIP: 09062XAL7<br>LEI: W8J5WZB5IY3K0NDQT671 | Long             | DBT              | CORP              | US        |    225000 | PA      | $231709.12    | 0.02%             | 2035-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X53X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48378 | PA      | $46954.86     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EHJ29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16005 | PA      | $16440.07     | 0.00%             | 2041-06-01      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    365501 | PA      | $325115.84    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QSF22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    501206 | PA      | $503466.36    | 0.04%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29816 | PA      | $28803.49     | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-8                                                 | CUSIP: 03465MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370179 | PA      | $328923.20    | 0.03%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                  | CUSIP: 10373QBV1<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    115000 | PA      | $115273.98    | 0.01%             | 2033-09-11      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KNA94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152800 | PA      | $122493.11    | 0.01%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-1                                      | CUSIP: 64830CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298435 | PA      | $283048.55    | 0.02%             | 2057-09-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379VRH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54396 | PA      | $1701.08      | 0.00%             | 2042-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TJX Cos Inc/The                                   | TJX Cos Inc/The                                                                 | CUSIP: 872540109<br>LEI: V167QI9I69W364E2DY52 | Long             | EC               | CORP              | US        |     33381 | NS      | $4122219.69   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 05571AAU9<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    380000 | PA      | $394485.35    | 0.03%             | 2035-01-18      | Fixed         | 6.51%                 | No            |                  2 | On Loan: —       |
| BPCE SA                                           | BPCE SA                                                                         | CUSIP: 056121AA4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    565000 | PA      | $575307.18    | 0.05%             | 2031-05-28      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419A3M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168035 | PA      | $167566.25    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                    | CUSIP: 02079KAN7<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    375000 | PA      | $367178.30    | 0.03%             | 2065-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCZ6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66676.08     | 0.01%             | 2032-02-03      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52003 | PA      | $50185.25     | 0.00%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DV7A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239207 | PA      | $200869.07    | 0.02%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS3                                            | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300564 | PA      | $299607.45    | 0.03%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BL6<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    260000 | PA      | $272806.67    | 0.02%             | 2033-09-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140LBZA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200057 | PA      | $173039.51    | 0.01%             | 2033-04-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442UAU8<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |     85000 | PA      | $85360.13     | 0.01%             | 2035-03-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GT7A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77759 | PA      | $71657.13     | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Monster Beverage Corp                             | Monster Beverage Corp                                                           | CUSIP: 61174X109<br>LEI: 52990090AP0E7HCB6F33 | Long             | EC               | CORP              | US        |     11308 | NS      | $708333.12    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179UMK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    240419 | PA      | $221980.67    | 0.02%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MONONGAHELA POWER CO                              | Monongahela Power Co                                                            | CUSIP: 609935AA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $36389.07     | 0.00%             | 2034-02-15      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| HOLOGIC INC                                       | Hologic Inc                                                                     | CUSIP: 436440AP6<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    445000 | PA      | $424063.46    | 0.04%             | 2029-02-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402DGM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25562 | PA      | $26533.42     | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                      | CUSIP: 444859CD2<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    270000 | PA      | $271509.99    | 0.02%             | 2035-05-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Berkshire Hathaway Inc                            | Berkshire Hathaway Inc                                                          | CUSIP: 084670702<br>LEI: 5493000C01ZX7D35SD85 | Long             | EC               | CORP              | US        |     28775 | NS      | $13978031.75  | 1.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Hologic Inc                                       | Hologic Inc                                                                     | CUSIP: 436440AM3<br>LEI: 549300DYP6F5ZJL0LB74 | Long             | DBT              | CORP              | US        |    658000 | PA      | $650297.72    | 0.06%             | 2028-02-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    570000 | PA      | $510427.41    | 0.04%             | 2033-02-04      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    538509 | PA      | $429510.81    | 0.04%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                              | CUSIP: 225313AQ8<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    455000 | PA      | $473111.73    | 0.04%             | 2035-01-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                  | CUSIP: 09659W2Z6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    275000 | PA      | $280241.70    | 0.02%             | 2030-11-19      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X8W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    335267 | PA      | $291555.68    | 0.02%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NORTH MACEDONIA                                   | North Macedonia Government International Bond                                   | CUSIP: 000000000<br>LEI: 635400RD1N6RVNCE4958 | Long             | DBT              | NUSS              | MK        |    515000 | PA      | $607049.62    | 0.05%             | 2026-06-03      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                     | CUSIP: 68389XCV5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    115000 | PA      | $104737.38    | 0.01%             | 2064-09-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Sabey Data Center Issuer LLC                      | Sabey Data Center Issuer LLC                                                    | CUSIP: 78520EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    135000 | PA      | $136722.34    | 0.01%             | 2049-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-5                                                 | CUSIP: 03465HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    489030 | PA      | $423258.39    | 0.04%             | 2066-07-25      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCJT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    324288 | PA      | $296292.23    | 0.03%             | 2036-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GC93<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    145000 | PA      | $148649.86    | 0.01%             | 2031-04-23      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AMVN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1254 | PA      | $4.37         | 0.00%             | 2027-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -350000 | PA      | $-309525.75   | -0.03%            | 2054-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468U6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    465000 | PA      | $397828.33    | 0.03%             | 2032-02-13      | Fixed         | 1.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137ARZH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3935 | PA      | $69.89        | 0.00%             | 2027-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    125000 | PA      | $128184.87    | 0.01%             | 2031-01-24      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    174400 | PA      | $178626.50    | 0.02%             | 2041-10-25      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4720004 | PA      | $3664185.64   | 0.31%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Netflix Inc                                       | Netflix Inc                                                                     | CUSIP: 64110L106<br>LEI: 549300Y7VHGU0I7CE873 | Long             | EC               | CORP              | US        |      7259 | NS      | $9720744.67   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                   | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     80000 | PA      | $85975.54     | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40960 | PA      | $34325.71     | 0.00%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419FFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74420 | PA      | $71892.39     | 0.01%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B9 Mortgage Trust                                                | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630000 | PA      | $613241.18    | 0.05%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFD2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61176.01     | 0.01%             | 2029-04-20      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KLTH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    672551 | PA      | $535190.42    | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                            | CUSIP: 78017DAC2<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    315000 | PA      | $321476.93    | 0.03%             | 2031-02-04      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                        | CUSIP: 21036PBS6<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    175000 | PA      | $176443.60    | 0.01%             | 2030-05-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F83S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1628265 | PA      | $69120.51     | 0.01%             | 2030-10-25      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| BALTIMORE GAS & ELECTRIC                          | Baltimore Gas and Electric Co                                                   | CUSIP: 059165ET3<br>LEI: 88V8C2WYSOD1SPSSLH72 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153748.09    | 0.01%             | 2035-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| ENI SPA                                           | Eni SpA                                                                         | CUSIP: 26874RAN8<br>LEI: BUCRF72VH5RBN7X3VL35 | Long             | DBT              | CORP              | IT        |    255000 | PA      | $256874.18    | 0.02%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GC1<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    250000 | PA      | $165678.70    | 0.01%             | 2051-12-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102833 | PA      | $89846.79     | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                            | Intuitive Surgical Inc                                                          | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |      8330 | NS      | $4526605.30   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140GPSA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     82039 | PA      | $77693.94     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SG Commercial Mortgage Securities Trust           | SG Commercial Mortgage Securities Trust 2020-COVE                               | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1230000 | PA      | $1148022.47   | 0.10%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    385000 | PA      | $386151.43    | 0.03%             | 2028-10-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJFD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179810 | PA      | $159775.63    | 0.01%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KP1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    134000 | PA      | $144249.93    | 0.01%             | 2034-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A9GA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21827 | PA      | $634.38       | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B4 Mortgage Trust                                                | CUSIP: 08161HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3700214 | PA      | $39251.50     | 0.00%             | 2051-07-15      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM3 Trust                                                            | CUSIP: 36167HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380194 | PA      | $329605.71    | 0.03%             | 2066-05-25      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE OKLAHOMA                           | Public Service Co of Oklahoma                                                   | CUSIP: 744533BR0<br>LEI: F3TJNSIZRGXRH8GEIK79 | Long             | DBT              | CORP              | US        |    255000 | PA      | $254540.68    | 0.02%             | 2035-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AV3<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87222.96     | 0.01%             | 2031-10-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HZ9<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     34000 | PA      | $32974.73     | 0.00%             | 2034-06-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-1                   | CUSIP: 35563PJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    996728 | PA      | $930964.88    | 0.08%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                          | CUSIP: 853254CN8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    215000 | PA      | $230086.76    | 0.02%             | 2028-11-16      | Fixed         | 7.77%                 | No            |                  2 | On Loan: No      |
| APA CORP                                          | APA Corp                                                                        | CUSIP: 03743QAQ1<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    200000 | PA      | $196146.04    | 0.02%             | 2035-02-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X8NY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5505 | PA      | $5377.57      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK9                                                                  | CUSIP: 06540RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    760280 | PA      | $11790.65     | 0.00%             | 2054-11-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2023-HQA2                                         | CUSIP: 35564K2G3<br>LEI: 5493000KIGZAWUOW4E32 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1041508.70   | 0.09%             | 2043-06-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING 1                           | Pricoa Global Funding I                                                         | CUSIP: 74153WCW7<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    150000 | PA      | $151668.42    | 0.01%             | 2030-05-28      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Mastercard Inc                                    | Mastercard Inc                                                                  | CUSIP: 57636Q104<br>LEI: AR5L2ODV9HN37376R084 | Long             | EC               | CORP              | US        |     22906 | NS      | $12871797.64  | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                            | CUSIP: 92933BAR5<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    160000 | PA      | $145087.23    | 0.01%             | 2031-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GEORGIA POWER CO                                  | Georgia Power Co                                                                | CUSIP: 373334LB5<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162226.50    | 0.01%             | 2035-03-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBJ4<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     34000 | PA      | $34475.17     | 0.00%             | 2030-01-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KLH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     87676 | PA      | $73761.38     | 0.01%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X5NJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52573 | PA      | $51281.36     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SiriusPoint Ltd                                   | SiriusPoint Ltd                                                                 | CUSIP: 000000000<br>LEI: 549300OGXFI85N3YZZ51 | Long             | EC               | CORP              | BM        |     64254 | NS      | $1310139.06   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5203 | PA      | $5437.17      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179U6T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    437718 | PA      | $374063.83    | 0.03%             | 2049-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    180000 | PA      | $183710.32    | 0.02%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378P4B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22264 | PA      | $4215.71      | 0.00%             | 2044-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F8BQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24192 | PA      | $22919.57     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138W9TW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37665 | PA      | $36990.96     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ICON PLC                                          | ICON PLC                                                                        | CUSIP: 000000000<br>LEI: 6354008SRQGEMC4XFI67 | Long             | EC               | CORP              | IE        |      2633 | NS      | $382969.85    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Broadcom Inc                                      | Broadcom Inc                                                                    | CUSIP: 11135F101<br>LEI: 549300WV6GIDOZJTV909 | Long             | EC               | CORP              | US        |     83121 | NS      | $22912303.65  | 1.94%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FRGD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $439843.00    | 0.04%             | 2040-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                   | BAE Systems PLC                                                                 | CUSIP: 05523RAJ6<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $281871.13    | 0.02%             | 2029-03-26      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| OPEN TEXT CORP                                    | Open Text Corp                                                                  | CUSIP: 683715AF3<br>LEI: 549300HP7ONDQODZJV16 | Long             | DBT              | CORP              | CA        |    220000 | PA      | $227767.54    | 0.02%             | 2027-12-01      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GG2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    215000 | PA      | $154409.73    | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    473733 | PA      | $425570.40    | 0.04%             | 2058-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WUUT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20694 | PA      | $20323.57     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    641928 | PA      | $510796.92    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GK3<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |     35000 | PA      | $34939.94     | 0.00%             | 2054-05-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    860000 | PA      | $897439.07    | 0.08%             | 2042-01-25      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136647 | PA      | $123473.72    | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA6                                         | CUSIP: 35564KH44<br>LEI: 5493000IS30HKV5IAS29 | Long             | ABS-MBS          | USGSE             | US        |    425000 | PA      | $447712.00    | 0.04%             | 2042-09-25      | Floating      | 8.01%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                | CNO Global Funding                                                              | CUSIP: 18977W2G4<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    300000 | PA      | $302345.38    | 0.03%             | 2027-12-10      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJZT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198256 | PA      | $158979.75    | 0.01%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INVESCO GOVT AND AGCY LEX                         | INVESCO GOVT AND AGCY LEX                                                       | CUSIP: 825252885<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NQM1 Trust                                                             | CUSIP: 55283FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125608 | PA      | $117534.78    | 0.01%             | 2065-04-25      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N5N91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    884937 | PA      | $872177.53    | 0.07%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY FLORIDA LLC                           | Duke Energy Florida LLC                                                         | CUSIP: 26444HAJ0<br>LEI: 7MOHLM3DKE63RX2ZCN83 | Long             | DBT              | CORP              | US        |    245000 | PA      | $216104.15    | 0.02%             | 2030-06-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2022-CM1 Trust                                                             | CUSIP: 36168XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    792749 | PA      | $739587.92    | 0.06%             | 2066-12-27      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXFR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    492352 | PA      | $408632.83    | 0.03%             | 2057-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2021-R1                                               | CUSIP: 89179TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1111788 | PA      | $968015.77    | 0.08%             | 2060-11-30      | Variable      | 2.92%                 | No            |                  2 | On Loan: No      |
| Tesla Inc                                         | Tesla Inc                                                                       | CUSIP: 88160R101<br>LEI: 54930043XZGB27CTOV49 | Long             | EC               | CORP              | US        |     23939 | NS      | $7604462.74   | 0.65%             |  |  |  | No            |                  1 | On Loan: No      |
| DUKE ENERGY OHIO INC                              | Duke Energy Ohio Inc                                                            | CUSIP: 26442EAL4<br>LEI: L6KC0HABGHNFU1Z6QY21 | Long             | DBT              | CORP              | US        |    135000 | PA      | $131885.54    | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| SHR Trust                                         | SHR Trust 2024-LXRY                                                             | CUSIP: 784234AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1445000 | PA      | $1444096.88   | 0.12%             | 2041-10-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CP80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136333 | PA      | $20640.58     | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-NXS3                                 | CUSIP: 94989VAG4<br>LEI: 549300ZVNWG0TX42H716 | Long             | ABS-MBS          | CORP              | US        |   3707144 | PA      | $77.48        | 0.00%             | 2057-09-15      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Avidity Biosciences Inc                           | Avidity Biosciences Inc                                                         | CUSIP: 05370A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10992 | NS      | $312172.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQFE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69259 | PA      | $69065.99     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168670 | PA      | $149419.98    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CATERPILLAR FINL SERVICE                          | Caterpillar Financial Services Corp                                             | CUSIP: 14913UAU4<br>LEI: EDBQKYOPJUCJKLOJDE72 | Long             | DBT              | CORP              | US        |    395000 | PA      | $402288.76    | 0.03%             | 2029-11-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: —       |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GU1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    110000 | PA      | $96574.53     | 0.01%             | 2030-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| New Economy Assets Phase 1 Issuer LLC             | New Economy Assets - Phase 1 Sponsor LLC                                        | CUSIP: 643821AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465000 | PA      | $437791.87    | 0.04%             | 2061-10-20      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/09/20/2053/P:USD 3.59000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2955000 | OU      | $171454.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2018-2                   | CUSIP: 35563PFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    359555 | PA      | $339443.28    | 0.03%             | 2057-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38383DY69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    574577 | PA      | $511942.14    | 0.04%             | 2049-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WF-RBS Commercial Mortgage Trust                  | WFRBS Commercial Mortgage Trust 2011-C4                                         | CUSIP: 92936CBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105000 | PA      | $87256.05     | 0.01%             | 2044-06-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1385000 | PA      | $890782.22    | 0.08%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR COMPANY                                | Ford Motor Co                                                                   | CUSIP: 345370DB3<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |    250000 | PA      | $249648.89    | 0.02%             | 2032-08-19      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B2 Mortgage Trust                                                | CUSIP: 08161CAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795000 | PA      | $779572.31    | 0.07%             | 2051-02-15      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754LAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    405000 | PA      | $415756.80    | 0.04%             | 2041-12-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Trust 2024-HLTN                                                              | CUSIP: 24022FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99923.88     | 0.01%             | 2040-04-13      | Variable      | 7.29%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley                                    | Morgan Stanley                                                                  | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     50000 | PA      | $49929.70     | 0.00%             | 2030-01-23      | Fixed         | 4.43%                 | No            |                  2 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    395000 | PA      | $391382.14    | 0.03%             | 2045-10-23      | Fixed         | 6.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGQX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    497203 | PA      | $471142.03    | 0.04%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2024-C24                                                   | CUSIP: 07336VAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2027584 | PA      | $199770.10    | 0.02%             | 2057-02-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAX9<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |    400000 | PA      | $344394.72    | 0.03%             | 2031-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| INTERSTATE POWER & LIGHT                          | Interstate Power and Light Co                                                   | CUSIP: 461070AX2<br>LEI: EF9UQIIO4KY2BWOK3P26 | Long             | DBT              | CORP              | US        |    345000 | PA      | $354615.15    | 0.03%             | 2035-06-29      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| Knight-Swift Transportation Holdings Inc          | Knight-Swift Transportation Holdings Inc                                        | CUSIP: 499049104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     80595 | NS      | $3564716.85   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617BVST5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     80542 | PA      | $75204.97     | 0.01%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Labcorp Holdings Inc                              | Labcorp Holdings Inc                                                            | CUSIP: 504922105<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5262 | NS      | $1381327.62   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBE5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     90000 | PA      | $82999.19     | 0.01%             | 2053-05-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| AKER BP ASA                                       | Aker BP ASA                                                                     | CUSIP: 00973RAJ2<br>LEI: 549300NFTY73920OYK69 | Long             | DBT              | CORP              | NO        |    390000 | PA      | $370413.66    | 0.03%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                        | FIXED INC CLEARING CORP.REPO                                                    | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  14169687 | PA      | $14169686.79  | 1.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Camden Property Trust                             | Camden Property Trust                                                           | CUSIP: 133131102<br>LEI: 5493002MYX22OHYJBD89 | Long             | EC               |  | US        |     19507 | NS      | $2198243.83   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                | CUSIP: 22822VAN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    340000 | PA      | $318938.50    | 0.03%             | 2029-11-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2021-NQM2R                                  | CUSIP: 64831EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     94011 | PA      | $89507.44     | 0.01%             | 2058-10-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140Q8KB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168187 | PA      | $153768.70    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AWF91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    113339 | PA      | $98913.90     | 0.01%             | 2042-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                             | Republic Services Inc                                                           | CUSIP: 760759AX8<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |     55000 | PA      | $46909.43     | 0.00%             | 2031-02-15      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179Y7L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    424956 | PA      | $346184.51    | 0.03%             | 2054-07-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6040000 | PA      | $4534482.83   | 0.38%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    435000 | PA      | $397263.72    | 0.03%             | 2033-03-02      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                                 | CUSIP: 06540AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3951747 | PA      | $115554.22    | 0.01%             | 2062-09-15      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| EVERSOURCE ENERGY                                 | Eversource Energy                                                               | CUSIP: 30040WAU2<br>LEI: SJ7XXD41SQU3ZNWUJ746 | Long             | DBT              | CORP              | US        |    400000 | PA      | $400295.15    | 0.03%             | 2033-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| TOTALENERGIES CAPITAL SA                          | TotalEnergies Capital SA                                                        | CUSIP: 89157XAF8<br>LEI: 529900QI55ZLJVCMPA71 | Long             | DBT              | CORP              | FR        |    105000 | PA      | $98232.41     | 0.01%             | 2064-09-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| Colombia Government International Bonds           | Colombia Government International Bonds                                         | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    200000 | PA      | $189810.00    | 0.02%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     45000 | PA      | $46178.94     | 0.00%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| INTL AIRPORT FINANCE SA                           | International Airport Finance SA                                                | CUSIP: 45900TAA0<br>LEI: 959800M9M5LP0KXUP789 | Long             | DBT              | CORP              | ES        |    631828 | PA      | $677097.33    | 0.06%             | 2033-03-15      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                   | CUSIP: 817565CF9<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    785000 | PA      | $721514.15    | 0.06%             | 2030-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378BM71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    619372 | PA      | $9310.33      | 0.00%             | 2053-02-16      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDDV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    116443 | PA      | $100355.15    | 0.01%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fortune Brands Innovations Inc                    | Fortune Brands Innovations Inc                                                  | CUSIP: 34964C106<br>LEI: 54930032LHW54PQUJD44 | Long             | EC               | CORP              | US        |      3652 | NS      | $188004.96    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                               | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1209030 | PA      | $59852.17     | 0.01%             | 2053-07-15      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| PG&E Corp                                         | PG&E Corp                                                                       | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |    263492 | NS      | $3673078.48   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030470<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-286024.87   | -0.02%            | 2039-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KEYSPAN GAS EAST CORP                             | KeySpan Gas East Corp                                                           | CUSIP: 49338CAD5<br>LEI: K8TS3HOE1568DUBUJL44 | Long             | DBT              | CORP              | US        |     50000 | PA      | $51962.35     | 0.00%             | 2033-03-06      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                   | CUSIP: 172967PF2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     95000 | PA      | $96922.19     | 0.01%             | 2030-02-13      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| ING Financial Markets LLC                         | ING Financial Markets LLC                                                       | CUSIP: 000000000<br>LEI: KBVRJ5K57JZ3E2AVWX40 | Long             | RA               | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3745000 | PA      | $3799704.23   | 0.32%             | 2054-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    214818 | PA      | $185139.17    | 0.02%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TFDXX LEX BLACKROCK FED FUND                      | TFDXX LEX BLACKROCK FED FUND                                                    | CUSIP: 09248U700<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK NA                                       | Citibank NA                                                                     | CUSIP: 17325FBP2<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    435000 | PA      | $443351.54    | 0.04%             | 2030-05-29      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                         | Block Inc                                                                       | CUSIP: 852234AP8<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    275000 | PA      | $252248.78    | 0.02%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| Abbott Laboratories                               | Abbott Laboratories                                                             | CUSIP: 002824100<br>LEI: HQD377W2YR662HK5JX27 | Long             | EC               | CORP              | US        |     18436 | NS      | $2507480.36   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PEL2<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $51488.64     | 0.00%             | 2062-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                   | CUSIP: 59261A2P1<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |     55000 | PA      | $49261.13     | 0.00%             | 2049-11-15      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2017-2                                      | CUSIP: 64829KBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    382757 | PA      | $369947.92    | 0.03%             | 2057-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     71530 | PA      | $10764.46     | 0.00%             | 2047-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BUILDERS FIRSTSOURCE INC                          | Builders FirstSource Inc                                                        | CUSIP: 12008RAN7<br>LEI: 549300W0SKP6L3H7DP63 | Long             | DBT              | CORP              | US        |    785000 | PA      | $770573.58    | 0.07%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trust                   | BRAVO Residential Funding Trust 2021-NQM2                                       | CUSIP: 10569EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73279 | PA      | $71037.39     | 0.01%             | 2060-03-25      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    500000 | PA      | $422286.35    | 0.04%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    345000 | PA      | $359217.89    | 0.03%             | 2028-08-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    315111 | PA      | $308417.96    | 0.03%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBC3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    275000 | PA      | $286632.50    | 0.02%             | 2037-05-13      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418BPB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9740 | PA      | $9254.63      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuers LLC                  | Aligned Data Centers Issuer LLC                                                 | CUSIP: 01627AAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    545000 | PA      | $550157.50    | 0.05%             | 2048-08-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MMXN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142139 | PA      | $138200.18    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY                                           | Hungary Government International Bond                                           | CUSIP: 445545AW6<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |    230000 | PA      | $231152.97    | 0.02%             | 2035-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEVIATHAN BOND LTD                                | Leviathan Bond Ltd                                                              | CUSIP: 000000000<br>LEI: 254900D9T8VKYVQNZ220 | Long             | DBT              | CORP              | IL        |    480000 | PA      | $475938.24    | 0.04%             | 2027-06-30      | Fixed         | 6.50%                 | Yes           |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBL8<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |    485000 | PA      | $432153.08    | 0.04%             | 2031-06-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: —       |
| Arista Networks Inc                               | Arista Networks Inc                                                             | CUSIP: 040413205<br>LEI: 635400H1WKBLOQERUU95 | Long             | EC               | CORP              | US        |     42581 | NS      | $4356462.11   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| L3HARRIS TECH INC                                 | L3Harris Technologies Inc                                                       | CUSIP: 502431AV1<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    109000 | PA      | $105704.18    | 0.01%             | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Peru Government International Bonds               | Peru Government International Bonds                                             | CUSIP: 715638EC2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    235000 | PA      | $226394.30    | 0.02%             | 2054-08-08      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    861952 | PA      | $876751.71    | 0.07%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNF73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602647 | PA      | $483990.84    | 0.04%             | 2052-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KELG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197228 | PA      | $157254.53    | 0.01%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-HQA2                                         | CUSIP: 35564KB32<br>LEI: 5493000IRLADKYZNON28 | Long             | ABS-MBS          | USGSE             | US        |    380000 | PA      | $401017.80    | 0.03%             | 2042-07-25      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CU9<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    130000 | PA      | $128200.64    | 0.01%             | 2034-09-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: —       |
| NatWest Markets PLC                               | PURCHASED EUR / SOLD USD                                                        | CUSIP: 000000000<br>LEI: RR3QWICWWIPCS8A4S074 | N/A              | DFE              |  | XX        |         1 | NC      | $2585.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140H23B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47532 | PA      | $43903.30     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DQR65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    633342 | PA      | $528205.29    | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6WG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123911 | PA      | $115026.27    | 0.01%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Retained Vantage Data Centers Issuer, LLC         | Retained Vantage Data Centers Issuer LLC                                        | CUSIP: 76134KAA2<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |    845000 | PA      | $837886.20    | 0.07%             | 2048-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AYCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17062 | PA      | $334.30       | 0.00%             | 2041-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                  | Puget Energy Inc                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |     42000 | PA      | $39526.77     | 0.00%             | 2032-03-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57046 | PA      | $56118.51     | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830086 | PA      | $717256.01    | 0.06%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137B2AV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19895 | PA      | $479.67       | 0.00%             | 2028-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BP CAP MARKETS AMERICA                            | BP Capital Markets America Inc                                                  | CUSIP: 10373QBU3<br>LEI: 5493009NTB34VXE1T760 | Long             | DBT              | CORP              | US        |    120000 | PA      | $119839.57    | 0.01%             | 2033-02-13      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    473750 | PA      | $469907.03    | 0.04%             | 2048-07-25      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PCR5<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    180000 | PA      | $158461.92    | 0.01%             | 2032-11-08      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| Flex Ltd                                          | Flex Ltd                                                                        | CUSIP: 000000000<br>LEI: 549300EAQH74YHD07T53 | Long             | EC               | CORP              | SG        |     71334 | NS      | $3560993.28   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132L6NA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3084 | PA      | $3034.34      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B1 Mortgage Trust                                                | CUSIP: 08162PAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1567873 | PA      | $16965.64     | 0.00%             | 2051-01-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-3                                               | CUSIP: 92538UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145917 | PA      | $139528.28    | 0.01%             | 2067-02-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GU2<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98491.63     | 0.01%             | 2055-03-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    140000 | PA      | $144192.39    | 0.01%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WASTE MANAGEMENT INC                              | Waste Management Inc                                                            | CUSIP: 94106LCA5<br>LEI: 549300YX8JIID70NFS41 | Long             | DBT              | CORP              | US        |    180000 | PA      | $177747.63    | 0.02%             | 2029-01-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: —       |
| Starwood Mortgage Residential Trust               | Starwood Mortgage Residential Trust 2021-6                                      | CUSIP: 85573RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612220 | PA      | $542118.61    | 0.05%             | 2066-11-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BD3<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     60000 | PA      | $59354.71     | 0.01%             | 2033-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6YJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     89518 | PA      | $83181.64     | 0.01%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding AESOP LLC          | Avis Budget Rental Car Funding AESOP LLC                                        | CUSIP: 05377RJL9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |    170000 | PA      | $174084.32    | 0.01%             | 2030-12-20      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                              | CUSIP: 29273VAT7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    235000 | PA      | $253246.41    | 0.02%             | 2030-12-01      | Fixed         | 6.40%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    347204 | PA      | $295228.73    | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| QUALCOMM INC                                      | QUALCOMM Inc                                                                    | CUSIP: 747525BV4<br>LEI: H1J8DDZKZP6H7RWC0H53 | Long             | DBT              | CORP              | US        |    325000 | PA      | $328791.90    | 0.03%             | 2032-05-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QDDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    217263 | PA      | $182598.05    | 0.02%             | 2050-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    224107 | PA      | $221709.29    | 0.02%             | 2060-07-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| IBM CORP                                          | International Business Machines Corp                                            | CUSIP: 459200LG4<br>LEI: VGRQXHF3J8VDLUA7XE92 | Long             | DBT              | CORP              | US        |    375000 | PA      | $380978.04    | 0.03%             | 2030-02-10      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 31395QCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6198 | PA      | $73.37        | 0.00%             | 2027-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWFR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314107 | PA      | $309336.35    | 0.03%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     20000 | PA      | $18420.67     | 0.00%             | 2030-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                    | BOCA Commercial Mortgage Trust 2024-BOCA                                        | CUSIP: 096817AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455000 | PA      | $456421.88    | 0.04%             | 2041-08-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE SEP25                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -2 | NC      | $1382.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                              | CUSIP: 3142G5QB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    768875 | PA      | $118741.27    | 0.01%             | 2052-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                             | CUSIP: 744573BA3<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    230000 | PA      | $233950.77    | 0.02%             | 2030-03-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| TEXAS Commercial Mortgage Trust                   | TEXAS Commercial Mortgage Trust 2025-TWR                                        | CUSIP: 88231WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145000 | PA      | $144637.95    | 0.01%             | 2042-04-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Kymera Therapeutics Inc                           | Kymera Therapeutics Inc                                                         | CUSIP: 501575104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3880 | NS      | $169323.20    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BTKX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    229928 | PA      | $212882.86    | 0.02%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XBV6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    100000 | PA      | $93384.73     | 0.01%             | 2030-04-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: —       |
| ServiceNow Inc                                    | ServiceNow Inc                                                                  | CUSIP: 81762P102<br>LEI: 549300HJTQM36M0E1G39 | Long             | EC               | CORP              | US        |      7886 | NS      | $8107438.88   | 0.69%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446095 | PA      | $373680.37    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WARNERMEDIA HOLDINGS INC                          | Warnermedia Holdings Inc                                                        | CUSIP: 55903VBC6<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |   1390000 | PA      | $1033812.50   | 0.09%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFF7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    115000 | PA      | $118271.85    | 0.01%             | 2029-07-20      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                | CUSIP: 92553PAU6<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     90000 | PA      | $78328.65     | 0.01%             | 2043-09-01      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179SNV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68507 | PA      | $63578.01     | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654496 | PA      | $597100.56    | 0.05%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                       | CUSIP: 3136FGRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108486 | PA      | $95333.20     | 0.01%             | 2039-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE CAPITAL CORP                           | John Deere Capital Corp                                                         | CUSIP: 24422EYD5<br>LEI: E0KSF7PFQ210NWI8Z391 | Long             | DBT              | CORP              | US        |    575000 | PA      | $578400.62    | 0.05%             | 2028-06-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -1455000 | PA      | $-1322643.76  | -0.11%            | 2054-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CN5<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    190000 | PA      | $166283.54    | 0.01%             | 2031-06-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                  | CUSIP: 36269JAE8<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    615000 | PA      | $615899.75    | 0.05%             | 2041-03-10      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138Y3XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105287 | PA      | $98199.84     | 0.01%             | 2044-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132KEUJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50629 | PA      | $49692.09     | 0.00%             | 2029-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOSTON GAS COMPANY                                | Boston Gas Co                                                                   | CUSIP: 100743AM5<br>LEI: FN7P4E7K9JOBORDEUX61 | Long             | DBT              | CORP              | US        |    171000 | PA      | $157797.97    | 0.01%             | 2032-03-16      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QEK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    137920 | PA      | $119952.33    | 0.01%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Middleby Corp/The                                 | Middleby Corp/The                                                               | CUSIP: 596278101<br>LEI: JDFO86U9VQRBKW5KYA35 | Long             | EC               | CORP              | US        |     14877 | NS      | $2142288.00   | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| CF Secured LLC                                    | CF Secured LLC                                                                  | CUSIP: 000000000<br>LEI: 254900OXTV81I73FAT50 | Long             | RA               | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XBB4<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     85000 | PA      | $78670.10     | 0.01%             | 2064-04-18      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NYC Commercial Mortgage Trust                     | NYC Commercial Mortgage Trust 2025-3BP                                          | CUSIP: 67120UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    840000 | PA      | $832650.00    | 0.07%             | 2042-02-15      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BBD1<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    465000 | PA      | $479294.10    | 0.04%             | 2055-05-13      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PFC1<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    270000 | PA      | $252400.65    | 0.02%             | 2054-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FUSU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678075 | PA      | $96598.95     | 0.01%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Zayo Issuer LLC                                   | Zayo Issuer LLC                                                                 | CUSIP: 98919WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    630000 | PA      | $643146.65    | 0.05%             | 2055-03-20      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortgage Trust           | DBJPM 20-C9 Mortgage Trust                                                      | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    919707 | PA      | $39319.04     | 0.00%             | 2053-09-15      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| TACO BELL FUNDING, LLC                            | Taco Bell Funding LLC                                                           | CUSIP: 87342RAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1889348 | PA      | $1718015.99   | 0.15%             | 2051-08-25      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FHLJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78903 | PA      | $72793.97     | 0.01%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STANDARD BUILDING SOLUTI                          | Standard Building Solutions Inc                                                 | CUSIP: 853191AA2<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |     60000 | PA      | $61478.04     | 0.01%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    235000 | PA      | $244097.02    | 0.02%             | 2030-04-18      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2025-1                                        | CUSIP: 36271KAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    620000 | PA      | $624278.12    | 0.05%             | 2029-07-16      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization Equity Trust       | AASET 2020-1 Trust                                                              | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50772 | PA      | $49306.73     | 0.00%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3622A2EW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232514 | PA      | $221809.12    | 0.02%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deere & Co                                        | Deere & Co                                                                      | CUSIP: 244199105<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | EC               | CORP              | US        |      1383 | NS      | $703241.67    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BCVU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    527860 | PA      | $110866.43    | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                               | CUSIP: 26875PAZ4<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    265000 | PA      | $268743.06    | 0.02%             | 2036-01-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| MBANK SA                                          | mBank SA                                                                        | CUSIP: 000000000<br>LEI: 259400DZXF7UJKK2AY35 | Long             | DBT              | CORP              | PL        |    400000 | PA      | $460783.18    | 0.04%             | 2027-09-21      | Fixed         | 0.97%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 31283H3M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28945 | PA      | $29497.17     | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2025-SFR1 Trust                                              | CUSIP: 895974AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    479176 | PA      | $479250.83    | 0.04%             | 2042-03-17      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3H4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    145000 | PA      | $158489.51    | 0.01%             | 2034-10-23      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36241KXQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11947 | PA      | $12092.71     | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                | CUSIP: 95000U3B7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    325000 | PA      | $325063.18    | 0.03%             | 2033-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2024-BNK48                                                                 | CUSIP: 06541GAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3216082 | PA      | $267283.09    | 0.02%             | 2057-10-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINE HOLDCO                          | Columbia Pipelines Holding Co LLC                                               | CUSIP: 19828AAD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    127000 | PA      | $127550.74    | 0.01%             | 2031-10-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     70697 | PA      | $72404.16     | 0.01%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STANDARD INDUSTRI INC/NY                          | Standard Industries Inc/NY                                                      | CUSIP: 853496AH0<br>LEI: 54930064UHXCIUWVI755 | Long             | DBT              | CORP              | US        |    125000 | PA      | $112099.50    | 0.01%             | 2031-01-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: —       |
| Snowflake Inc                                     | Snowflake Inc                                                                   | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Long             | EC               | CORP              | US        |     15422 | NS      | $3450980.94   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Meta Platforms Inc                                | Meta Platforms Inc                                                              | CUSIP: 30303M102<br>LEI: BQ4BKCS1HXDV9HN80Z93 | Long             | EC               | CORP              | US        |     11873 | NS      | $8763342.57   | 0.74%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JGWZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103117 | PA      | $97591.84     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                       | Hertz Vehicle Financing III LLC 2025-2                                          | CUSIP: 42806MCX5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    310000 | PA      | $310899.99    | 0.03%             | 2031-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-3 Mortgage Loan Trust                                                 | CUSIP: 19688FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    613693 | PA      | $511637.38    | 0.04%             | 2066-09-27      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDJ1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     80000 | PA      | $81443.76     | 0.01%             | 2036-01-30      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBH8<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    265000 | PA      | $253439.64    | 0.02%             | 2063-09-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| Nomura Securities International Inc               | Nomura Securities International Inc                                             | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | Long             | RA               | CORP              | US        |   2000000 | PA      | $2000000.00   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT SEP25                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       176 | NC      | $97794.81     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank                                              | BANK 2017-BNK8                                                                  | CUSIP: 06650AAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6645651 | PA      | $90239.97     | 0.01%             | 2050-11-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| OTIS WORLDWIDE CORP                               | Otis Worldwide Corp                                                             | CUSIP: 68902VAK3<br>LEI: 549300ZLBKR8VSU25153 | Long             | DBT              | CORP              | US        |    355000 | PA      | $327472.93    | 0.03%             | 2030-02-15      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD EUR                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |         1 | NC      | $-181893.69   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QCKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39459 | PA      | $34574.12     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47974 | PA      | $49861.56     | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2014-150E                                        | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1009528.14   | 0.09%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| First Solar Inc                                   | First Solar Inc                                                                 | CUSIP: 336433107<br>LEI: 549300NPYMLM4NHTOF27 | Long             | EC               | CORP              | US        |      9327 | NS      | $1543991.58   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BB0<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    205000 | PA      | $205495.75    | 0.02%             | 2045-05-01      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Waste Connections Inc                             | Waste Connections Inc                                                           | CUSIP: 94106B101<br>LEI: 549300HDLRTPBQU69P29 | Long             | EC               | CORP              | CA        |      6034 | NS      | $1126668.48   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJNJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376577 | PA      | $316489.74    | 0.03%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Molina Healthcare Inc                             | Molina Healthcare Inc                                                           | CUSIP: 60855R100<br>LEI: 549300NQQCEQ46YHZ591 | Long             | EC               | CORP              | US        |      1899 | NS      | $565712.10    | 0.05%             |  |  |  | No            |                  1 | On Loan: —       |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                 | CUSIP: 98388MAD9<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    185000 | PA      | $180906.54    | 0.02%             | 2032-06-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| WHISTLER PIPELINE LLC                             | Whistler Pipeline LLC                                                           | CUSIP: 96337RAC6<br>LEI: 549300NG57SGLTNW5C85 | Long             | DBT              | CORP              | US        |     75000 | PA      | $75965.01     | 0.01%             | 2034-09-30      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EN5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    275000 | PA      | $280932.19    | 0.02%             | 2030-11-19      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                         | Block Inc                                                                       | CUSIP: 852234AS2<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |    861000 | PA      | $888313.50    | 0.08%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RTX Corp                                          | RTX Corp                                                                        | CUSIP: 75513E101<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | EC               | CORP              | US        |     14125 | NS      | $2062532.50   | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142GSP69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1036611 | PA      | $1054383.04   | 0.09%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A6U85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       127 | PA      | $1.05         | 0.00%             | 2027-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Edwards Lifesciences Corp                         | Edwards Lifesciences Corp                                                       | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |     32127 | NS      | $2512652.67   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Philadelphia Authority for Industrial Development | PHILADELPHIA PA AUTH FOR INDL DEV PENSION FUNDING                               | CUSIP: 71781LBH1<br>LEI: 549300DIY68KQZEW7M79 | Long             | DBT              | MUN               | US        |   1235000 | PA      | $1311924.94   | 0.11%             | 2028-10-15      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QFFX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242661 | PA      | $210985.99    | 0.02%             | 2050-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KKR + CO INC  A                                   | KKR + CO INC  A                                                                 | CUSIP: 48251W104<br>LEI: 54930013V5I303TF9571 | Long             | EC               | CORP              | US        |     76625 | NS      | $10193423.75  | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     38945 | PA      | $34541.07     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2843 | PA      | $2836.01      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCPV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    629042 | PA      | $594158.27    | 0.05%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B6WW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1781260 | PA      | $66605.40     | 0.01%             | 2029-05-25      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    380000 | PA      | $430325.46    | 0.04%             | 2033-03-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2013-GC13                                          | CUSIP: 36198EAG0<br>LEI: 549300WF5YRKNHB1FX69 | Long             | ABS-MBS          | CORP              | US        |    370089 | PA      | $3.70         | 0.00%             | 2046-07-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QLD29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371920 | PA      | $298245.35    | 0.03%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                     | Boeing Co/The                                                                   | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |     13289 | NS      | $2784444.17   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X4PR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23798 | PA      | $23205.19     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HIH Trust                                         | HIH Trust 2024-61P                                                              | CUSIP: 40444VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192124 | PA      | $192124.49    | 0.02%             | 2041-10-15      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHB89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263540 | PA      | $220271.67    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AG7H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    469850 | PA      | $373818.90    | 0.03%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MNTN Inc                                          | MNTN Inc                                                                        | CUSIP: 55318A108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2900 | NS      | $63423.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24518 | PA      | $23745.55     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379QGG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2544 | PA      | $12.93        | 0.00%             | 2027-02-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X9AZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    283551 | PA      | $238551.24    | 0.02%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M2FC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208963 | PA      | $173453.96    | 0.01%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1608954 | PA      | $1426454.58   | 0.12%             | 2051-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM4 Trust                                                             | CUSIP: 67115DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    239038 | PA      | $202652.04    | 0.02%             | 2061-10-25      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WXEX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17501 | PA      | $16419.01     | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2022-SFR1 Trust                                                  | CUSIP: 33768NAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    284300 | PA      | $282425.04    | 0.02%             | 2039-05-19      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| Cencora Inc                                       | Cencora Inc                                                                     | CUSIP: 03073E105<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | EC               | CORP              | US        |      7888 | NS      | $2365216.80   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR4 Trust                                            | CUSIP: 74332XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    753344 | PA      | $751556.86    | 0.06%             | 2041-05-17      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132WJEU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     41481 | PA      | $37124.91     | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR7 Trust                                            | CUSIP: 74333CAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    343936 | PA      | $345416.88    | 0.03%             | 2039-10-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CEN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     99805 | PA      | $8707.00      | 0.00%             | 2039-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A9CW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77701 | PA      | $75029.82     | 0.01%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2017-FHA1 Trust                                                            | CUSIP: 12651RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    221386 | PA      | $201998.52    | 0.02%             | 2047-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2025-C32                                                   | CUSIP: 07337AAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788989 | PA      | $152795.55    | 0.01%             | 2062-02-15      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| TAYLOR MORRISON COMM                              | Taylor Morrison Communities Inc                                                 | CUSIP: 87724RAJ1<br>LEI: 549300O1Z08HI2MRK572 | Long             | DBT              | CORP              | US        |    368000 | PA      | $366706.66    | 0.03%             | 2030-08-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: —       |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2540000 | PA      | $1833463.29   | 0.16%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners CLO XXXI Ltd                                            | CUSIP: 08183DAS2<br>LEI: 254900SVG14IYL7QTZ56 | Long             | ABS-CBDO         | CORP              | JE        |    575000 | PA      | $576678.43    | 0.05%             | 2038-04-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DG2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     65000 | PA      | $61777.59     | 0.01%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ANV61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103971 | PA      | $5078.60      | 0.00%             | 2055-06-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQGQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    298018 | PA      | $304811.63    | 0.03%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                 | Ares Capital Corp                                                               | CUSIP: 04010LBH5<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |    305000 | PA      | $303723.74    | 0.03%             | 2032-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB60<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    365000 | PA      | $366096.30    | 0.03%             | 2030-10-23      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F070674<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    850000 | PA      | $894796.66    | 0.08%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140N6ZT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18433 | PA      | $18138.92     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                    | CUSIP: 251526DA4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    570000 | PA      | $578903.70    | 0.05%             | 2031-05-09      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                     | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205000 | PA      | $194907.01    | 0.02%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419A2H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1084 | PA      | $1105.20      | 0.00%             | 2040-12-01      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140A4WZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25674 | PA      | $26141.95     | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138ELE90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43970 | PA      | $39758.27     | 0.00%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASHTEAD CAPITAL INC                               | Ashtead Capital Inc                                                             | CUSIP: 045054AP8<br>LEI: 213800J1134IW58IC398 | Long             | DBT              | CORP              | US        |    400000 | PA      | $345159.83    | 0.03%             | 2031-08-12      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137F2LL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2261112 | PA      | $25459.22     | 0.00%             | 2027-06-25      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP                                  | Duke Energy Corp                                                                | CUSIP: 26441CBM6<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |     90000 | PA      | $67517.76     | 0.01%             | 2041-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925978 | PA      | $736821.07    | 0.06%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    240657 | PA      | $222443.56    | 0.02%             | 2060-07-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| CLEAN HARBORS INC                                 | Clean Harbors Inc                                                               | CUSIP: 184496AQ0<br>LEI: 5493000SJVZVZJKHJF48 | Long             | DBT              | CORP              | US        |    215000 | PA      | $220272.45    | 0.02%             | 2031-02-01      | Fixed         | 6.38%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418D6D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100673 | PA      | $87581.17     | 0.01%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                    | CUSIP: 428102AE7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105000 | PA      | $100954.64    | 0.01%             | 2030-02-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AU5<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $90158.89     | 0.01%             | 2030-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Georgia Power Co                                  | Georgia Power Co                                                                | CUSIP: 373334JW2<br>LEI: D981X4Z4RWS7PDMJUZ03 | Long             | DBT              | CORP              | US        |     70000 | PA      | $60414.81     | 0.01%             | 2042-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: —       |
| MKS Inc                                           | MKS Inc                                                                         | CUSIP: 55306N104<br>LEI: 549300KEQATBHAGVF505 | Long             | EC               | CORP              | US        |     22792 | NS      | $2264613.12   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    487484 | PA      | $489709.49    | 0.04%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Starbucks Corp                                    | Starbucks Corp                                                                  | CUSIP: 855244109<br>LEI: OQSJ1DU9TAOC51A47K68 | Long             | EC               | CORP              | US        |     27618 | NS      | $2530637.34   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Societe Generale                                  | Societe Generale                                                                | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | RA               | CORP              | US        |   4000000 | PA      | $4000000.00   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                            | Cox Communications Inc                                                          | CUSIP: 224044CV7<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |    140000 | PA      | $129972.59    | 0.01%             | 2054-09-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    213251 | PA      | $220823.60    | 0.02%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PEG7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    245000 | PA      | $254397.43    | 0.02%             | 2030-04-22      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| COTERRA ENERGY INC                                | Coterra Energy Inc                                                              | CUSIP: 127097AL7<br>LEI: FCNMH6O7VWU7LHXMK351 | Long             | DBT              | CORP              | US        |     72000 | PA      | $72611.27     | 0.01%             | 2034-03-15      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| LAMAR MEDIA CORP                                  | Lamar Media Corp                                                                | CUSIP: 513075BZ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    665000 | PA      | $614486.20    | 0.05%             | 2031-01-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                           | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3647222 | PA      | $3061358.72   | 0.26%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557282 | PA      | $465114.62    | 0.04%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Affirm Master Trust                               | Affirm Master Trust                                                             | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    590000 | PA      | $591962.52    | 0.05%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7245000 | PA      | $6904258.59   | 0.59%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280EW5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    600000 | PA      | $610912.38    | 0.05%             | 2031-05-13      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DSJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    391195 | PA      | $327814.01    | 0.03%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PDX1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     95000 | PA      | $99850.39     | 0.01%             | 2029-10-23      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| Ultragenyx Pharmaceutical Inc                     | Ultragenyx Pharmaceutical Inc                                                   | CUSIP: 90400D108<br>LEI: 529900EV44GVDN1DCX77 | Long             | EC               | CORP              | US        |      4006 | NS      | $145658.16    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X54P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29288 | PA      | $28350.41     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC5                                           | CUSIP: 36191YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88707 | PA      | $56.75        | 0.00%             | 2044-08-10      | Variable      | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS MIDSTREAM OPERATION                          | Hess Midstream Operations LP                                                    | CUSIP: 428102AG2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    290000 | PA      | $298238.61    | 0.03%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BK5<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     95000 | PA      | $53115.82     | 0.00%             | 2060-02-15      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Limited               | SAPPHIRE AVIATION FINANCE II LTD                                                | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    127220 | PA      | $121502.62    | 0.01%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| FS Trust                                          | FS Trust 2024-HULA                                                              | CUSIP: 30338DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $100000.00    | 0.01%             | 2039-08-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140J9R86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604979 | PA      | $559102.03    | 0.05%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENERGEAN ISRAEL FINANCE                           | Energean Israel Finance Ltd                                                     | CUSIP: 000000000<br>LEI: 98450044QACBL3F8EB03 | Long             | DBT              | CORP              | IL        |    295000 | PA      | $302209.35    | 0.03%             | 2033-09-30      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DJ6<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     80000 | PA      | $76743.81     | 0.01%             | 2030-04-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KH4B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200644 | PA      | $168758.30    | 0.01%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3128MJYY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    364384 | PA      | $323782.88    | 0.03%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133GDKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100482 | PA      | $92439.13     | 0.01%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138X55B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34644 | PA      | $33581.95     | 0.00%             | 2043-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020471<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-274066.73   | -0.02%            | 2039-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1510000 | PA      | $1438746.88   | 0.12%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                            | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    440000 | PA      | $448394.54    | 0.04%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35000 | PA      | $36724.90     | 0.00%             | 2033-11-15      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                             | CUSIP: 025816DY2<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    350000 | PA      | $358214.73    | 0.03%             | 2031-01-30      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PDT6<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     60000 | PA      | $48420.60     | 0.00%             | 2039-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31397CNW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6343 | PA      | $5298.47      | 0.00%             | 2036-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA4                                         | CUSIP: 35564KWT2<br>LEI: 5493000IS4CDPWRMWB65 | Long             | ABS-MBS          | USGSE             | US        |    495000 | PA      | $514366.88    | 0.04%             | 2042-05-25      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJLG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    104163 | PA      | $87596.29     | 0.01%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Acadia Healthcare Co Inc                          | Acadia Healthcare Co Inc                                                        | CUSIP: 00404A109<br>LEI: 5493005CW985Y9D0NC11 | Long             | EC               | CORP              | US        |     20449 | NS      | $463987.81    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -950000 | PA      | $-909205.08   | -0.08%            | 2054-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    660000 | PA      | $668774.17    | 0.06%             | 2032-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140HGL88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    242167 | PA      | $211603.94    | 0.02%             | 2040-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCEW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    169188 | PA      | $142888.47    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2333936 | PA      | $133599.15    | 0.01%             | 2030-05-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| AMERIPRISE FINANCIAL INC                          | Ameriprise Financial Inc                                                        | CUSIP: 03076CAP1<br>LEI: 6ZLKQF7QB6JAEKQS5388 | Long             | DBT              | CORP              | US        |    245000 | PA      | $246802.47    | 0.02%             | 2035-04-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJGF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    245562 | PA      | $207067.76    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F030678<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1879000 | PA      | $-1625599.07  | -0.14%            | 2054-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    365672 | PA      | $323841.65    | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 36241LUN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154467 | PA      | $151371.39    | 0.01%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    265452 | PA      | $211391.35    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KQWL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153301 | PA      | $157530.89    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    125000 | PA      | $125238.44    | 0.01%             | 2030-10-18      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179V4X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64191 | PA      | $58783.11     | 0.00%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DNDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196995 | PA      | $164097.25    | 0.01%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B6XE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3631127 | PA      | $210480.82    | 0.02%             | 2034-06-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    615755 | PA      | $580415.40    | 0.05%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WVQ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25565 | PA      | $23094.79     | 0.00%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -190 | NC      | $-273082.28   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2024-4 LLC                                                                 | CUSIP: 74390EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    872601 | PA      | $874790.87    | 0.07%             | 2029-08-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHDR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156406 | PA      | $137353.78    | 0.01%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3142GSB49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1060386 | PA      | $1079779.94   | 0.09%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHC62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27762 | PA      | $26514.55     | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PER3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     65000 | PA      | $64319.12     | 0.01%             | 2035-10-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBN5<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |    140000 | PA      | $133178.71    | 0.01%             | 2065-01-15      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Ingersoll Rand Inc                                | Ingersoll Rand Inc                                                              | CUSIP: 45687V106<br>LEI: 5299004C02FMZCUOIR50 | Long             | EC               | CORP              | US        |     13634 | NS      | $1134076.12   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| SAP SE                                            | SAP SE                                                                          | CUSIP: 803054204<br>LEI: 529900D6BF99LW9R2E68 | Long             | EC               | CORP              | DE        |     16969 | NS      | $5160272.90   | 0.44%             |  |  |  | No            |                  1 | On Loan: —       |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     95000 | PA      | $80155.55     | 0.01%             | 2032-02-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: —       |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676BC8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |     85000 | PA      | $84792.50     | 0.01%             | 2055-05-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     95000 | PA      | $98890.65     | 0.01%             | 2030-04-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XFPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    792367 | PA      | $671420.75    | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                      | AutoZone Inc                                                                    | CUSIP: 053332BB7<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |     40000 | PA      | $39771.22     | 0.00%             | 2032-08-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA3                                         | CUSIP: 35564KUX5<br>LEI: 5493000IS4M3TZMRB410 | Long             | ABS-MBS          | USGSE             | US        |    969000 | PA      | $998070.00    | 0.08%             | 2042-04-25      | Floating      | 7.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378H3E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    263885 | PA      | $33224.23     | 0.00%             | 2042-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                             | Pinnacle West Capital Corp                                                      | CUSIP: 723484AM3<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    277000 | PA      | $280877.73    | 0.02%             | 2028-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     65000 | PA      | $66176.47     | 0.01%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Securities Trust        | JPMBB Commercial Mortgage Securities Trust 2014-C23                             | CUSIP: 46643ABG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    412858 | PA      | $3.76         | 0.00%             | 2047-09-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| RR Ltd                                            | RR 23 Ltd                                                                       | CUSIP: 75000GBK1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   1110000 | PA      | $1110000.00   | 0.09%             | 2037-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                        | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    155000 | PA      | $156259.97    | 0.01%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| BOEING CO                                         | Boeing Co/The                                                                   | CUSIP: 097023CQ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     30000 | PA      | $21185.85     | 0.00%             | 2050-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: —       |
| JERSEY CENTRAL PWR & LT                           | Jersey Central Power & Light Co                                                 | CUSIP: 476556DF9<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74778.28     | 0.01%             | 2035-01-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| VB-S1 Issuer LLC                                  | VB-S1 Issuer LLC - VBTEL                                                        | CUSIP: 91823ABC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    550000 | PA      | $557082.41    | 0.05%             | 2054-05-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| GLS Auto Select Receivables Trust                 | GLS Auto Select Receivables Trust 2025-3                                        | CUSIP: 36272GAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    981000 | PA      | $980739.54    | 0.08%             | 2031-09-15      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XCH43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1797928 | PA      | $1354588.73   | 0.11%             | 2051-09-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2025-RPL3 Trust                                                            | CUSIP: 69382RAA1<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    660000 | PA      | $633732.59    | 0.05%             | 2065-04-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| HCA Healthcare Inc                                | HCA Healthcare Inc                                                              | CUSIP: 40412C101<br>LEI: 529900PH4ZGUH2MNEU89 | Long             | EC               | CORP              | US        |      4117 | NS      | $1577222.70   | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| GLS Auto Receivables Trust                        | GLS Auto Receivables Issuer Trust 2024-4                                        | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380000 | PA      | $381411.74    | 0.03%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XKAX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474348 | PA      | $397675.64    | 0.03%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| L3HARRIS TECH INC                                 | L3Harris Technologies Inc                                                       | CUSIP: 502431AS8<br>LEI: 549300UTE50ZMDBG8A20 | Long             | DBT              | CORP              | US        |    170000 | PA      | $173904.46    | 0.01%             | 2029-06-01      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                           | CUSIP: 085209AJ3<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    405000 | PA      | $399127.50    | 0.03%             | 2032-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179TEZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55512 | PA      | $51294.08     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 3617GGRL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     64826 | PA      | $60625.39     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2019-3                   | CUSIP: 35563PLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    544493 | PA      | $487373.11    | 0.04%             | 2058-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PHILIPPINES                           | Philippine Government International Bond                                        | CUSIP: 000000000<br>LEI: 529900RAHBALMYIJ3T08 | Long             | DBT              | NUSS              | PH        |    300000 | PA      | $251361.12    | 0.02%             | 2041-04-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Post Road Equipment Finance                       | Post Road Equipment Finance 2025-1 LLC                                          | CUSIP: 73747LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    165000 | PA      | $165910.24    | 0.01%             | 2031-05-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8390000 | PA      | $7799094.90   | 0.66%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2025-RPL2 LLC                                                              | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    947178 | PA      | $914938.37    | 0.08%             | 2055-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAC5<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10539.04     | 0.00%             | 2033-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Northrop Grumman Corp                             | Northrop Grumman Corp                                                           | CUSIP: 666807102<br>LEI: RIMU48P07456QXSO0R61 | Long             | EC               | CORP              | US        |      5385 | NS      | $2692392.30   | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Haleon PLC                                        | Haleon PLC                                                                      | CUSIP: 405552100<br>LEI: 549300PSB3WWEODCUP19 | Long             | EC               | CORP              | GB        |    338826 | NS      | $3513625.62   | 0.30%             |  |  |  | No            |                  1 | On Loan: —       |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42469 | PA      | $39915.79     | 0.00%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Paragon Offshore Finance Company                  | Paragon Offshore Finance Company Term Loan B                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | KY        |       587 | PA      | $0.00         | 0.00%             | 2022-07-18      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM2                                                                  | CUSIP: 12662EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    422605 | PA      | $378538.60    | 0.03%             | 2066-02-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-OAT FUTURE SEP25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -59 | NC      | $65394.96     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136BVC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416228 | PA      | $414464.84    | 0.04%             | 2051-12-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FUZE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1467479 | PA      | $91756.32     | 0.01%             | 2030-05-25      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PET5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |     65000 | PA      | $65956.84     | 0.01%             | 2063-02-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partners LLC              | PRET 2024-NPL7 LLC                                                              | CUSIP: 74136TAA6<br>LEI: 254900640HC5OZKI7J87 | Long             | ABS-MBS          | CORP              | US        |    154333 | PA      | $153929.93    | 0.01%             | 2054-10-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| ALCON FINANCE CORP                                | Alcon Finance Corp                                                              | CUSIP: 01400EAD5<br>LEI: 549300CUZUI9VU7XNK42 | Long             | DBT              | CORP              | US        |    275000 | PA      | $251403.80    | 0.02%             | 2030-05-27      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                               | CUSIP: 24703TAN6<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    265000 | PA      | $270858.25    | 0.02%             | 2032-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| REPUBLIC SERVICES INC                             | Republic Services Inc                                                           | CUSIP: 760759BB5<br>LEI: NKNQHM6BLECKVOQP7O46 | Long             | DBT              | CORP              | US        |    130000 | PA      | $132765.94    | 0.01%             | 2029-04-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5118 | PA      | $5199.52      | 0.00%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOLL BROS FINANCE CORP                            | Toll Brothers Finance Corp                                                      | CUSIP: 88947EAR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    130000 | PA      | $129945.87    | 0.01%             | 2025-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38383F2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319171 | PA      | $295261.16    | 0.03%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fortive Corp                                      | Fortive Corp                                                                    | CUSIP: 34959J108<br>LEI: 549300MU9YQJYHDQEF63 | Long             | EC               | CORP              | US        |     13935 | NS      | $726431.55    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Church & Dwight Co Inc                            | Church & Dwight Co Inc                                                          | CUSIP: 171340102<br>LEI: POOXSI30AWAQGYJZC921 | Long             | EC               | CORP              | US        |      3820 | NS      | $367140.20    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    115000 | PA      | $115970.82    | 0.01%             | 2030-09-15      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NCK9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    110000 | PA      | $111827.68    | 0.01%             | 2035-06-20      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                            | CUSIP: 92933BAQ7<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    855000 | PA      | $799142.85    | 0.07%             | 2030-07-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Synopsys Inc                                      | Synopsys Inc                                                                    | CUSIP: 871607107<br>LEI: QG7T915N9S0NY5UKNE63 | Long             | EC               | CORP              | US        |     11274 | NS      | $5779954.32   | 0.49%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38376VPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    178799 | PA      | $35832.17     | 0.00%             | 2040-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| XCEL ENERGY INC                                   | Xcel Energy Inc                                                                 | CUSIP: 98389BBD1<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | DBT              | CORP              | US        |    245000 | PA      | $247378.50    | 0.02%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWMS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95201 | PA      | $95218.83     | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                   | CUSIP: 842400GT4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     50000 | PA      | $33047.17     | 0.00%             | 2050-02-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A9BW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28404 | PA      | $3003.46      | 0.00%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-2                                                 | CUSIP: 03465DAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210303 | PA      | $179882.44    | 0.02%             | 2066-04-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Apple Inc                                         | Apple Inc                                                                       | CUSIP: 037833100<br>LEI: HWUPKR0MPOU8FGXBT394 | Long             | EC               | CORP              | US        |    181847 | NS      | $37309548.99  | 3.17%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 77586RAV2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     80000 | PA      | $73891.12     | 0.01%             | 2035-03-24      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379GUD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158622 | PA      | $8125.90      | 0.00%             | 2029-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hess Corp                                         | Hess Corp                                                                       | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    100000 | PA      | $113415.37    | 0.01%             | 2031-08-15      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| DREYFUS TREASURY & AGENCY LEX                     | DREYFUS TREASURY & AGENCY LEX                                                   | CUSIP: 261908107<br>LEI: N/A                  | Long             | STIV             | RF                | US        |   1000000 | NS      | $1000000.00   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Golub Capital Partners CLO, LTD                   | Golub Capital Partners CLO 68B Ltd                                              | CUSIP: 38179QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    460000 | PA      | $461124.70    | 0.04%             | 2036-07-25      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| DC Commercial Mortgage Trust                      | DC Trust 2024-HLTN                                                              | CUSIP: 24022FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $202142.66    | 0.02%             | 2040-04-13      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14590000 | PA      | $14637873.44  | 1.24%             | 2034-11-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Cytokinetics Inc                                  | Cytokinetics Inc                                                                | CUSIP: 23282W605<br>LEI: 549300BE5DY1HW7IHA64 | Long             | EC               | CORP              | US        |     27387 | NS      | $904866.48    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138A5V66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6758 | PA      | $6908.88      | 0.00%             | 2041-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                      | Danaher Corp                                                                    | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |     18744 | NS      | $3702689.76   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| COLUMBIA PIPELINES OPCO                           | Columbia Pipelines Operating Co LLC                                             | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     60000 | PA      | $63337.80     | 0.01%             | 2030-08-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| BROOKLYN UNION GAS CO                             | Brooklyn Union Gas Co/The                                                       | CUSIP: 114259AT1<br>LEI: 83BQ1DXS6VA5GZFK8S35 | Long             | DBT              | CORP              | US        |    125000 | PA      | $121611.36    | 0.01%             | 2029-03-04      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EKQQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277804 | PA      | $251311.42    | 0.02%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BAT CAPITAL CORP                                  | BAT Capital Corp                                                                | CUSIP: 05526DBY0<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |    115000 | PA      | $121014.42    | 0.01%             | 2031-02-20      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| CENCORA INC                                       | Cencora Inc                                                                     | CUSIP: 03073EAW5<br>LEI: AI8GXW8LG5WK7E9UD086 | Long             | DBT              | CORP              | US        |    345000 | PA      | $350458.42    | 0.03%             | 2029-12-15      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AR4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    139300 | PA      | $6831.75      | 0.00%             | 2046-05-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1163880 | PA      | $1164099.08   | 0.10%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES PARTNERS                          | Targa Resources Partners LP / Targa Resources Partners Finance Corp             | CUSIP: 87612BBU5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    310000 | PA      | $288916.38    | 0.02%             | 2032-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2239052 | PA      | $1824023.78   | 0.15%             | 2052-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVERNMENT                             | Costa Rica Government International Bond                                        | CUSIP: 221597CR6<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    280000 | PA      | $291978.40    | 0.02%             | 2034-04-03      | Fixed         | 6.55%                 | No            |                  2 | On Loan: No      |
| WISCONSIN POWER & LIGHT                           | Wisconsin Power and Light Co                                                    | CUSIP: 976826BS5<br>LEI: JWBYHVQVMY66CVCOSO49 | Long             | DBT              | CORP              | US        |    210000 | PA      | $214827.17    | 0.02%             | 2034-03-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 31396VGT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37231 | PA      | $39035.44     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DIAMONDBACK ENERGY INC                            | Diamondback Energy Inc                                                          | CUSIP: 25278XAW9<br>LEI: 549300R22LSX6OHWEN64 | Long             | DBT              | CORP              | US        |     80000 | PA      | $79099.54     | 0.01%             | 2053-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F032674<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1100000 | PA      | $-990225.92   | -0.08%            | 2054-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                    | CUSIP: 279158AV1<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    500000 | PA      | $482433.25    | 0.04%             | 2036-01-19      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| Regeneron Pharmaceuticals Inc                     | Regeneron Pharmaceuticals Inc                                                   | CUSIP: 75886F107<br>LEI: 549300RCBFWIRX3HYQ56 | Long             | EC               | CORP              | US        |       710 | NS      | $372750.00    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226627 | PA      | $204872.04    | 0.02%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XDRV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1394545 | PA      | $1173541.38   | 0.10%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140M9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    219087 | PA      | $190971.31    | 0.02%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274549 | PA      | $236549.68    | 0.02%             | 2041-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AGCV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    312619 | PA      | $250750.39    | 0.02%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XHG68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    732006 | PA      | $686170.80    | 0.06%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Builders FirstSource Inc                          | Builders FirstSource Inc                                                        | CUSIP: 12008R107<br>LEI: 549300W0SKP6L3H7DP63 | Long             | EC               | CORP              | US        |      3303 | NS      | $385427.07    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DWET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    553535 | PA      | $545184.08    | 0.05%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375GLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20466 | PA      | $1764.06      | 0.00%             | 2042-05-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2018-BNK10                                                                 | CUSIP: 065404BB0<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1668195.21   | 0.14%             | 2061-02-15      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378EAS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10081 | PA      | $115.23       | 0.00%             | 2040-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140JLA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287934 | PA      | $272455.13    | 0.02%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38380CNU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39256 | PA      | $8194.25      | 0.00%             | 2047-01-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AFB27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4392 | PA      | $63.63        | 0.00%             | 2026-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KYBS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    691616 | PA      | $548102.68    | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WILLIAM CARTER                                    | William Carter Co/The                                                           | CUSIP: 96926JAC1<br>LEI: TGI2A0HXEYNQPU7TYV27 | Long             | DBT              | CORP              | US        |    765000 | PA      | $760244.56    | 0.06%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                             | CUSIP: 95058XAE8<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |    402282 | PA      | $392444.67    | 0.03%             | 2048-03-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15929 | PA      | $16699.43     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                           | CUSIP: 91087BAX8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $183120.00    | 0.02%             | 2053-05-04      | Fixed         | 6.34%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FU                          | HPS Corporate Lending Fund                                                      | CUSIP: 40440VAN5<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |    475000 | PA      | $473948.95    | 0.04%             | 2030-06-05      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| UNITEDHEALTH GROUP INC                            | UnitedHealth Group Inc                                                          | CUSIP: 91324PDY5<br>LEI: 549300GHBMY8T5GXDE41 | Long             | DBT              | CORP              | US        |    345000 | PA      | $250300.24    | 0.02%             | 2040-05-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 254709AT5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    255000 | PA      | $296409.07    | 0.03%             | 2034-11-02      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    505700 | PA      | $471838.13    | 0.04%             | 2051-04-25      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPZS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111612 | PA      | $105995.70    | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378JAS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47468 | PA      | $6337.01      | 0.00%             | 2043-02-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136A3NU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    416000 | PA      | $391474.64    | 0.03%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEL CORP                                        | Intel Corp                                                                      | CUSIP: 458140BM1<br>LEI: KNX4USFCNGPY45LOCE31 | Long             | DBT              | CORP              | US        |     35000 | PA      | $28553.70     | 0.00%             | 2050-03-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140EWKL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25246 | PA      | $23953.29     | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KMLL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    151087 | PA      | $120689.69    | 0.01%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commercial Equipment Finance                      | Commercial Equipment Finance 2024-1 LLC                                         | CUSIP: 20166RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    263469 | PA      | $266026.16    | 0.02%             | 2029-07-16      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Refi Loan Trust 2021-F                                | CUSIP: 63942GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    350254 | PA      | $310159.34    | 0.03%             | 2070-02-18      | Fixed         | 1.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28746 | PA      | $28601.04     | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31419AU88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12170 | PA      | $11762.72     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BLP93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105144 | PA      | $97626.75     | 0.01%             | 2045-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| New York Times Co/The                             | New York Times Co/The                                                           | CUSIP: 650111107<br>LEI: 529900J1WEMMIW7BOH57 | Long             | EC               | CORP              | US        |     24861 | NS      | $1391718.78   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| BACARDI LTD / MARTINI BV                          | Bacardi Ltd / Bacardi-Martini BV                                                | CUSIP: 05635JAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    167000 | PA      | $166439.24    | 0.01%             | 2033-06-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137H4FG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117190 | PA      | $102923.13    | 0.01%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                      | NiSource Inc                                                                    | CUSIP: 65473PAP0<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153406.20    | 0.01%             | 2033-06-30      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    237688 | PA      | $225217.84    | 0.02%             | 2037-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2021-4 LLC                                                                 | CUSIP: 693583AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    380844 | PA      | $381203.57    | 0.03%             | 2026-04-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3131YBFP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134886 | PA      | $123473.62    | 0.01%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280ER6<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    340000 | PA      | $344539.68    | 0.03%             | 2031-03-03      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| RFR Trust                                         | RFR Trust 2025-SGRM                                                             | CUSIP: 74984NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    795875 | PA      | $810989.06    | 0.07%             | 2041-03-11      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140QKQR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86414 | PA      | $74541.22     | 0.01%             | 2041-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| APA CORP                                          | APA Corp                                                                        | CUSIP: 03743QAS7<br>LEI: 549300VCIWLRHYVSHC79 | Long             | DBT              | CORP              | US        |    135000 | PA      | $127522.60    | 0.01%             | 2055-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2022-HC Mortgage Trust                                                     | CUSIP: 12659DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210000 | PA      | $193710.13    | 0.02%             | 2039-01-10      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                              | Targa Resources Corp                                                            | CUSIP: 87612GAM3<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    275000 | PA      | $276391.30    | 0.02%             | 2035-08-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Clean Harbors Inc                                 | Clean Harbors Inc                                                               | CUSIP: 184496107<br>LEI: 5493000SJVZVZJKHJF48 | Long             | EC               | CORP              | US        |     24309 | NS      | $5619754.62   | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2019-5                                      | CUSIP: 64830MAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210382 | PA      | $199762.10    | 0.02%             | 2059-08-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SOLVENTUM CORP                                    | Solventum Corp                                                                  | CUSIP: 83444MAP6<br>LEI: 254900I70403OSGY4M28 | Long             | DBT              | CORP              | US        |    430000 | PA      | $442799.22    | 0.04%             | 2029-03-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: —       |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   1310000 | PA      | $961694.87    | 0.08%             | 2041-04-14      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| BANCA COMERCIALA ROMANA                           | Banca Comerciala Romana SA                                                      | CUSIP: 000000000<br>LEI: 549300ORLU6LN5YD8X90 | Long             | DBT              | CORP              | RO        |    200000 | PA      | $244676.02    | 0.02%             | 2027-05-19      | Fixed         | 7.62%                 | Yes           |                  2 | On Loan: No      |
| elf Beauty Inc                                    | elf Beauty Inc                                                                  | CUSIP: 26856L103<br>LEI: 549300U2K9TCON25C029 | Long             | EC               | CORP              | US        |      4109 | NS      | $511323.96    | 0.04%             |  |  |  | No            |                  1 | On Loan: —       |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                            | CUSIP: 974153AE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    235000 | PA      | $239376.12    | 0.02%             | 2054-12-05      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2012-BWTR                                     | CUSIP: 36192RAA0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   1154069 | PA      | $995602.85    | 0.08%             | 2034-11-05      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | Israel Government International Bond                                            | CUSIP: 46513JB34<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $181003.42    | 0.02%             | 2030-07-03      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PAR7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |     90000 | PA      | $89208.24     | 0.01%             | 2029-04-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                    | CUSIP: 29250NCC7<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $20548.30     | 0.00%             | 2034-04-05      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| JBS USA SARL/FOOD/GRP                             | JBS USA LUX Sarl / JBS USA Food Co / JBS USA Foods Group                        | CUSIP: 472140AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    120000 | PA      | $124317.60    | 0.01%             | 2035-04-20      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| T-Mobile US Inc                                   | T-Mobile US Inc                                                                 | CUSIP: 872590104<br>LEI: 549300QHIJYOHPACPG31 | Long             | EC               | CORP              | US        |     25779 | NS      | $6142104.54   | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379F3V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        97 | PA      | $0.01         | 0.00%             | 2041-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132JN3G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10100 | PA      | $9798.50      | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                     | CUSIP: 694308KJ5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    196000 | PA      | $201871.08    | 0.02%             | 2033-01-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM5 Trust                                                            | CUSIP: 36168KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    819607 | PA      | $690972.16    | 0.06%             | 2066-07-25      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    829320 | PA      | $745008.37    | 0.06%             | 2057-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSTELLATION BRANDS INC                          | Constellation Brands Inc                                                        | CUSIP: 21036PBE7<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    195000 | PA      | $185241.62    | 0.02%             | 2029-08-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WVCS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14740 | PA      | $14282.29     | 0.00%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTHWESTERN ELEC POWER                           | Southwestern Electric Power Co                                                  | CUSIP: 845437BU5<br>LEI: R64UBJHEC74EB3HGQ410 | Long             | DBT              | CORP              | US        |     25000 | PA      | $25189.13     | 0.00%             | 2033-04-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XFH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201511 | PA      | $194550.51    | 0.02%             | 2052-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Deckers Outdoor Corp                              | Deckers Outdoor Corp                                                            | CUSIP: 243537107<br>LEI: 5493008LG4W3I6K8J118 | Long             | EC               | CORP              | US        |      6886 | NS      | $709740.02    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KTMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62622 | PA      | $53960.25     | 0.00%             | 2040-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                              | Glencore Funding LLC                                                            | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    260000 | PA      | $266587.39    | 0.02%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                    | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    465000 | PA      | $456979.71    | 0.04%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137FQXL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    995879 | PA      | $6598.49      | 0.00%             | 2026-10-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3666000 | PA      | $2901226.94   | 0.25%             | 2054-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PATTERSON-UTI ENERGY INC                          | Patterson-UTI Energy Inc                                                        | CUSIP: 703481AD3<br>LEI: 254900XGFBKIXD6G0697 | Long             | DBT              | CORP              | US        |    360000 | PA      | $368631.29    | 0.03%             | 2033-10-01      | Fixed         | 7.15%                 | No            |                  2 | On Loan: —       |
| MF1 Multifamily Housing Mortgage Loan Trust       | MF1 2022-FL8 Ltd                                                                | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    685000 | PA      | $682622.09    | 0.06%             | 2037-02-19      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140F4UB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19203 | PA      | $18195.20     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132LQCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    203156 | PA      | $192508.65    | 0.02%             | 2037-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IRON MOUNTAIN INC                                 | Iron Mountain Inc                                                               | CUSIP: 46284VAQ4<br>LEI: SQL3F6CKNNBM3SQGHX24 | Long             | DBT              |  | US        |    710000 | PA      | $730026.26    | 0.06%             | 2033-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Global Markets Inc                      | Citigroup Global Markets Inc                                                    | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | Long             | RA               | CORP              | US        |   1000000 | PA      | $1000000.00   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Metsera Inc                                       | Metsera Inc                                                                     | CUSIP: 59267L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     10549 | NS      | $300119.05    | 0.03%             |  |  |  | No            |                  1 | On Loan: —       |
| Post Road Equipment Finance                       | Post Road Equipment Finance 2025-1 LLC                                          | CUSIP: 73747LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    140000 | PA      | $141785.15    | 0.01%             | 2031-05-15      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| Freshpet Inc                                      | Freshpet Inc                                                                    | CUSIP: 358039105<br>LEI: 549300S4ZK8ZQ6HNPN59 | Long             | EC               | CORP              | US        |     17092 | NS      | $1161572.32   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ECOPETROL SA                                      | Ecopetrol SA                                                                    | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |     95000 | PA      | $80225.39     | 0.01%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CONOCOPHILLIPS COMPANY                            | ConocoPhillips Co                                                               | CUSIP: 20826FBG0<br>LEI: 6VJJ5GQWIRDQ06DUXG89 | Long             | DBT              | CORP              | US        |     65000 | PA      | $62120.18     | 0.01%             | 2054-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X6MR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97066 | PA      | $94332.75     | 0.01%             | 2033-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                               | CUSIP: 3620ALXM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15664 | PA      | $13967.83     | 0.00%             | 2044-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AKT45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    162073 | PA      | $28518.58     | 0.00%             | 2044-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2022-SFR3 Trust                                            | CUSIP: 74331UAA6<br>LEI: 5493002EEQ4GX2578787 | Long             | ABS-O            | CORP              | US        |    268083 | PA      | $261582.07    | 0.02%             | 2039-04-17      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| WMG ACQUISITION CORP                              | WMG Acquisition Corp                                                            | CUSIP: 92933BAT1<br>LEI: 549300NAS11NXI33CP80 | Long             | DBT              | CORP              | US        |    285000 | PA      | $267140.28    | 0.02%             | 2029-12-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379PN94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    305330 | PA      | $44021.04     | 0.00%             | 2044-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                | Ellington Financial Mortgage Trust 2021-2                                       | CUSIP: 31572LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152101 | PA      | $126998.84    | 0.01%             | 2066-06-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136ABFW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54249 | PA      | $903.45       | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GMD8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    330000 | PA      | $330002.99    | 0.03%             | 2035-10-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31374CSR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383747 | PA      | $347520.32    | 0.03%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage Securities LLC       | BBCMS Mortgage Trust 2020-C7                                                    | CUSIP: 05492VAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1280000 | PA      | $54696.06     | 0.00%             | 2053-04-15      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132XCR64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206398 | PA      | $190445.48    | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUXL 30Y BND SEP25                                                         | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -15 | NC      | $42390.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA CORP                              | Bank of America Corp                                                            | CUSIP: 06051GJL4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $165696.08    | 0.01%             | 2031-10-24      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Oracle Corp                                       | Oracle Corp                                                                     | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    395000 | PA      | $272203.40    | 0.02%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| SYSCO CORPORATION                                 | Sysco Corp                                                                      | CUSIP: 871829BU0<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |    245000 | PA      | $251008.86    | 0.02%             | 2030-09-23      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) SEP25                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       433 | NC      | $584012.55    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Performance Food Group Co                         | Performance Food Group Co                                                       | CUSIP: 71377A103<br>LEI: 549300EUK8GR9IT1YK57 | Long             | EC               | CORP              | US        |     16231 | NS      | $1419725.57   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EQFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86671 | PA      | $86340.52     | 0.01%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GYB4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    260000 | PA      | $231101.77    | 0.02%             | 2032-04-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 31329QG54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    335789 | PA      | $316625.07    | 0.03%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/03/15/2053/P:USD 2.97000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   2325000 | OU      | $379209.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Celsius Holdings Inc                              | Celsius Holdings Inc                                                            | CUSIP: 15118V207<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     26316 | NS      | $1220799.24   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    375000 | PA      | $385017.11    | 0.03%             | 2029-07-24      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| Merck & Co Inc                                    | Merck & Co Inc                                                                  | CUSIP: 58933Y105<br>LEI: 4YV9Y5M8S0BRK1RP0397 | Long             | EC               | CORP              | US        |     64302 | NS      | $5090146.32   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |    125000 | PA      | $124042.45    | 0.01%             | 2029-10-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CKU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4045000 | PA      | $4199373.62   | 0.36%             | 2031-05-31      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured Pass Through Certs.  | Freddie Mac Multifamily Structured Pass Through Certificates                    | CUSIP: 3137BXR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3829586 | PA      | $31946.41     | 0.00%             | 2027-03-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Metropolitan Transportation Authority             | MET TRANSPRTN AUTH NY REVENUE                                                   | CUSIP: 59261AG35<br>LEI: 5493000TKYODLXADQD60 | Long             | DBT              | MUN               | US        |    505000 | PA      | $492016.05    | 0.04%             | 2045-11-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                     | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     75000 | PA      | $74092.81     | 0.01%             | 2035-10-23      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31418BYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30750 | PA      | $30030.54     | 0.00%             | 2031-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Capital Inc                              | Barclays Capital Inc                                                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | Long             | RA               | CORP              | US        |   3000000 | PA      | $3000000.00   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136AT4Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61925 | PA      | $12128.35     | 0.00%             | 2046-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140X63P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245785 | PA      | $206546.52    | 0.02%             | 2050-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    128778 | PA      | $134769.49    | 0.01%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPER                          | Enterprise Products Operating LLC                                               | CUSIP: 29379VCL5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |     60000 | PA      | $60405.99     | 0.01%             | 2036-01-15      | Fixed         | 5.20%                 | No            |                  2 | On Loan: —       |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 77586RAT7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     96000 | PA      | $96642.34     | 0.01%             | 2029-01-30      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RFR Trust                                         | RFR Trust 2025-SGRM                                                             | CUSIP: 74984NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    730000 | PA      | $742060.18    | 0.06%             | 2041-03-11      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| BANK OF NY MELLON CORP                            | Bank of New York Mellon Corp/The                                                | CUSIP: 06406RBZ9<br>LEI: WFLLPEPC7FZXENRZV188 | Long             | DBT              | CORP              | US        |    155000 | PA      | $158660.39    | 0.01%             | 2032-07-22      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| SFS Auto Receivables Securitization Trust         | SFS Auto Receivables Securitization Trust 2023-1                                | CUSIP: 78398AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    245000 | PA      | $250711.91    | 0.02%             | 2030-01-22      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Scholar Rock Holding Corp                         | Scholar Rock Holding Corp                                                       | CUSIP: 80706P103<br>LEI: 549300Z1FLPGL4OWJ459 | Long             | EC               | CORP              | US        |      5908 | NS      | $209261.36    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FHJ20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95367 | PA      | $19002.82     | 0.00%             | 2048-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                         | ONEOK Inc                                                                       | CUSIP: 682680BF9<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |     15000 | PA      | $16153.35     | 0.00%             | 2051-01-15      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XJZR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286189 | PA      | $237760.41    | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                    | Morgan Stanley                                                                  | CUSIP: 6174468X0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    280000 | PA      | $239397.17    | 0.02%             | 2032-04-28      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| PTC Therapeutics Inc                              | PTC Therapeutics Inc                                                            | CUSIP: 69366J200<br>LEI: 549300UJLWOIWFDGB318 | Long             | EC               | CORP              | US        |      4492 | NS      | $219389.28    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 31398EX82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147459 | PA      | $148599.74    | 0.01%             | 2039-07-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137FT6T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    246905 | PA      | $36886.18     | 0.00%             | 2040-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379FK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81545 | PA      | $11970.88     | 0.00%             | 2043-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                      | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1178576.66   | 0.10%             | 2054-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Flutter Entertainment PLC                         | Flutter Entertainment PLC                                                       | CUSIP: 000000000<br>LEI: 635400EG4YIJLJMZJ782 | Long             | EC               | CORP              | IE        |      9253 | NS      | $2644137.28   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                   | CUSIP: 817565CH5<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    205000 | PA      | $207090.59    | 0.02%             | 2032-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Eli Lilly & Co                                    | Eli Lilly & Co                                                                  | CUSIP: 532457108<br>LEI: FRDRIPF3EKNDJ2CQJL29 | Long             | EC               | CORP              | US        |     14098 | NS      | $10989813.94  | 0.93%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F050676<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1665830.27   | 0.14%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | PURCHASED BRL / SOLD USD                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              |  | BR        |         1 | NC      | $4347.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KJJW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    806034 | PA      | $679055.28    | 0.06%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1595000 | PA      | $1424721.29   | 0.12%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GT5<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |    255000 | PA      | $255780.79    | 0.02%             | 2035-03-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase & Co                               | JPMorgan Chase & Co                                                             | CUSIP: 46625H100<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | EC               | CORP              | US        |     13923 | NS      | $4036416.93   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| VIRGINIA ELEC & POWER CO                          | Virginia Electric and Power Co                                                  | CUSIP: 927804GD0<br>LEI: CQKUMNNZVDJLRYV2PT43 | Long             | DBT              | CORP              | US        |     91000 | PA      | $51053.61     | 0.00%             | 2050-12-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| Amazon.com Inc                                    | Amazon.com Inc                                                                  | CUSIP: 023135106<br>LEI: ZXTILKJKG63JELOEG630 | Long             | EC               | CORP              | US        |    145771 | NS      | $31980699.69  | 2.71%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137AQ6X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70143 | PA      | $65732.43     | 0.01%             | 2041-11-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Elmwood CLO 23 Ltd                                | Elmwood CLO 23 Ltd                                                              | CUSIP: 29003YAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    530000 | PA      | $531063.18    | 0.05%             | 2036-04-16      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38378GRL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74505 | PA      | $12706.48     | 0.00%             | 2041-10-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133KME92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70440 | PA      | $58935.49     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11045000 | PA      | $11016956.08  | 0.94%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                  | Fannie Mae Connecticut Avenue Securities                                        | CUSIP: 20754GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    190000 | PA      | $191599.52    | 0.02%             | 2044-02-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                    | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    140000 | PA      | $143362.61    | 0.01%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3133AQUG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129936 | PA      | $108741.00    | 0.01%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XBVH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    153695 | PA      | $140429.22    | 0.01%             | 2036-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| HTL Commercial Mortgage Trust                     | HTL Commercial Mortgage Trust 2024-T53                                          | CUSIP: 404300AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150000 | PA      | $151749.83    | 0.01%             | 2039-05-10      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| ICON INVESTMENTS SIX DAC                          | Icon Investments Six DAC                                                        | CUSIP: 45115AAA2<br>LEI: 635400FQ1M7J2CHLAS59 | Long             | DBT              | CORP              | IE        |    200000 | PA      | $204180.40    | 0.02%             | 2027-05-08      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140KTS30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    550252 | PA      | $441260.02    | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                             | CUSIP: 46647PCC8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    110000 | PA      | $98238.13     | 0.01%             | 2032-04-22      | Fixed         | 2.58%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                          | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    635000 | PA      | $464641.34    | 0.04%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                           | CUSIP: 3132HLX57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64594 | PA      | $62343.18     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CAROLINAS                             | Duke Energy Carolinas LLC                                                       | CUSIP: 26442CAM6<br>LEI: MWIUSDMN17TCR56VW396 | Long             | DBT              | CORP              | US        |    205000 | PA      | $175319.02    | 0.01%             | 2041-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-RPL4 Trust                                                            | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    231987 | PA      | $231052.11    | 0.02%             | 2060-12-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY PROGRESS LLC                          | Duke Energy Progress LLC                                                        | CUSIP: 26442UAV6<br>LEI: 0NIFZ782LS46WOC9QK20 | Long             | DBT              | CORP              | US        |    140000 | PA      | $136840.95    | 0.01%             | 2055-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Alabama Power Co                                  | Alabama Power Co                                                                | CUSIP: 010392FL7<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |    225000 | PA      | $185745.86    | 0.02%             | 2044-08-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                             | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11090000 | PA      | $10974334.74  | 0.93%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PINNACLE WEST CAPITAL                             | Pinnacle West Capital Corp                                                      | CUSIP: 723484AN1<br>LEI: TWSEY0NEDUDCKS27AH81 | Long             | DBT              | CORP              | US        |    257000 | PA      | $263085.38    | 0.02%             | 2030-05-15      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B9YL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    321092 | PA      | $27920.26     | 0.00%             | 2039-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36202FGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156499 | PA      | $158807.65    | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140XGJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    742995 | PA      | $646608.10    | 0.05%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F040677<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -6485000 | PA      | $-6029278.43  | -0.51%            | 2054-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINL CO                            | General Motors Financial Co Inc                                                 | CUSIP: 37045XFJ0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    160000 | PA      | $162246.82    | 0.01%             | 2030-07-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19709 | PA      | $17796.76     | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                           | CUSIP: 90276CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    656341 | PA      | $10856.46     | 0.00%             | 2050-08-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| CF Hippolyta Issuer LLC                           | CF Hippolyta Issuer LLC                                                         | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94245 | PA      | $90675.11     | 0.01%             | 2061-03-15      | Fixed         | 1.53%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                        | Humana Inc                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |     10000 | PA      | $10229.27     | 0.00%             | 2031-04-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                               | Dominion Energy Inc                                                             | CUSIP: 25746UDW6<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    305000 | PA      | $311267.90    | 0.03%             | 2030-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                | CUSIP: 3132DPKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96657 | PA      | $81068.64     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650EG1<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    230000 | PA      | $230500.84    | 0.02%             | 2054-12-10      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                   | CVS Health Corp                                                                 | CUSIP: 126650DN7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    110000 | PA      | $95076.73     | 0.01%             | 2030-08-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| American Express Co                               | American Express Co                                                             | CUSIP: 025816109<br>LEI: R4PP93JZOLY261QX3811 | Long             | EC               | CORP              | US        |     12834 | NS      | $4093789.32   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                       | CUSIP: 3128UGL47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3101 | PA      | $3164.44      | 0.00%             | 2041-02-01      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA5                                         | CUSIP: 35564KYP8<br>LEI: 5493000IS349P4O9HR58 | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $637712.16    | 0.05%             | 2042-06-25      | Floating      | 8.80%                 | No            |                  2 | On Loan: No      |
| Ingevity Corp                                     | Ingevity Corp                                                                   | CUSIP: 45688C107<br>LEI: 5493009UTFC4B5IMGF87 | Long             | EC               | CORP              | US        |     11171 | NS      | $481358.39    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                               | CUSIP: 3136B9W45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    525937 | PA      | $105173.46    | 0.01%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SERVICE CORP INTL                                 | Service Corp International/US                                                   | CUSIP: 817565CE2<br>LEI: 549300RKVM2ME20JHZ15 | Long             | DBT              | CORP              | US        |    618000 | PA      | $615354.34    | 0.05%             | 2029-06-01      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CH Robinson Worldwide Inc                         | CH Robinson Worldwide Inc                                                       | CUSIP: 12541W209<br>LEI: 529900WNWN5L0OVDHA79 | Long             | EC               | CORP              | US        |     30254 | NS      | $2902871.30   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS2                                            | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220835 | PA      | $220783.51    | 0.02%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| State Board of Administration Finance Corp        | FLORIDA ST BRD OF ADMIN FIN CORP REVENUE                                        | CUSIP: 341271AD6<br>LEI: 549300S34SOJ0RULXM35 | Long             | DBT              | MUN               | US        |    975000 | PA      | $975000.00    | 0.08%             | 2025-07-01      | Fixed         | 1.26%                 | No            |                  2 | On Loan: No      |
| REGAL REXNORD CORP                                | Regal Rexnord Corp                                                              | CUSIP: 758750AM5<br>LEI: QH78R09VCJGQKPBPYU33 | Long             | DBT              | CORP              | US        |    310000 | PA      | $319449.79    | 0.03%             | 2028-04-15      | Fixed         | 6.05%                 | No            |                  2 | On Loan: —       |
| PHILIP MORRIS INTL INC                            | Philip Morris International Inc                                                 | CUSIP: 718172CW7<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |     90000 | PA      | $94503.28     | 0.01%             | 2029-11-17      | Fixed         | 5.62%                 | No            |                  2 | On Loan: —       |
| American International Group Inc                  | American International Group Inc                                                | CUSIP: 026874784<br>LEI: ODVCVCQG2BP6VHV36M30 | Long             | EC               | CORP              | US        |     45645 | NS      | $3906755.55   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| HOWARD UNIVERSITY                                 | Howard University                                                               | CUSIP: 442851AQ4<br>LEI: 5493000EDHIQDJSTOF89 | Long             | DBT              | CORP              | US        |    100000 | PA      | $96791.56     | 0.01%             | 2026-10-01      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138WMWM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    176246 | PA      | $159438.88    | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                               | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $182772.04    | 0.02%             | 2031-06-04      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137F9DQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    414695 | PA      | $359062.27    | 0.03%             | 2051-02-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2006-TOP21                                       | CUSIP: 617451CX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13985 | PA      | $4207.09      | 0.00%             | 2052-10-12      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| Dominos Pizza Master Issuer LLC                   | Domino's Pizza Master Issuer LLC                                                | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316800 | PA      | $301810.32    | 0.03%             | 2049-10-25      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| BellRing Brands Inc                               | BellRing Brands Inc                                                             | CUSIP: 07831C103<br>LEI: 549300S3BOK5CMTS8054 | Long             | EC               | CORP              | US        |     39071 | NS      | $2263383.03   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3138XHAT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32661 | PA      | $31616.12     | 0.00%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRP Advisors, LLC                                 | PRPM 2020-4 LLC                                                                 | CUSIP: 69359XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    433046 | PA      | $432769.49    | 0.04%             | 2025-10-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                           | CUSIP: 01F042475<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -938000 | PA      | $-931945.85   | -0.08%            | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                 | CUSIP: 3136B75H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1749940 | PA      | $14358.78     | 0.00%             | 2030-01-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | Swap/03/15/2053/P:USD 2.88000 /R:USD/SOF                                        | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   1610000 | OU      | $287085.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                               | Gilead Sciences Inc                                                             | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |     20284 | NS      | $2248887.08   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| ALPHABET INC                                      | Alphabet Inc                                                                    | CUSIP: 02079KAK3<br>LEI: 5493006MHB84DD0ZWV18 | Long             | DBT              | CORP              | US        |    220000 | PA      | $220164.87    | 0.02%             | 2030-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3460000 | PA      | $1822852.35   | 0.15%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| COUSINS PROPERTIES LP                             | Cousins Properties LP                                                           | CUSIP: 222793AB7<br>LEI: 254900ZQIHJ5FQH4C329 | Long             | DBT              |  | US        |    320000 | PA      | $323330.37    | 0.03%             | 2032-02-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                              | CUSIP: 3137BSAJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61748 | PA      | $8221.28      | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVT OF BERMUDA                                   | Bermuda Government International Bond                                           | CUSIP: 085209AG9<br>LEI: 549300FP5PUZXX9FVJ40 | Long             | DBT              | NUSS              | BM        |    200000 | PA      | $177460.00    | 0.02%             | 2030-08-20      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38379AMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160100 | PA      | $144418.32    | 0.01%             | 2041-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NSTAR ELECTRIC CO                                 | NSTAR Electric Co                                                               | CUSIP: 67021CAV9<br>LEI: 54930080R72Y2Z31UR68 | Long             | DBT              | CORP              | US        |    180000 | PA      | $184403.46    | 0.02%             | 2034-06-01      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179W5A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    754585 | PA      | $614622.23    | 0.05%             | 2052-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                        | CUSIP: 38375C5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476781 | PA      | $112936.91    | 0.01%             | 2042-09-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CO                          | Capital One Financial Corp                                                      | CUSIP: 14040HDC6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    510000 | PA      | $576221.29    | 0.05%             | 2031-10-30      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                 | CUSIP: 3140FXGL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    515698 | PA      | $494157.28    | 0.04%             | 2051-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9                   | CUSIP: 46639EAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $105059.50    | 0.01%             | 2047-12-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                         | BPR Trust 2024-PMDW                                                             | CUSIP: 05592VAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    220000 | PA      | $223314.67    | 0.02%             | 2041-11-05      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture 42 CLO Ltd                                                              | CUSIP: 923260AC7<br>LEI: 5493005OM8P21GK6YE73 | Long             | ABS-CBDO         | CORP              | KY        |   1300000 | PA      | $1300885.30   | 0.11%             | 2034-04-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| CON EDISON CO OF NY INC                           | Consolidated Edison Co of New York Inc                                          | CUSIP: 209111GN7<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    235000 | PA      | $227770.95    | 0.02%             | 2055-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    580427 | PA      | $472790.88    | 0.04%             | 2050-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                              | CUSIP: 36179XDE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    219606 | PA      | $211975.86    | 0.02%             | 2052-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-07-15

**Name of Applicant:** Brighthouse Funds Trust II

**Signature:** Alan Otis

**Name of Signer:** Alan Otis

**Title:** Treasurer